Modern portfolio theory, 1950 to date

Elton, Edwin J.; Gruber, Martin J.

doi:10.1016/s0378-4266(97)00048-4

Cited by 211 publications

(109 citation statements)

References 66 publications

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“…Nevertheless, the mean variance theory has remained the cornerstone of the modern portfolio theory. Its persistence is due to the fact that the theory is widely known, well developed and has a great intuitive appeal understandable even by the professionals who never run an optimizer (Elton and Gruber 1997;Rubinstein 2002). Following the Freund approach and denoting Σ = the covariance matrix of the random vector (c 1 , …, c n ) x = the decision variables vector a = the risk aversion coefficient γ = the unit profit means vector, i.e.…”

Section: Methodsmentioning

confidence: 99%

Crop plan optimization under risk on a farm level in the Czech Republic

Janová¹

2014

AGR ECON-CZECH

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Th e precise agricultural operations research models claiming complex solutions and specialized software tools may appear too complicated to truly support the decision making process on the farm level. Th e specifi c balance between the simplifi cations made and the correspondence to the real problem must be found when building decision support for a local farmer. In this paper, a decision support model for agricultural production planning in the Czech Republic is developed covering both the randomness of parameters entering the problem and the complex crop succession requirements. Crucially, the model can be approached using software tools commonly available to farmers. Th e structure of the simplifi ed model is described in detail, its validity proved by the recently suggested simulation procedures and the general applicability of the model structuring for a local agriculture decision support is discussed.

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Section: Methodsmentioning

confidence: 99%

Crop plan optimization under risk on a farm level in the Czech Republic

Janová¹

2014

AGR ECON-CZECH

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“…Rather, an investor had to consider the correlation of the returns of an asset with the returns of all other assets. Taking into account these co-movements allowed the construction of a portfolio that had the same return with lower risk than a portfolio that ignored the interactions (Elton et al 1997). (Sharpe 1964) and others (Lintner 1965) and (Mossin 1966) recognized and advanced some of the potential implications of portfolio theory.…”

Section: Financementioning

confidence: 99%

Using portfolio theory to improve resource efficiency of invested capital

Byers

Groth

Sakao

2015

Journal of Cleaner Production

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The diligent use of capital of all forms contributes to sustainability. In fact, capital employment is a common factor in sustainability research and in the practice of sustainability management. For example, capital usage is included in research in environmental sustainability in the context of sustainable consumption. Product/Service Systems (PSS), which includes product sharing as one concrete form, has been addressed in research on that context. However, virtually no literature provides concrete, theory-based methods for quantifying the effects of sharing products. The goal of this paper is to describe the potential contribution of portfolio theory in order to quantify the effects and optimize the employment of capital in a theoretical and quantitative manner in the context of sustainability. Practices tied to the prescriptions of portfolio theory can contribute to environmental sustainability. The core perspective can be summarized as follows: the pooled, portfolio approach to asset management yields a reduction in assets employed and used relative to the volume of demanded resources used for need fulfillment. To reach this goal, the paper first provides a brief literature review from the "finance side" of literature. Then, the "engineering side" literature offers a few examples of others who have applied the prescriptions of portfolio theory to "engineering" application. After that, it provides an overview of the core issues and implications of portfolio theory, and develops some ideas to support application of portfolio theory. The provided insights illustrate how portfolio principles applied outside the arena of investments can yield benefits, including the fulfillment of needs with the least resource used -a core principle in sustainability. In particular, the "pooling" of assets/services to meet uncertain demands from different users of an asset/service pool may yield benefit from diversification effects. Furthermore, the paper offers additional avenues for future research. It describes how this special application of portfolio theory outside the realm of finance can yield benefits that positively affect the creation of value and resource use in an economy at large.

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“…A prática de diversificar os investimentos para diluir os riscos já não era uma ideia recente quando Markowitz desenvolveu sua teoria, todavia, ele foi o primeiro a estudar e conseguir demonstrar de forma racional como funciona a estrutura de um portfólio. Por meio de seus estudos ele mostrou como os ativos interagem entre si e a partir disso, demonstrou uma maneira de se obter um portfólio ótimo (ELTON & GRUBER, 1997 …”

Section: A Moderna Teoria De Portfóliounclassified

Análise do desempenho dos filtros de Graham e o modelo de Elton-Gruber para o Brasil entre 2008 a 2012

Ferreira

Santos

2014

RBADM

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RESUMOGerir pessoas é um fator decisivo para o sucesso das organizações. A seleção e a contratação de pessoas certas para as funções de cada cargo são determinantes para a eficiência e eficácia nos processos empresariais. A criatividade e a inovação também dependem do potencial humano da organização. Surge então um grande desafio na Gestão de Pessoas: Como reconhecer as preferências e as características pessoais e profissionais de cada indivíduo. Desde a antiguidade, povos e civilizações buscavam decodificar a personalidade humana, no entanto, ainda não há uma teoria completa para explicar a personalidade em sua totalidade. Embora não seja uma teoria completa, os Tipos Junguianos, aliados ao inventário do MBTI conquistaram ao longo do tempo muitos adeptos e proporcionaram contribuições valiosas para a compreensão das pessoas em suas preferências e atitudes. Muitas organizações de diversos países vêm utilizando o MBTI para selecionar, contratar e realocar pessoas no trabalho, de modo a maximizar a sua eficiência e as aptidões naturais de cada indivíduo. A compreensão das diferenças nos tipos de personalidade não deve separar as pessoas, mas agregar na complementaridade. O trabalho apresentado, com base em uma abordagem psicológica e gerencial, busca compreender a personalidade humana, com um enfoque na teoria dos Tipos Psicológicos de Carl Gustav Jung e no método de avaliação dos tipos de Myers-Briggs Type Indicator (MBTI). A metodologia empregada foi uma pesquisa empírica descritiva com questionários estruturados aplicados a 21 casos. Os resultados do estudo comprovam que o MBTI é capaz de predizer com grande fidedignidade as preferências pessoais e profissionais para as funções das quais propõe identificar e, que exercem relevância e importância na gestão de pessoas por permitir uma compreensão da tipologia humana a partir de uma metodologia com respaldo na teoria do renomado psicanalista Carl Gustav Jung. PALAVRAS-CHAVES:Personalidade; Tipos Psicológicos; MBTI; Gestão de Pessoas. EVALUATION OF JUNG PSYCHOLOGICAL TYPES IN PEOPLE MANAGEMENT ABSTRACTTo manage people is a decisive factor for success in organizations. Selecting and hiring the right people for the right position is what determines the efficiency and effectiveness of the business processes. The creativity and innovation also depend on the human potential of the organization. Then, comes a great challenge in People Management: How to recognize the preferences and personal and professional characteristics of every individual. For ages, people and civilizations have tried to decode the human personality; however, there is not yet a complete theory to explain the personality in its wholeness. Despite not being a complete theory, the Jung Types, associated to the MBTI stock, have conquered with time, many adepts and provided precious contributions for the understanding of people and their preferences and attitudes. Many organizations around the world have been using the MBTI to select, hire and reallocate people at work, as a way to maximize their efficie...

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Modern portfolio theory, 1950 to date

Cited by 211 publications

References 66 publications

Crop plan optimization under risk on a farm level in the Czech Republic

Crop plan optimization under risk on a farm level in the Czech Republic

Using portfolio theory to improve resource efficiency of invested capital

Análise do desempenho dos filtros de Graham e o modelo de Elton-Gruber para o Brasil entre 2008 a 2012

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