Revisiting modern portfolio theory

Resumo

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character

Ficha do documento

Tipo

Estudo

Ano

2016

Instituição

Escola de Economia de São Paulo

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/16556

Temas

Economia

Palavras-chave

Modern portfolio theorySeparation theoremStrategic allocationTactical allocationLeverageEfficient frontierEconomiaInvestimentosInvestimentos - AdministraçãoProcesso decisórioAlocação de ativos