Revisiting modern portfolio theory

Detalhes bibliográficos
Autor(a) principal: Tenani, Paulo Sérgio
Data de Publicação: 2016
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/16556
Resumo: This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character
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spelling Tenani, Paulo SérgioEscolas::EESP2016-05-31T12:45:10Z2016-05-31T12:45:10Z2016-05-30TD 419http://hdl.handle.net/10438/16556This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic characterengEESP - Textos para Discussão;TD 419Modern portfolio theorySeparation theoremStrategic allocationTactical allocationLeverageEfficient frontierEconomiaInvestimentosRevisiting modern portfolio theoryinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 419 - Paulo Tenani.pdfTD 419 - Paulo Tenani.pdfapplication/pdf951293https://repositorio.fgv.br/bitstreams/70ad3e52-8c0d-4088-90aa-8a6f69b57178/downloade2891ae0853379435928283da47aa87cMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/f015570b-3791-493f-a94e-07ad46b4d837/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTTD 419 - Paulo Tenani.pdf.txtTD 419 - Paulo 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dc.title.eng.fl_str_mv Revisiting modern portfolio theory
title Revisiting modern portfolio theory
spellingShingle Revisiting modern portfolio theory
Tenani, Paulo Sérgio
Modern portfolio theory
Separation theorem
Strategic allocation
Tactical allocation
Leverage
Efficient frontier
Economia
Investimentos
title_short Revisiting modern portfolio theory
title_full Revisiting modern portfolio theory
title_fullStr Revisiting modern portfolio theory
title_full_unstemmed Revisiting modern portfolio theory
title_sort Revisiting modern portfolio theory
author Tenani, Paulo Sérgio
author_facet Tenani, Paulo Sérgio
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Tenani, Paulo Sérgio
dc.subject.eng.fl_str_mv Modern portfolio theory
Separation theorem
Strategic allocation
Tactical allocation
topic Modern portfolio theory
Separation theorem
Strategic allocation
Tactical allocation
Leverage
Efficient frontier
Economia
Investimentos
dc.subject.por.fl_str_mv Leverage
Efficient frontier
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Investimentos
description This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character
publishDate 2016
dc.date.accessioned.fl_str_mv 2016-05-31T12:45:10Z
dc.date.available.fl_str_mv 2016-05-31T12:45:10Z
dc.date.issued.fl_str_mv 2016-05-30
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/16556
dc.identifier.sici.none.fl_str_mv TD 419
identifier_str_mv TD 419
url http://hdl.handle.net/10438/16556
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv EESP - Textos para Discussão;TD 419
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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