efficient portfolio

Efficient portfolio

A portfolio that provides the greatest expected return for a given level of risk (i.e., standard deviation), or, equivalently, the lowest risk for a given expected return.

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.

efficient portfolio

A combination of investments that offer either the highest possible yield at a given risk level or the lowest possible risk at a given yield level. Although the concept of an efficient portfolio is important to understand, in practice it is more academic than practical.

Wall Street Words: An A to Z Guide to Investment Terms for Today's Investor by David L. Scott. Copyright © 2003 by Houghton Mifflin Company. Published by Houghton Mifflin Company. All rights reserved. All rights reserved.

References in periodicals archive ?

Sharpe (1964) formulated CAPM (Capital Asset Pricing Model), whose foundation is the deduction that the efficient portfolio would be the market portfolio itself.

Asset Pricing Model (CAPM) In Emerging Markets: Evidence in Brics Nations and Comparisons with Other G20

Franklin Energy's NGAGE platform is a scalable end-to-end solution that seamlessly integrates utility portfolio programs and conservation products into a single web-based interface for more efficient portfolio administration and more effective customer engagement.

Franklin Energy Integrates Resource Action Programs

Table 3 also shows five Sharia mutual funds that have consistently positive performance based on four performance measurements used, meaning that the Sharia mutual funds had an efficient portfolio. The five Sharia mutual funds that have consistently positive performance comes from three Sharia fixed income mutual funds and two others are classified as the Sharia equity mutual funds.

SHARIA MUTUAL FUNDS PERFORMANCE IN INDONESIA

The optimal portfolio should be the tangency portfolio between the EF and the highest indifference curve or, in other words, the efficient portfolio with maximum expected utility.

Calculating the Efficient Frontier for the Portuguese Stock Market

Markowitz's mean variance criterion simply states that an investor should always choose an efficient portfolio.

Multi-Objective Portfolio Selection Model with Diversification by Neutrosophic Optimization Technique

However, the result will be a less efficient portfolio in terms of excess risk per unit of return.

BUILDING OPTIMAL RISKY AND UTILITY MAXIMIZING TIAA/CREF PORTFOLIOS

Among the advantages are broad diversification, professional management, liquidity, efficient portfolio management and, most importantly, the opportunity to buy at a discount to the net asset value of the fund.

Money Management: Municipal bond investment yields significant after-tax return

The portfolio analysis is done to identify and select those diverse securities which can achieve the desired risk for the portfolio or in other words select the most efficient portfolio. The investor on the other hand selects from a wide array of available portfolios one that optimizes both the risk and return relationship.

Analyzing Performance of Islamic and Conventional Funds Listed In Karachi Stock Exchange

"We have a very efficient portfolio and we still have more we can do to it.

Shell bullish about North Sea

The LifeYield Advantage Suite is the industry's only tax efficient portfolio software with actionable multi-account advice that empowers Financial Advisors to offer advice and guidance designed to help increase wealth and improve the retirement of their clients.

Morgan Stanley and LifeYield to empower financial advisors

"We built it to help solve a need that they saw, to deliver an efficient portfolio construction and segment their client base," Kalbaugh said.

LPL Launching Robo-Advisor This Month

Hence, without knowing his exact utility function in terms of Von Neumann and Morgenstern (1944), an investor is likely to maximize the true expected utility when selecting his preferred mean-variance efficient portfolio.

Portfolio optimization under solvency II: implicit constraints imposed by the market risk standard formula

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