Markowitz efficient portfolio

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Markowitz efficient portfolio

Also called a mean-variance efficient portfolio, a portfolio that has the highest expected return at a given level of risk.

Markowitz Efficient Portfolio

In Markowitz Portfolio Theory, a portfolio with the highest level of return at a given level of risk. One who carries such a portfolio cannot further diversify to increase the expected rate of return without accepting a greater amount of risk. Likewise one cannot decrease his/her exposure to risk without proportionately decreasing the expected return. A Markowitz efficient portfolio is determined mathematically and plotted on a chart with risk as the x-axis and expected return as the y-axis. See also: Markowitz efficient set of portfolios, Homogeneous expectations assumption.
References in periodicals archive ?
Thus, AS is the return a fund would have earned if it did no trading and only held broad characteristic portfolios.
Managers who anticipate the time-varying premium on the various characteristic portfolios can add value.
For a complete discussion of characteristic portfolios see Daniel et al.
As benchmarks for some tests, I compute the returns of Daniel, Grinblatt, Titman, and Wermers (1997) (hereafter DGTW) characteristic portfolios from this universe of CRSP stocks.
Finally, the stocks within each characteristic portfolio are equally weighted at the beginning of each month and the buy-and-hold average daily returns are computed.

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