Title :
Modern portfolio theory.I
Author_Institution :
Northern Arizona Univ., Flagstaff, AZ
Abstract :
This column returns to the topic of investment engineering. Previous columns on this topic have established the following foundation: a) a block diagram view of investment engineering; b) the lognormal model of price behavior; c) the efficient market approximation; d) the nonideal behavior of real markets. The remainder of the series will present two different approaches to market analysis. One starts from the efficient market approximation and the lognormal price model. It then derives results of practical importance, including modern portfolio theory (MPT) and options pricing theory (OPT). The other starts with the assumption that market sentiment should not be neglected and proceeds to develop the tools of technical analysis (TA). This column provides an introduction to MPT
Keywords :
investment; pricing; risk management; investment engineering; lognormal price model; market analysis; modern portfolio theory; options pricing theory; technical analysis; Fluctuations; Investments; Optimized production technology; Petroleum; Portfolios; Pricing; Security;
Journal_Title :
Microwave Magazine, IEEE
DOI :
10.1109/MW-M.2006.247902