Portfolio Choice Under Uncertainty: The Mean–Variance Framework

Eliezer Prisman

Chapter 5 in Lecture Notes in Investment:Investment Fundamentals, 2020, pp 81-119 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The development of intuition and a deep understanding of risk is as important as being able to analyze situations in a rigorous manner. The rate of return of a risky security, e.g., a stock, is a random variable and it is customary to use its variance as the security’s risk measure. This practice does suffer from caveats on which we will elaborate later. A portfolio’s rate of return is therefore a linear combination of random variables…

Keywords: Equality Markets; Bond Markets; Investment Fundamentals (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2020
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