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Artikel-Nr. 18277921

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  • Robert C. Merton
  • Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods (Classic Reprint) 

    Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 2 Artikel!

    Lieferstatus:   i.d.R. innert 5-10 Tagen versandfertig
    Veröffentlichung:  August 2015  
    Genre:  Geschichte / Politik / Kultur 
    ISBN:  9781332260744 
    Verlag:  Forgotten Books 
    Einband:  Kartoniert  
    Sprache:  English  
    Dimensionen:  H 229 mm / B 152 mm / D 5 mm 
    Gewicht:  147 gr 
    Seiten:  100 
    Zus. Info:  23:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on White w/Gloss Lam 
    Bewertung: Titel bewerten / Meinung schreiben
    Excerpt from Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods Thanks to the revival by von Neumann and Morgenstern, maximization of the expected value of a concave utility function of outcomes has for the last third of a century generally been accepted as the "correct" criterion for optimal portfolio selection. Operational theorems for the general case were delayed in becoming recognized, and it was appropriate that the seminal breakthroughs of the 1950's be largely preoccupied with the special case of mean-variance analysis. Not only could the fruitful Sharpe-Lintner-Mossin capital asset pricing model be based on it, but in addition, it gave rise to simple linear rules of portfolio optimizing. In the mean-variance model, the well-known Separation or Mutual-Fund Theorem holds; and with suitable additional assumptions, the model can be used to define a complete micro-economic framework for the capital market, and a number of empirically testable hypotheses can be derived. As a result, an overwhelming majority of the literature on portfolio theory have been based on this criterion. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.


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