The Derivation of Efficient Sets

B-Tier
Journal: Journal of Financial and Quantitative Analysis
Year: 1976
Volume: 11
Issue: 5
Pages: 817-830

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In 1952, Harry M. Markowitz [6] described a theory on the selection of assets in forming a portfolio. Assuming asset returns are stochastic, his theory postulated that rational investors should select a portfolio from the set of all portfolios which offered minimum risk (measured by variance) for varying levels of expected return. This set was named the efficient set by Markowitz.

Technical Details

RePEc Handle
repec:cup:jfinqa:v:11:y:1976:i:05:p:817-830_02
Journal Field
Finance
Author Count
1
Added to Database
2026-01-24