Inter-Temporal Portfolio Analysis Based on Simulation of Joint Returns

摘要: An inter-temporal quadratic programming model for selecting portfolios of risky assets is formulated. The model's application to capital budgeting discussed in considerable detail. This followed by briefer discussions its other areas. paper develops a new and more efficient way using simulation calculate the variance-covariance elements required as input Markowitz-type models; this procedure makes no further demands on decision maker than do models that have been suggested. also shows how such can be made inter-temporal. Finally, analyzes potentials extending include theoretical considerations proposed literature.