Abstract
How should we invest our wealth? Portfolio theory provides an answer to this question based upon two principles:
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we want to maximize the expected return; and
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we want to minimize the risk, which we define in this chapter to be the standard deviation of the return, though we may ultimately be concerned with the probabilities of large losses.
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© 2011 Springer Science+Business Media, LLC
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Ruppert, D. (2011). Portfolio Theory. In: Statistics and Data Analysis for Financial Engineering. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7787-8_11
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DOI: https://doi.org/10.1007/978-1-4419-7787-8_11
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Print ISBN: 978-1-4419-7786-1
Online ISBN: 978-1-4419-7787-8
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