Hostname: page-component-7479d7b7d-m9pkr Total loading time: 0 Render date: 2024-07-12T18:40:30.292Z Has data issue: false hasContentIssue false
  • English
  • Français

A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks

Published online by Cambridge University Press:  06 April 2009

Gordon J. Alexander
Get access Rights & Permissions [Opens in a new window]

Extract

Two methods for deriving efficient sets involve either the Markowitz [3] approach, where every security can be viewed as being related to an index unique to itself, or the Sharpe [4] single-index model, where every security is related to the same index. Given the extreme differences between these models, Cohen and Pogue [1] developed two intermediate models. They found that the efficient set derived from the Sharpe single-index model came closer to approximating the Markowitz model's efficient set than their models when empirically tested on a sample of common stocks. Subsequently a similar test was performed by Wallingford [6] which yielded contradictory conclusions.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 1 , March 1978 , pp. 71 - 78
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Cohen, Kalman J., and Pogue, Gerald A.. “An Empirical Evaluation of Alternative Portfolio-Selection Models.” Journal of Business, Vol. 40 (04 1967), pp. 166–93.Google Scholar
[2]Fisher, Lawrence. “Some New Stock Market Indices.” Journal of Business, Vol. 39 (Supplement, 01 1966), pp. 191–225.Google Scholar
[3]Markowitz, Harry M. “Portfolio Selection.” Journal of Finance, Vol. 7 (03 1952), pp. 77–91.Google Scholar
[4]Sharpe, William F. “A Simplified Model for Portfolio Analysis.” Management Science, Vol. 9 (01 1963), pp. 277–93.CrossRefGoogle Scholar
[5]Vasicek, Oldrich A. “A Note on Using Cross-Sectional Information in Bayesian Estimation of Security Betas.” Journal of Finance, Vol. 28 (12 1973), pp. 1233–1239.Google Scholar
[6]Wallingford, Buckner. “A Survey and Comparison of Portfolio Selection Models.” Journal of Financial and Quantitative Analysis, Vol. 2 (06 1967), pp. 85–106.CrossRefGoogle Scholar