AMBIENTUM BIOETHICA BIOLOGIA CHEMIA DIGITALIA DRAMATICA EDUCATIO ARTIS GYMNAST. ENGINEERING EPHEMERIDES EUROPAEA GEOGRAPHIA GEOLOGIA HISTORIA HISTORIA ARTIUM INFORMATICA IURISPRUDENTIA MATHEMATICA MUSICA NEGOTIA OECONOMICA PHILOLOGIA PHILOSOPHIA PHYSICA POLITICA PSYCHOLOGIA-PAEDAGOGIA SOCIOLOGIA THEOLOGIA CATHOLICA THEOLOGIA CATHOLICA LATIN THEOLOGIA GR.-CATH. VARAD THEOLOGIA ORTHODOXA THEOLOGIA REF. TRANSYLVAN
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STUDIA NEGOTIA - Ediţia nr.2 din 2008 | |||||||
Articol: |
- METODE DE GESTIONARE A PORTOFOLIULUI. - O REVIZUIRE A LITERATURII -. Autori: CRISTINA CURUŢIU. |
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Rezumat: In recent years, a growing body of literature in portfolio management has devoted a great deal of attention for this subject. The teoretical foundation to portfolio management was offered by Harry Marcowitz at the beginning of the 1950s. The limitations of the original Marcowitz model have stimulated the occurrence of extended or modified models – two of the best known (and critisized) being the equilibrium models: CAPM (capital asset pricing model) and APT (arbitrage pricing theory). Alternative optimization methods were also developed; among them must be mentioned: the utility function optimization, condidtional value-at-risk optimization, multiple benchmark traking, scenario-based optimization, robust statistical methods and the Bayesian methods. The present paper provides a selective overview of existing models and methods regarding portfolio management and optimization since 1952 (Markowits model) and synthesizes the academic research to date. Keywords: portfolio management, risk, portfolio models, volatility |
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