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Modern portfolio theory, 1950 to date

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  • Elton, Edwin J.
  • Gruber, Martin J.

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  • Elton, Edwin J. & Gruber, Martin J., 1997. "Modern portfolio theory, 1950 to date," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1743-1759, December.
    • Handle: RePEc:eee:jbfina:v:21:y:1997:i:11-12:p:1743-1759
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    1. Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
    2. Elton, Edwin J. & Gruber, Martin J. & Padberg, Manfred W., 1977. "Simple Rules for Optimal Portfolio Selection: The Multi Group Case," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 329-345, September.
    3. Stephen A. Ross, 2005. "Mutual Fund Separation in Financial Theory—The Separating Distributions," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 10, pages 309-356, World Scientific Publishing Co. Pte. Ltd..
    4. Fama, Eugene F, 1970. "Multiperiod Consumption-Investment Decisions," American Economic Review, American Economic Association, vol. 60(1), pages 163-174, March.
    5. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    6. Grinblatt, Mark & Titman, Sheridan, 1992. "The Persistence of Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 47(5), pages 1977-1984, December.
    7. Elton, Edwin J & Gruber, Martin J, 1974. "Portfolio Theory when Investment Relatives are Lognormally Distributed," Journal of Finance, American Finance Association, vol. 29(4), pages 1265-1273, September.
    8. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1978. "Simple Criteria for Optimal Portfolio Selection: Tracing out the Efficient Frontier," Journal of Finance, American Finance Association, vol. 33(1), pages 296-302, March.
    9. Grinblatt, Mark & Titman, Sheridan, 1987. "The Relation between Mean-Variance Efficiency and Arbitrage Pricing," The Journal of Business, University of Chicago Press, vol. 60(1), pages 97-112, January.
    10. John Y. Campbell, Robert J. Shiller, 1988. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
    11. Eugene F. Fama, 1968. "Risk, Return And Equilibrium: Some Clarifying Comments," Journal of Finance, American Finance Association, vol. 23(1), pages 29-40, March.
    12. Hakansson, Nils H., 1974. "Convergence to isoelastic utility and policy in multiperiod portfolio choice," Journal of Financial Economics, Elsevier, vol. 1(3), pages 201-224, September.
    13. Lee, Cheng F., 1977. "Functional Form, Skewness Effect, and the Risk-Return Relationship," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(1), pages 55-72, March.
    14. Roll, Richard, 1978. "Ambiguity when Performance is Measured by the Securities Market Line," Journal of Finance, American Finance Association, vol. 33(4), pages 1051-1069, September.
    15. Richard A. Ippolito, 1989. "Efficiency with Costly Information: A Study of Mutual Fund Performance, 1965–1984," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(1), pages 1-23.
    16. Fama, Eugene F., 1996. "Multifactor Portfolio Efficiency and Multifactor Asset Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(4), pages 441-465, December.
    17. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    18. Cho, D. Chinhyung & Elton, Edwin J. & Gruber, Martin J., 1984. "On the Robustness of the Roll and Ross Arbitrage Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 1-10, March.
    19. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    20. Hakansson, Nils H, 1970. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions," Econometrica, Econometric Society, vol. 38(5), pages 587-607, September.
    21. Elton, Edwin J & Gruber, Martin J, 1973. "Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection," Journal of Finance, American Finance Association, vol. 28(5), pages 1203-1232, December.
    22. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    23. Kalman J. Cohen & Jerry A. Pogue, 1967. "An Empirical Evaluation of Alternative Portfolio-Selection Models," The Journal of Business, University of Chicago Press, vol. 40, pages 166-166.
    24. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    25. Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
    26. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
    27. Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
    28. Lehmann, Bruce N & Modest, David M, 1987. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," Journal of Finance, American Finance Association, vol. 42(2), pages 233-265, June.
    29. Elton, Edwin J. & Gruber, Martin J., 1992. "Optimal investment strategies with investor liabilities," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 869-890, September.
    30. Chang, Eric C & Lewellen, Wilbur G, 1984. "Market Timing and Mutual Fund Investment Performance," The Journal of Business, University of Chicago Press, vol. 57(1), pages 57-72, January.
    31. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    32. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    33. Chen, Son-Nan & Brown, Stephen J, 1983. "Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 38(4), pages 1087-1093, September.
    34. Dhrymes, Phoebus J & Friend, Irwin & Gultekin, N Bulent, 1984. "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 39(2), pages 323-346, June.
    35. Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
    36. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "The Persistence of Risk-Adjusted Mutual Fund Performance," The Journal of Business, University of Chicago Press, vol. 69(2), pages 133-157, April.
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