Published October 1981. Facts and recommendations in this publication may no longer be valid. Please look for up-to-date information in the OSU Extension Catalog: http://extension.oregonstate.edu/catalog
The problem of deciding exactly how to allocate a limited amount
of capital resources among competing investment alternatives in order
to provide the greatest economic benefit to the business enterprise has
been a subject of interest for nearly a century. Many decision models
and methods for evaluation and comparison of...
It is the purpose of this study to examine some statistically-oriented considerations which may facilitate
portfolio selection policies. Many of the preliminary
topics discussed parallel and extend the notions of
W. J. Baumol, H. M. Markowitz, and W. F. Sharpe.
The crux of the study introduces a quadratic programming
algorithm...
In this dissertation, we study two risk models. First, we consider the dual risk process which models the surplus of a company that incurs expenses at a constant rate and earns random positive gains at random times. When the surplus is invested in a risky asset following a geometric Brownian...