Manuscript Number : IJSRST1733179
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.
R. Subathra Review, portfolio management, Performance measures, Sharpes ratio, Alpha, Beta, Expected return, risk measures Publication Details
Published in : Volume 3 | Issue 3 | March-April 2017 Article Preview
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
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
Journal URL : https://ijsrst.com/IJSRST1733179
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