Statistical considerations in portfolio selection Public Deposited

http://ir.library.oregonstate.edu/concern/graduate_thesis_or_dissertations/ng451k93d

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  • 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 which determines the optimal allocation of the investment dollar, Within the scope of the discussion, the optimal allocation is defined to be the one which minimizes the portfolio variance while maximizing the associated utility. It is shown how this allocation defines a portfolio which is efficient under all types of efficiency criteria. Tolerance limits around the expected portfolio return are also introduced and discussed. Their importance lies in the fact that a probability of occurrence may be associated with an interval estimate of a parameter but not with a point estimate of a parameter.
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  • File scanned at 300 ppi using Capture Perfect 3.0 on a Canon DR-9050C in PDF format. CVista PdfCompressor 5.0 was used for pdf compression and textual OCR.
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  • description.provenance : Approved for entry into archive by Patricia Black(patricia.black@oregonstate.edu) on 2014-05-28T18:23:52Z (GMT) No. of bitstreams: 1 ReinmuthJamesE1965.pdf: 729342 bytes, checksum: aba1c57955cb6491a37bfbfed9b2c131 (MD5)
  • description.provenance : Made available in DSpace on 2014-05-28T21:06:43Z (GMT). No. of bitstreams: 1 ReinmuthJamesE1965.pdf: 729342 bytes, checksum: aba1c57955cb6491a37bfbfed9b2c131 (MD5) Previous issue date: 1965-05-11

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