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Modern Portfolio Theory: Some Main Results

Published online by Cambridge University Press:  29 August 2014

Heinz H. Müller
Heinz H. Müller*
Affiliation:
University of Zürich
*
Institut für Empirische Wirtschaftsforschung, Universität Zürich, Kleinstrasse 15, CH-8008 Zürich, Switzerland.
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Abstract

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This article summarizes some main results in modern portfolio theory. First, the Markowitz approach is presented. Then the capital asset pricing model is derived and its empirical testability is discussed. Afterwards Neumann–Morgenstern utility theory is applied to the portfolio problem. Finally, it is shown how optimal risk allocation in an economy may lead to portfolio insurance.

Keywords

Modern portfolio theoryMarkowitz approachcapital asset pricing modelNeumann–Morgenstern utilitiesportfolio insurance
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 19 , Issue S1 , November 1989 , pp. 9 - 27
Copyright
Copyright © International Actuarial Association 1989

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