How to Represent Mark-to-Market Possibilities with the General Portfolio Selection Model

• Published in: Journal of portfolio management Vol. 39; no. 4; p. 1
• Main Author: Markowitz, Harry M
• Format: Journal Article
• Language: English
• Published: London Pageant Media 01.06.2013
• Subjects: Algorithms; Capital assets; Investments; Optimization; Portfolio management; Selection; Software packages; Stochastic models; United States > US

This article presents a different way to use general portfolio selection model (GPSM) to represent leverage aversion. Ignoring certain less-important differences between the two approaches, the principal difference is that the proposal presented here requires a separate model -- to evaluate the prob...