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Applicability and Future of Modern Portfolio Theory

Jan van der Meulen

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Abstract

Education and research regarding the CAPM has not become simpler since the publication of Roll’s critique. In this paper the ‘classical’ equilibrium investment methodology is criticised in the light of empirical results regarding changing market conditions. A new approach seems necessary and suggestions are made in order to retain the applicability of modern portfolio theory 1 as a valuable field of research. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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What this paper is about

Education and research regarding the CAPM has not become simpler since the publication of Roll’s critique. In this paper the ‘classical’ equilibrium investment methodology is criticised in the light of empirical results regarding changing market conditions. A new approach seems necessary and suggestions are made in order to retain the applicability of modern portfolio theory 1 as a valuable field of research. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Available abstract

Education and research regarding the CAPM has not become simpler since the publication of Roll’s critique. In this paper the ‘classical’ equilibrium investment methodology is criticised in the light of empirical results regarding changing market conditions. A new approach seems necessary and suggestions are made in order to retain the applicability of modern portfolio theory 1 as a valuable field of research. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Key concepts: Portfolio, Order (exchange), Modern portfolio theory, Investment portfolio, Investment (military), Capital asset pricing model, Economics, Field (mathematics)

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