Stochastic Portfolio Theory vs. Modern Portfolio Theory and the Implications for the Capital Asset Pricing Model

2012 ◽  
Author(s):  
Robert Ferguson
Keyword(s):  
Asset Pricing ◽  
Portfolio Theory ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Modern Portfolio Theory ◽  
Asset Pricing Model ◽  
Stochastic Portfolio Theory

scholarly journals Modern Portfolio Theory: Some Main Results

1988 ◽  
Vol 18 (2) ◽  
pp. 127-145 ◽  
Author(s):  
Heinz H. Müller
Keyword(s):  
Asset Pricing ◽  
Utility Theory ◽  
Portfolio Theory ◽  
Capital Asset Pricing ◽  
Risk Allocation ◽  
Pricing Model ◽  
Capital Asset ◽  
Modern Portfolio Theory ◽  
Asset Pricing Model ◽  
Portfolio Problem

AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.

scholarly journals Modern Portfolio Theory: Some Main Results

1989 ◽  
Vol 19 (S1) ◽  
pp. 9-27
Author(s):  
Heinz H. Müller
Keyword(s):  
Asset Pricing ◽  
Utility Theory ◽  
Portfolio Theory ◽  
Capital Asset Pricing ◽  
Risk Allocation ◽  
Pricing Model ◽  
Capital Asset ◽  
Modern Portfolio Theory ◽  
Asset Pricing Model ◽  
Portfolio Problem

AbstractThis article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.

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