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The Measurement of Systematic Risk for Securities and Portfolios: Some Empirical Results

Published online by Cambridge University Press:  19 October 2009

Nancy L. Jacob
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Extract

Markowitz [12] and Tobin [19] pioneered in the development of a portfolio selection model resting on the assumptions that the investor

1. Chooses among alternative investment opportunities solely on the basis of expected return (E) and standard deviation of return 〈σ〉, and

2. Prefers more expected return to less but will refuse to incur additional risk (measured by standard deviation) unless compensated by increased expected return.

Type
Investments I
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 2 , March 1971 , pp. 815 - 833
Copyright
Copyright © School of Business Administration, University of Washington 1971

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References

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