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Portfolio Balance Models in Perspective: Some Generalizations That Can Be Derived from the Two-Asset Case*

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  • Renshaw, Edward F.

Abstract

Since the publication of Markowitz's article on “Portfolio Selection,†which was subsequently expanded into a monograph, there has been a great deal of further articulation, a not inconsiderable amount of mathematical programming and sensitivity analysis, the arrival of several competing portfolio balance models, and a near revolution in the theory of money and asset preference. While few formulas for solving a practical problem can claim to have generated as much theoretical fall-out, the new approach to portfolio management apparently has not been very successful at reaching the practitioners for which it was intended.

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  • Renshaw, Edward F., 1967. "Portfolio Balance Models in Perspective: Some Generalizations That Can Be Derived from the Two-Asset Case*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 123-149, June.
    • Handle: RePEc:cup:jfinqa:v:2:y:1967:i:02:p:123-149_01
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    Cited by:

    1. Robert Becker, 2012. "The Variance Drain and Jensen's Inequality," Caepr Working Papers 2012-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
    2. Robert Becker, 2012. "The Variance Drain and Jensen's Inequality," CAEPR Working Papers 2012-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    3. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.

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