Inefficient portfolio

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Inefficient portfolio

Group of assets dominated by at least one other portfolio under the mean variance rule. For example, if A has both lower return and higher volatility than B, we say A is dominated by B.

Inefficient Portfolio

A portfolio that provides too low a return for the risk. That is, an inefficient portfolio has taken on so much risk that the return is not worth the effort. In Markowitz portfolio theory, an inefficient portfolio is graphically represented as any portfolio that does not follow the efficient frontier, or the set of portfolios that provide the highest return at each different level of risk.
References in periodicals archive ?
Furthermore, we systematically select inefficient portfolios and assess their admissibility, too.
Moreover, in the fourth section, we run the quadratic programs for portfolio optimization with various constraints and calculate the capital requirements for the efficient as well as selected inefficient portfolios.
Below we calculate the market risk capital requirements for a systematically selected batch of inefficient portfolios and assess their admissibility, too.
When turning to the inefficient portfolios, we gather an even more surprising picture.
Third, efficient portfolios are not systematically preferred to inefficient portfolios, meaning that some companies may need to expose themselves to a higher than necessary degree of market risk to earn their costs of capital.
Finally, it coherently favors efficient over inefficient portfolios, meaning that for a fixed level of asset risk, the insurer may always select the portfolio with the highest expected return.
Finally, we consider a systematically selected set of inefficient portfolios and check their admissibility, too.
For SSD inefficient portfolios, several SSD portfolio inefficiency measures were introduced in [24], [11] and [8].
On the other hand, for an SSD inefficient portfolio with respect to [W.
And the managers who were invested the most in their home states ended up with the most inefficient portfolios.