Frontiers in Finance and Economics is a UGC APPROVED International Journal of Research

Portfolio Theory and Portfolio Management:A Synthetic View

Dipasri Ghosh, Dilip K. Ghosh 
This work revisits the analysis of portfolio theory, originally brought out by Harry Markowitz and A. D. Roy, and then it takes the analytical structures beyond the Markowitz and Roy paradigms of mean-variance efficiency frontier. Selection- and revision-theoretic analysis against the backdrop of utility maximization is then presented, and comparative static exercises are performed to examine the effects of expected changes in asset prices on the optimal configuration of resultant portfolio structure. In this examination, effects of price changes are decomposed into Hicksian income effects and substitution effects. The final section shows that theoretical constructs and practitioners’ works are not really divorced from each other. In fact, it is pointed out that the practical management of portfolios is deeply rooted in the theoretical work.
Keywords: mean-variance efficiency frontier, risk aversion,  safety-first, capital market line, security market line.
JEL Classification: G11

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