Theory of portfolios: New considerations on classic models and the Capital Market Line
نویسندگان
چکیده
The aim of this paper is to present an alternative method to obtain the efficient portfolio in Roy s model starting from the concepts of critical return and risk which are introduced here. This method will permit resolution of the main problem of Roy s model, that is to say, the impossibility of obtaining the portfolio in certain situations. The introduction of these new concepts will also allow the detection and solution of a problem associated with the calculation of the Capital Market Line. This work concludes by considering the possibility that investors allocate part of their budget for buying zero-risk assets. 2004 Elsevier B.V. All rights reserved.
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عنوان ژورنال:
- European Journal of Operational Research
دوره 163 شماره
صفحات -
تاریخ انتشار 2005