Abstract
Harry Markowitz discovered Modern Portfolio Theory while completing his doctorate thesis at the University of Chicago, with the goal of finding the optimal investment portfolio in mind. Under Markowitz’s work, a portfolio, or a collection of securities, is studied using a combination of concepts from portfolio theory. These concepts include expected value, variance, and covariance. They combine to produce an expected return and risk for each attainable portfolio, which are then compared with one another to create an efficient frontier. The portfolios that live on the efficient frontier produce the most return for a given level of risk and are determined most desirable for portfolio managers because it returns the most bang for their buck.
Advisor
Wooster, Robert
Department
Mathematics
Recommended Citation
Coppock, Adam J., "Applying Modern Portfolio Theory to Optimal Portfolio Construction" (2016). Senior Independent Study Theses. Paper 7237.
https://openworks.wooster.edu/independentstudy/7237
Disciplines
Finance and Financial Management | Portfolio and Security Analysis
Keywords
Modern Portfolio Theory, Investment Banking, Probability Theory, Nonlinear Programming Models
Publication Date
2016
Degree Granted
Bachelor of Arts
Document Type
Senior Independent Study Thesis
© Copyright 2016 Adam J. Coppock