文档介绍：Journal of Banking & Finance 21 (1997) 1743±1759
Modern portfolio theory, 1950 to date
Edwin J. Elton a, Martin J. Gruber b,*
a Management Education Center, 44 West 4th Street, Suite 9-190, Stern School of Business,
New York, NY 10012-1126, USA
b Department of Finance, Stern School of Business, New York University, Suite 9-190,
44 West 4th Street, New York, NY 10012-1126, USA
Abstract
In this article we have reviewed ``Modern Portfolio Analysis'' and outlined some im-
portant topics for further research. Issues discussed include the history and future of
portfolio theory, the key inputs necessary to perform portfolio optimization, speci®c
problems in applying portfolio theory to ®nancial institutions, and the methods for eval-
uating how well portfolios are managed. Emphasis is placed on both the history of ma-
jor concepts and where further research is needed in each of these areas. Ó 1997
Elsevier Science . All rights reserved.
JEL classi®cation: G11; G12
Keywords: Portfolio theory; Optimization; Performance evaluation; Financial institu-
tions
1. Introduction
One of the key issues facing an individual is how to allocate wealth among
alternative assets. Almost all ®nancial institutions have the same problem with
the plication that they need to explicitly include the characteristics
* Corresponding author. Tel.: 1 212 998 0333; fax: 1 212 995 4321; e-mail: ******@stern.-
.
0378-4266/97/$ Ó 1997 Elsevier Science . All rights reserved.
PII S 0 3 7 8 - 4 2 6 6 ( 9 7 ) 0 0 0 4 8 - 4
1744 . Elton, . Gruber / Journal of Banking & Finance 21 (1997) 1743±1759
of their liabilities in the analysis. While the structure of these problems varies
somewhat, they are similar enough that we classify both as portfolio theory.
Portfolio theory is a well-developed paradigm. There are excellent textbooks
on the subject. Of course, we are especially partial to our own Modern Portfolio
Theory and Investment Analysis. 1 The