Modern Portfolio Theory: A Review of the Work Done on Performance Measures and their Role in Portfolio Construction

Authors(2) :-R. Subathra, A. Kachi Mohideen

This paper reviews the literature on The Modern Portfolio Theory starting from the contribution of Markowitz. It discusses the merits and de merits of the theory as reviewed through empirical findings, theoretical developments and modeling works. The review combines all the works which proved that the statistical approach to portfolio management is the best alternative to fundamental and technical analysis. Many authors have developed methodologies which reduce the computational complications of the Markowitz’s model. The review mainly highlights the productive aspects of the contributions made by Elton et al to the literature of Portfolio management. The study is done with an idea to enhance the portfolio management criteria through the use of time varying betas.

Authors and Affiliations

R. Subathra
Department of Statistics, Government Arts College (Autonomous), Salem, Tamil Nadu State, India
A. Kachi Mohideen
PG and Research Department of Statistics, Periyar E.V.R. College (Autonomous), Trichy, Tamil Nadu State, India

Review, portfolio management, Performance measures, Sharpes ratio, Alpha, Beta, Expected return, risk measures

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Publication Details

Published in : Volume 3 | Issue 3 | March-April 2017
Date of Publication : 2017-04-30
License:  This work is licensed under a Creative Commons Attribution 4.0 International License.
Page(s) : 525-532
Manuscript Number : IJSRST1733179
Publisher : Technoscience Academy

Print ISSN : 2395-6011, Online ISSN : 2395-602X

Cite This Article :

R. Subathra, A. Kachi Mohideen, " Modern Portfolio Theory: A Review of the Work Done on Performance Measures and their Role in Portfolio Construction , International Journal of Scientific Research in Science and Technology(IJSRST), Print ISSN : 2395-6011, Online ISSN : 2395-602X, Volume 3, Issue 3, pp.525-532, March-April-2017. Available at doi : 10.32628/IJSRST1733179
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