Two Problems in Portfolio Analysis: Conditional and Multiplicative Random Variables*

Guy V. G. Stevens

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 5, 1235-1250

Abstract: The purpose of this paper is to consider some problems arising in several applications of the theory of portfolio analysis pioneered by Markowitz [8] and Tobin [13]. This theory of asset choice under uncertainty has been applied to a large and growing set of problems beyond the original application to the selection of the investor's optimal portfolio, e.g., the capital budgeting decision of the firm (Lintner [7]), international capital flows (Grubel [5]), the choice of an export mix for a country (Brainard and Cooper [1] and the flow of direct investment (Stevens [12] and Prachowny [10]). In all applications a common element is the set of efficient portfolios which, in turn, is determined. by the set of moments—means, variances, and covariances—of the returns from the different assets that are. Considered for inclusion in the portfolio.

Date: 1971
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