Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods (Classic Reprint) - Tapa blanda
Sinopsis
Excerpt from Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods
Aside from its algebraic tractability, the mean-variance model has in terest because of its separation property. Therefore, great interest inhered in the cass-stiglitz elucidation of the broader conditions under which such a property must hold regardless of the probability distribution of rd turns. The Special families of utility functions with constant-relative risk aversions or constant-absolute - risk aversions further gained in inter est§ But it was realized that real-life utilities need not be of so simple a form.
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Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
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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Reseña del editor
Excerpt from Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods
Aside from its algebraic tractability, the mean-variance model has in terest because of its separation property. Therefore, great interest inhered in the cass-stiglitz elucidation of the broader conditions under which such a property must hold regardless of the probability distribution of rd turns. The Special families of utility functions with constant-relative risk aversions or constant-absolute - risk aversions further gained in inter est§ But it was realized that real-life utilities need not be of so simple a form.
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com
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.
Reseña del editor
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 www.forgottenbooks.com
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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Paperback. Condición: New. Print on Demand. This book challenges the widely accepted theory that maximizing the expected average rate of return over long timelines will produce optimal returns for investors. The author posits that this logic is flawed and, in fact, a more conservative, diversified approach is more likely to generate better outcomes for investors. The author's work is well-researched and draws on a variety of sources to demonstrate the riskiness of popular portfolio management strategies. They conclude by suggesting that a more cautious approach to investing that focuses on long-term, steady growth is more likely to lead to investment success. For investors seeking a deep dive into the misconceptions and errors of the contemporary financial world, this book is an essential resource. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Nº de ref. del artículo: 9781332260744_0
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Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision-Making Over Many Periods (Classic Reprint)
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Forgotten Books Jul 2018, 2018
ISBN 10: 1332260748
ISBN 13: 9781332260744
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