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<p>Portfolio management -- Mathematical models<br />Dow Jones industrial average<br />Investment analysis -- Mathematical models</p>
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Methods And Applications Of The Mean-Variance Portfolio Selection Model, John W. Marsh
Methods And Applications Of The Mean-Variance Portfolio Selection Model, John W. Marsh
Doctoral Dissertations
"The Mean-Variance portfolio selection model, or Efficient Market model, is examined in terms of the small investor. The performance is first tested on the small sample space of the thirty Dow Jones Industrials. The results show that it is possible to outperform the market by investing in the minimum-variance, or safest, portfolio. The Critical-Line algorithm as developed by Markowitz and modified by Sharpe is used in this analysis.
Since the Critical-Line algorithm is very time-consuming and does not always converge to a solution, an alternate algorithm is developed. This algorithm, referred to as the “Simplified Algorithm”, is designed to find …