Open Access Open Access  Restricted Access Subscription Access
Open Access Open Access Open Access  Restricted Access Restricted Access Subscription Access

Portfolio Selection Theories: Review, Synthesis and Critique


Affiliations
1 Indian Institute of Finance, Delhi, India
     

   Subscribe/Renew Journal


The paper reviews the growing academic richness in the field of Portfolio Selection. The paper has highlighted the emerging research problems, development of newer research tools and techniques, data and methodology and changing paradigms of multi-disciplinary approach to finding solutions to the problems of portfolio choice. Vividly, the main contributions and observations have been presented in the paper.

Keywords

Portfolio Choice, JEL, G11, C61.
Subscription Login to verify subscription
User
Notifications
Font Size


  • Ang, Andrew and Geert Bekaert. 2007. Stock return predictability: is it there? The Review of Financial Studies 20(3): 651-707.
  • Banerjee, Arindam. 2011. An empirical study on the price performance of the IPOs in Indian stock market. IME Journal 5(1): 29-37.
  • Brown, David B. and Melvyn Sim. 2009. Satisficing measures for analysis of risky positions. Management Science 55(1): 71-84.
  • Fama, E. and K. French. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33: 3-56.
  • Garlappi, Lorenzo, Raman Uppal and Tan Wang. 2007. Portfolio selection with parameter and model uncertainty: a multi-prior approach. Review of Financial Studies 20(1): 41-81.
  • Griffin, John M., Federico Nardari and Rene M. Stulz. 2007. Do investors trade more when stocks have performed well? evidence from 46 countries. The Review of Financial Studies 20(3): 905-951.
  • Heston, S. L. 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 6: 327-343.
  • Jeyachitra, A., M. Selvam and J. Gayathri. 2010. Portfolio risk and return relationship - an empirical study. Asia-Pacific Business Review 6(4): 41-47.
  • Kumar, S. Saravana. 2010. An analysis of investor preference towards equity and derivatives. The Indian Journal of Commerce 63(3): 71-78.
  • Levy, Haim and Zvi Lerman. 1988. Testing the predictive power of ex-post efficient portfolios. The Journal of Financial Research 11(3): 241-254.
  • Liu, Jun. 2007. Portfolio selection in stochastic environments. Review of Financial Studies 20(1): 1-39.
  • Lucas, Andre and Arjen Siegmann. 2008. The effect of shortfall as a risk measure for portfolios with hedge funds. Journal of Business Finance and Accounting 35(1-2): 200-226.
  • Manjunatha, T., T. Mallikarjunappa and Mustiary Begum. 2006. Does capital asset pricing model hold in the Indian market? The Indian Journal of Commerce 59(2): 73-83.
  • Mehta, Kiran and Ramesh Chander. 2010. Application of Fama and French three factor model and stock return behavior in Indian capital market. Asia-Pacific Business Review 6(4): 22-44.
  • Merton, R. C. 1971. Optimum consumption and portfolio rules in a continous-time model. Journal of Economic Theory 3: 373-413.
  • Mishra, Bisawdeep. 2001. A study of Mutual Funds in India. Ph. D. Thesis, Faculty of Management Studies, University of Delhi: 211.
  • Polkonichenko, Valery. 2007. Life-cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk. Review of Financial Studies 20(1): 83-124.
  • Saleh, Walid. 2010. Size, book-to-market, volatility and stock returns: evidence from Amman stock exchange (ASE). Frontiers in Finance and Economics 7(2): 90-124.
  • Sudhakar, A. and K. Sasi Kumar. 2010. Past, present and future of mutual funds in India: investor's perception. Gitam Journal of Management 8(1): 98-114.
  • Vij, Madhu and Mohammad Tamimi. 2010. Trade-off between risk and return. Finance India 24(4): 1197-1210.
  • Wachter, Jessica A. and Motohiro Yogo. 2010. Why do household portfolio shares rise in wealth? The Review of Financial Studies 23(11): 3929-3965.

Abstract Views: 343

PDF Views: 0




  • Portfolio Selection Theories: Review, Synthesis and Critique

Abstract Views: 343  |  PDF Views: 0

Authors

Saurabh Agarwal
Indian Institute of Finance, Delhi, India

Abstract


The paper reviews the growing academic richness in the field of Portfolio Selection. The paper has highlighted the emerging research problems, development of newer research tools and techniques, data and methodology and changing paradigms of multi-disciplinary approach to finding solutions to the problems of portfolio choice. Vividly, the main contributions and observations have been presented in the paper.

Keywords


Portfolio Choice, JEL, G11, C61.

References