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• Modern_portfolio_theory abstract "Modern portfolio theory (MPT) is a theory of finance that attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets. Although MPT is widely used in practice in the financial industry and several of its creators won a Nobel memorial prize for the theory, in recent years the basic assumptions of MPT have been widely challenged by fields such as behavioral economics.MPT is a mathematical formulation of the concept of diversification in investing, with the aim of selecting a collection of investment assets that has collectively lower risk than any individual asset. This is possible, intuitively speaking, because different types of assets often change in value in opposite ways. For example, to the extent prices in the stock market move differently from prices in the bond market, a collection of both types of assets can in theory face lower overall risk than either individually. But diversification lowers risk even if assets' returns are not negatively correlated—indeed, even if they are positively correlated.More technically, MPT models an asset's return as a normally distributed function (or more generally as an elliptically distributed random variable), defines risk as the standard deviation of return, and models a portfolio as a weighted combination of assets, so that the return of a portfolio is the weighted combination of the assets' returns. By combining different assets whose returns are not perfectly positively correlated, MPT seeks to reduce the total variance of the portfolio return. MPT also assumes that investors are rational and markets are efficient.MPT was developed in the 1950s through the early 1970s and was considered an important advance in the mathematical modeling of finance. Since then, some theoretical and practical criticisms have been leveled against it. These include evidence that financial returns do not follow a Gaussian distribution or indeed any symmetric distribution, and that correlations between asset classes are not fixed but can vary depending on external events (especially in crises). Further, there remains evidence that investors are not rational and markets may not be efficient. Finally, the low volatility anomaly conflicts with CAPM's trade-off assumption of higher risk for higher return. It states that a portfolio consisting of low volatility equities (like blue chip stocks) reaps higher risk-adjusted returns than a portfolio with high volatility equities (like illiquid penny stocks). A study conducted by Myron Scholes, Michael Jensen, and Fischer Black in 1972 suggests that the relationship between return and beta might be flat or even negatively correlated.".
• Modern_portfolio_theory wikiPageExternalLink markowitz-portfolio-selection.
• Modern_portfolio_theory wikiPageExternalLink fastocks.com.
• Modern_portfolio_theory wikiPageExternalLink notes.html.
• Modern_portfolio_theory wikiPageExternalLink mia.htm.
• Modern_portfolio_theory wikiPageID "734434".
• Modern_portfolio_theory wikiPageRevisionID "605883806".
• Modern_portfolio_theory hasPhotoCollection Modern_portfolio_theory.
• Modern_portfolio_theory subject Category:Finance_theories.
• Modern_portfolio_theory subject Category:Financial_economics.
• Modern_portfolio_theory subject Category:Financial_risk.
• Modern_portfolio_theory subject Category:Investment.
• Modern_portfolio_theory subject Category:Mathematical_finance.
• Modern_portfolio_theory subject Category:Portfolio_theories.
• Modern_portfolio_theory type Abstraction100002137.
• Modern_portfolio_theory type Cognition100023271.
• Modern_portfolio_theory type Explanation105793000.
• Modern_portfolio_theory type FinanceTheories.
• Modern_portfolio_theory type HigherCognitiveProcess105770664.
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• Modern_portfolio_theory type Theory105989479.
• Modern_portfolio_theory type Thinking105770926.
• Modern_portfolio_theory comment "Modern portfolio theory (MPT) is a theory of finance that attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets.".
• Modern_portfolio_theory label "Frontiera dei portafogli".
• Modern_portfolio_theory label "Modern portfolio theory".
• Modern_portfolio_theory label "Moderne portefeuilletheorie".
• Modern_portfolio_theory label "Portfoliotheorie".
• Modern_portfolio_theory label "Teoria moderna do portfólio".
• Modern_portfolio_theory label "Teoria portfelowa".
• Modern_portfolio_theory label "Teoría moderna del portafolio".
• Modern_portfolio_theory label "Théorie moderne du portefeuille".
• Modern_portfolio_theory label "Оценка эффективности инвестиционного портфеля".
• Modern_portfolio_theory label "نظرية المحفظة الحديثة".
• Modern_portfolio_theory label "现代投资组合理论".
• Modern_portfolio_theory label "現代ポートフォリオ理論".
• Modern_portfolio_theory sameAs Portfoliotheorie.
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