Modern Portfolio Theory

Shipway, Ian

doi:10.1093/tandt/ttn129

Cited by 11 publications

(17 citation statements)

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“…As far as the individual is concerned, MPT has two assumptions. First, investors are rational and want to achieve a return commensurate with risk and all investors are risk averse and only explore increased risk if there is a higher expectation of return (Shipway ). Tobin () further advanced the features of MPT by introducing the risk‐free asset among the variables enabling the possibility to either leverage or de‐leverage the portfolio on the efficient frontier, thus creating a super‐efficient portfolio.…”

Section: Local Governments and Investment Practicesmentioning

confidence: 99%

Assessing Participation in the State‐Sponsored Local Government Investment Pool during the Recession: An Examination of North Carolina Counties

Modlin

Stewart²

2013

Public Budgeting & Finance

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This study examines county government participation in the state-sponsored investment pool, the North Carolina Capital Management Trust (NCCMT), during the recession years. Using panel data of all 100 counties in North Carolina with additional survey data from finance officers concerning annual practices between fiscal years 2008-2011, findings suggest that county sales taxes were the most influential revenue stream on NCCMT cash portfolio participation while the accumulation of alternative revenue sources decreased participation. The findings also determined that the NCCMT was the safest investment option for idle local government funds during the recession.

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Section: Local Governments and Investment Practicesmentioning

confidence: 99%

Assessing Participation in the State‐Sponsored Local Government Investment Pool during the Recession: An Examination of North Carolina Counties

Modlin

Stewart²

2013

Public Budgeting & Finance

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“…The concept of risks and returns and their interaction is an integral part of investing (Markowitz, 1959;Shipway, 2009, p. 66;Bodie et al, 2014, p. 10). Not all investable assets such as shares, bonds, real estate and commodities (to name a few) bear the same risks and returns (Markowitz, 1959;Shipway, 2009;Bodie et al, 2014). The concept of asset classes allows for grouping those investable assets that have similar risks and returns (Markowitz, 1959;Shipway, 2009;Bodie et al, 2014).…”

Section: Asset Classmentioning

confidence: 99%

“…Diversification across asset classes offers substantial returns in the long term (Philips et al, 2012). Additionally, modern portfolio theory prescribes methods to reduce investment risk (Markowitz, 1959;Shipway, 2009;Malkiel, 2015) and, if Bitcoin is a MEDAR 27,1 new asset class, this will inform portfolio construction. Traditional portfolios place little reliance on alternative assets, assets that have their own unique economic and behavioural characteristics apart from shares and bonds (Burniske and Tatar, 2017).…”

Section: Introductionmentioning

confidence: 99%

Bitcoin as a new asset class

Ram

2019

MEDAR

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Purpose Bitcoin is the best-known cryptocurrency which currently holds the largest market capitalisation and is regarded as a standard example of a cryptocurrency. There is, however, no consensus as to the nature of the Bitcoin. The purpose of this paper is to determine whether Bitcoin represents a new asset class by building on prior research. Design/methodology/approach The prior literature on asset classes is explored in detail and then applied to the Bitcoin. Four key criteria of asset classes are discussed, namely, investability, politico-economic profile, correlation of returns and risk-reward profile. Statistical techniques are used to inform the conclusions for the third and fourth criteria. Findings This research finds that the Bitcoin represents a distinct alternative investment and asset class. There are significant opportunities for investment. The politico-economic profile of the decentralised and consensus-based Bitcoin is dissimilar to other asset classes. The Bitcoin shares little or no correlation with other asset classes. Using Sharpe Ratios, it is shown that the Bitcoin provides risk-adjusted returns over and above most asset classes. Research limitations/implications The aim of this research is to present a normative exploration into the asset class nature of the Bitcoin and, as a result, the aim is not to create positivist generalisable conclusions. This paper does not address cryptocurrencies, other than Bitcoin and does not constitute a detailed manual on modern portfolio theory. Originality/value This research adds to finance paradigm research on the Bitcoin by including a developing country perspective on Bitcoin as an asset class as prior studies have concentrated on developed country settings. Further, this research introduces recent economic data (2014 to 2017) in the form of daily observations to enhance prior understanding. It is important to understand if the Bitcoin represents an alternative investment and new asset class as this may affect investment decisions.

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“…This motivation is enhanced through low interest rates that translate into cheap capital, easy to fund the acquisitions with debt. Diversification in different areas related to the modern portfolio theory [28], which explains that the market value of a company can increase when one invests into different assets, especially if they are less correlated, however differing from conglomerate mergers, mergers that are transactions between firms of totally unrelated business activities [29]. As outlined in the modern portfolio theory, mergers area also a way to diversify risk and maximize expected returns [30].…”

Section: Grow Bigger By Building a Sustainable Portfolio And Valuationmentioning

confidence: 99%

Critical analysis of valuation and strategical orientation of merger and acquisition deals in the pharmaceutical industry

Dierks

Bruyère

Reginster

2017

Expert Review of Pharmacoeconomics & Outcomes Research

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The pharmaceutical industry is undergoing major shifts due to changing macro and micro factors. As the industry is highly capital intensive and patents are expiring, the outlook is on generating inorganic growth, mainly through M&A. Using the income valuation approach, one analyses two completed deals in 2016 above 1bn USD. Thereafter one outlines the main motives behind M&A deals and concluded by discussing whether M&A harms medical innovations. Areas covered: The paper is based on empirical study questioning existing literature in order to critically analyse valuation and the strategical orientation of pharmaceutical companies Expert commentary: Pharmaceutical companies understand the changing market conditions and favour their expertise. The restructuring of the industry moves to small niche companies (I.e. Biopharma or biotech companies) researching key innovations and big companies purchasing them to develop them, create clinical trials and distribute them as this is a costly manner Conclusion: One can expect more M&A deals during the next years focusing on value rather than volume. Pharmaceutical players resilient to the market changes may survive if they change their business model from a traditional vertical one to outsourcing and diversification including external players.

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Modern Portfolio Theory

Cited by 11 publications

References 0 publications

Assessing Participation in the State‐Sponsored Local Government Investment Pool during the Recession: An Examination of North Carolina Counties

Assessing Participation in the State‐Sponsored Local Government Investment Pool during the Recession: An Examination of North Carolina Counties

Bitcoin as a new asset class

Critical analysis of valuation and strategical orientation of merger and acquisition deals in the pharmaceutical industry

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