Modern portfolio theory

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Portfolio analysis redirects here. For theorems about the meanvariance efficient frontier, see Mutual fund separation theorem. For non-mean-variance portfolio analysis, see Marginal conditional stochastic dominance. Modern portfolio theory (MPT) is a theory of investment which attempts to maximize portfolio expected return for a given amount of portfolio risk, or equivalently minimize risk for a given level of expected return, by carefully choosing the proportions of various assets. Although MPT is widely used in practice in the financial industry and several of its creators won a Nobel memorial prize[1] for the theory, in recent years the basic assumptions of MPT have been widely challenged by fields such as behavioral economics. MPT is a mathematical formulation of the concept of diversification in investing, with the aim of selecting a collection of investment assets that has collectively lower risk than any individual asset. That this is possible can be seen intuitively because different types of assets often change in value in opposite ways. For example, as prices in the stock market tend to move independently from prices in the bond market, a collection of both types of assets can therefore have lower overall risk than either individually. But diversification lowers risk even if assets' returns are not negatively correlatedindeed, even if they are positively correlated. More technically, MPT models an asset's return as a normally distributed function (or more generally as an elliptically distributed random variable), defines risk as the standard deviation of return, and models a portfolio as a weighted combination of assets so that the return of a portfolio is the weighted combination of the assets' returns. By combining different assets whose returns are not perfectly positivelycorrelated, MPT seeks to reduce the total variance of the portfolio return. MPT also assumes that investors are rational and markets areefficient. MPT was developed in the 1950s through the early 1970s and was considered an important advance in the mathematical modeling of finance. Since then, many theoretical and practical criticisms have been leveled against it. These include the fact that financial returns do not

follow aGaussian distribution or indeed any symmetric distribution, and that correlations between asset classes are not fixed but can vary depending on external events (especially in crises). Further, there is growing evidence that investors are not rational and markets are not efficient.[2][3]
Contents
[hide]

1 Concept 2 History 3 Mathematical model

3.1 Risk and expected return 3.2 Diversification 3.3 The efficient frontier with no risk-free asset 3.4 The two mutual fund theorem 3.5 The risk-free asset and the capital allocation line

4 Asset pricing using MPT

4.1 Systematic risk and specific risk 4.2 Capital asset pricing model

5 Criticism

5.1 Assumptions 5.2 MPT does not really model the market 5.3 The MPT does not take its own effect on asset prices into account

6 Extensions 7 Other Applications

7.1 Applications to project portfolios and other "nonfinancial" assets

7.2 Application to other disciplines

8 Comparison with arbitrage pricing theory 9 See also 10 References 11 Further reading

12 External links

edit]Concept

The fundamental concept behind MPT is that the assets in an investment portfolio should not be selected individually, each on their own merits. Rather, it is important to consider how each asset changes in price relative to how every other asset in the portfolio changes in price. Investing is a tradeoff between risk and expected return. In general, assets with higher expected returns are riskier. For a given amount of risk, MPT describes how to select a portfolio with the highest possible expected return. Or, for a given expected return, MPT explains how to select a portfolio with the lowest possible risk (the targeted expected return cannot be more than the highest-returning available security, of course, unless negative holdings of assets are possible.)[4] MPT is therefore a form of diversification. Under certain assumptions and for specific quantitative definitions of risk and return, MPT explains how to find the best possible diversification strategy.

edit]History
Markowitz classifies it simply as "Portfolio Theory," because "There's

Harry Markowitz introduced MPT in a 1952 article[5] and a 1959 book.

[6]

nothing modern about it." See also this[4] survey of the history.

edit]Mathematical model

In some sense the mathematical derivation below is MPT, although the basic concepts behind the model have also been very influential.[4] This section develops the "classic" MPT model. There have been many extensions since.

[edit]Risk

and expected return

MPT assumes that investors are risk averse, meaning that given two portfolios that offer the same expected return, investors will prefer the less risky one. Thus, an investor will take on increased risk only if compensated by higher expected returns. Conversely, an investor who wants higher expected returns must accept more risk. The exact tradeoff will be the same for all investors, but different investors will evaluate

the trade-off differently based on individual risk aversion characteristics. The implication is that a rational investor will not invest in a portfolio if a second portfolio exists with a more favorable risk-expected return profile i.e., if for that level of risk an alternative portfolio exists which has better expected returns. Note that the theory uses standard deviation of return as a proxy for risk, which is valid if asset returns are jointly normally distributed or otherwise elliptically distributed. There are problems with this, however; see criticism. Under the model:

Portfolio return is the proportion-weighted combination of the constituent assets' returns.

Portfolio volatility is a function of the correlations ij of the component assets, for all asset pairs (i, j). In general: Expected return:

where Rp is the return on the portfolio, Ri is the return on asset i and wi is the weighting of component asset i (that is, the share of asset i in the portfolio). Portfolio return variance:

where ij is the correlation coefficient between the returns on assets i and j. Alternatively the expression can be written as:

, where ij =

1 for i=j.
Portfolio return volatility (standard deviation):

For a two asset portfolio:

Portfolio return:

Portfolio variance:

For a three asset portfolio:

Portfolio return:

Portfolio variance:

[edit]Diversification
An investor can reduce portfolio risk simply by holding combinations of instruments which are not perfectly positively correlated (correlation coefficient In other words, investors can reduce their exposure to individual asset risk by holding a diversified portfolio of assets. Diversification may allow for the same portfolio expected return with reduced risk. If all the asset pairs have correlations of 0they are perfectly uncorrelatedthe portfolio's return variance is the sum over all assets of the square of the fraction held in the asset times the asset's return variance (and the portfolio standard deviation is the square root of this sum). )).

[edit]The

efficient frontier with no risk-free asset

Efficient Frontier. The hyperbola is sometimes referred to as the 'Markowitz Bullet', and is the efficient frontier if no risk-free asset is available. With a risk-free asset, the straight line is the efficient frontier.

As shown in this graph, every possible combination of the risky assets, without including any holdings of the risk-free asset, can be plotted in risk-expected return space, and the collection of all such possible portfolios defines a region in this space. The left boundary of this region is a hyperbola,[7]and the upper edge of this region is the efficient frontier in the absence of a risk-free asset (sometimes called "the Markowitz bullet"). Combinations along this upper edge represent portfolios (including no holdings of the risk-free asset) for which there is lowest risk for a given level of expected return. Equivalently, a portfolio lying on the efficient frontier represents the combination offering the best possible expected return for given risk level. Matrices are preferred for calculations of the efficient frontier. In matrix form, for a given "risk tolerance" , the efficient frontier is found by minimizing the following expression:

wTw q * RTw
where

w is a vector of portfolio weights and

w = 1.
i

(The weights can be negative, which means investors can short a security.);

is the covariance matrix for the returns on the assets in the portfolio;
is a "risk tolerance" factor, where 0 results in the portfolio with minimal risk and results in the portfolio infinitely far out on the frontier with both expected return

and risk unbounded; and

R is a vector of expected returns.

wTw is the variance of portfolio return. RTw is the expected return on the portfolio.
The above optimization finds the point on the frontier at which the inverse of the slope of the frontier would be q if portfolio return variance instead of standard deviation were plotted horizontally. The frontier in its entirety is parametric on q. Many software packages, including Microsoft Excel, MATLAB, Mathematica and R, provide optimizatio n routines suitable for the above problem.

An alternative approach to specifying the efficient frontier is to do so parametrically on expected portfolio return RTw. This version of the problem requires that we minimize

wTw
subject to

RTw =
for parameter . This problem is easily solved using a Lagrange multiplier.

[edit]The

two mutual fund theorem

One key result of the above analysis is the two mutual fund theorem.[7] This theorem states that any portfolio on the efficient frontier can be generated by holding a combination of any two given portfolios on the frontier; the latter two given portfolios are the "mutual funds" in the theorem's name. So in the absence of a risk-free asset, an investor can achieve any desired efficient portfolio even if all that is accessible is a pair of efficient mutual funds. If the location of the desired portfolio on the frontier is between the locations of the two mutual funds, both mutual funds will be held in positive quantities. If the desired portfolio is outside the range spanned by the two mutual funds, then one of the mutual funds must be sold short (held in negative quantity) while the size of the investment in the other mutual fund must be greater than the amount available for investment (the excess being funded by the borrowing from the other fund).

[edit]The

risk-free asset and the capital allocation line

Main article: Capital allocation line

The risk-free asset is the (hypothetical) asset which pays a risk-free rate. In practice, short-term government securities (such as US treasury bills) are used as a risk-free asset, because they pay a fixed rate of interest and have exceptionally low default risk. The risk-free asset has zero variance in returns (hence is risk-free); it is also uncorrelated with any other asset (by definition, since its variance is zero). As a result, when it is combined with any other asset, or portfolio of assets, the change in return is linearly related to the change in risk as the proportions in the combination vary. When a risk-free asset is introduced, the half-line shown in the figure is the new efficient frontier. It is tangent to the hyperbola at the pure risky portfolio with the highest Sharpe ratio. Its horizontal intercept represents a portfolio with 100% of holdings in the risk-free asset; the tangency with the hyperbola represents a portfolio with no risk-free holdings and 100% of assets held in the portfolio occurring at the tangency point; points between those points are portfolios containing positive amounts of both the risky tangency portfolio and the risk-free asset; and points on the half-line beyond the tangency point are leveraged portfolios involving negative holdings of the risk-free asset (the latter has been sold shortin other words, the investor has borrowed at the risk-free rate) and an amount invested in the tangency portfolio equal to more than 100% of the investor's initial capital. This efficient half-line is called the capital allocation line (CAL), and its formula can be shown to be

In this formula P is the sub-portfolio of risky assets at the tangency with the Markowitz bullet, F is the riskfree asset, and C is a combination of portfolios P and F. By the diagram, the introduction of the risk-free asset as a possible component of the portfolio has improved the range of risk-expected return combinations available, because everywhere except at the tangency portfolio the half-line gives a higher expected return than the hyperbola does at every possible

risk level. The fact that all points on the linear efficient locus can be achieved by a combination of holdings of the risk-free asset and the tangency portfolio is known as the one mutual fund theorem,
[7]

where the mutual fund referred to is the tangency portfolio.

edit]Asset pricing using MPT

The above analysis describes optimal behavior of an individual investor. Asset pricing theory builds on this analysis in the following way. Since everyone holds the risky assets in identical proportions to each othernamely in the proportions given by the tangency portfolioin market equilibrium the risky assets' prices, and therefore their expected returns, will adjust so that the ratios in the tangency portfolio are the same as the ratios in which the risky assets are supplied to the market. Thus relative supplies will equal relative demands. MPT derives the required expected return for a correctly priced asset in this context.

[edit]Sy

stemat ic risk and specifi c risk

Specific risk is the risk associate d with individual assets within a portfolio these risks can be reduced through diversifica tion (specific risks "cancel out"). Specific

risk is also called diversifiab le, unique, unsystem atic, or idiosyncra tic risk. Syst ematic risk (a.k.a . portfolio risk or market risk) refers to the risk common to all securities - except for selling short as noted below, systemati c risk cannot be diversified away (within one market). Within the market portfolio,

asset specific risk will be diversified away to the extent possible. Systemati c risk is therefore equated with the risk (standard deviation) of the market portfolio. Since a security will be purchase d only if it improves the riskexpected return characteri stics of the market portfolio, the relevant measure of the risk of a

security is the risk it adds to the market portfolio, and not its risk in isolation. In this context, the volatility of the asset, and its correlatio n with the market portfolio, are historicall y observed and are therefore given. (There are several approach es to asset pricing that attempt to price assets by

modelling the stochastic properties of the moments of assets' returns these are broadly referred to as condition al asset pricing models.) Systemati c risks within one market can be managed through a strategy of using both long and short positions within one portfolio, creating a "market neutral" portfolio.

[edit]C

apital asset pricin

g model
Main article: C apital Asset Pricing Model The asset return depends on the amount paid for the asset today. The price paid must ensure that the market portfolio's risk / return characteri stics improve when the asset is added to it. The CAP M is a model which derives the theoretica

l required expected return (i.e., discount rate) for an asset in a market, given the risk-free rate available to investors and the risk of the market as a whole. The CAPM is usually expresse d:

B e t a ,

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s e n s i t i v i t y

t o

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m a r k e t ;

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r i s k f r e e

r a t e . This equ atio n can be stati stic ally esti mat ed u sing the follo win g re gres sion equ

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w h e r e
i

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i

s t h e

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u r n ,

E ( R
i

, is c a lc u l a t e d u si n g C A P M , t h e f u t u r e c

a s h fl o w s o f t h e a s s e t c a n b e d is c o u n t e d t o t h e ir p

r e s e n t v a l u e u si n g t h is r a t e t o e s t a b li s h t h e c o rr

e c t p ri c e f o r t h e a s s e t. A ri s ki e r s t o c k w ill h a v e a h i

g h e r b e t a a n d w ill b e d is c o u n t e d a t a h i g h e r r a t e ;

l e s s s e n si ti v e s t o c k s w ill h a v e l o w e r b e t a s a n d b e

d is c o u n t e d a t a l o w e r r a t e . I n t h e o r y , a n a s s e t

is c o rr e c tl y p ri c e d w h e n it s o b s e r v e d p ri c e is t h e s a m

e a s it s v a l u e c a lc u l a t e d u si n g t h e C A P M

d e ri v e d d

is c o u n t r a t e . If t h e o b s e r v e d p ri c e is h i g h e r t h a n

t h e v a l u a ti o n , t h e n t h e a s s e t is o v e r v a l u e d ; it is

u n d e r v a l u e d f o r a t o o l o w p ri c e . (1) The increment al impact on risk and expected return when an additional risky asset, a, is added

to the market portfolio, m, follows from the formulae for a twoasset portfolio. These results are used to derive the assetappropriat e discount rate. Market portfolio's risk = Hence, risk added to portfolio = but since the weight of the asset will be relatively low, i.e. additional risk = Market portfolio's expected return =

Hence additional expected return = (2) If an asset, a,

correctly priced, th

improvement in its risk-to-expected

return ratio achiev

by adding it to the

market portfolio, m

will at least match

gains of spending

that money on an

increased stake in

the market portfol

The assumption is

that the investor w

purchase the asse

with funds borrow at the risk-free rate, Rf; this is rational if Thus:

i.e. :

i.e. :

is the beta, -- the covariance between the asset's return and the market's return divided by the variance of the market return i.e. the sensitivity of the asset price to movement in the market portfolio's value.

edit]Criticis

Despite its theore

critics of MPT que

an ideal investing

because its mode

markets does not

world in many wa

[edit]Assump

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deviations fro

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distribution as

predict.[8] Whi

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any return dis

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returns empir

Correlations

are fixed and

forever. Corr

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between the u

and change w relationships

Examples inc

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assets tend to

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they all move

In other word

down precise

are most in n from risk.

All investors

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other words,

much money

regardless o

consideratio

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market hypot MPT relies.

All investors

and risk-ave

another assu

the efficient m

but we now k

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market partic

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for "herd beha

who will acce

for higher risk

gamblers clea

and it is poss stock traders well.

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same time. T

from the effic

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markets conta

asymmetry, in

those who are

informed than

Investors ha

conception o returns, i.e.,

beliefs of inv

the true distr

returns. A dif

is that investo

are biased, ca

prices to be in

inefficient. Th

studied in the of behavioral

uses psychol assumptions

alternatives to

as the overco asset pricing

Daniel, David

Avanidhar Su (2001).[11]

There are no

transaction c

financial prod both to taxes

costs (such a

and taking the

will alter the c

optimum port assumptions

with more com

of the model.

All investors

i.e., their act

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can shift mark

asset and oth

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buying the re

Any investor

borrow an un

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interest. In re

investor has a

All securities into parcels

reality, fractio

cannot be bo some assets orders sizes.

More complex ver take into account

sophisticated mod

(such as one with

distributions and t

mathematical mod

rely on many unre

[edit]MPT

do model the m

The risk, return, a

measures used b

on expected value

that they are math

statements about

expected value of

in the above equa in the definitions

of variance and co

practice investors

predictions based

measurements of

and volatility for th

equations. Very o

expected values f

of new circumstan

exist when the his generated.

More fundamenta

stuck with estimat

parameters from p

because MPT atte

risk in terms of the

losses, but says n

those losses migh

measurements us

are probabilistic in structural. This is

as compared to m

approaches to ris

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important concep

the probabilistic ri

nuclear power [pla

economists would The components

relationships are m

simulations. If val of back pressure

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outcomes are sim

And, unlike the PR

a particular system crisis, there is no

of it. If nuclear en

management this

able to compute t a particular plant

occurred in the sa

Douglas W. Hu Management', p. 2009. ISBN 978-0

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MPT view the ma

collection of dice. past market data

hypotheses about

weighted, but this

markets are actua

upon a much bigg

complicatedchaot

world. For this rea structural models

markets are unlike

forthcoming beca

essentially be stru

the entire world. N

is growing awaren

concept of system

markets, which sh

sophisticated mar

Mathematical risk

are also useful on

that they reflect in

concernsthere i

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cares about in pra the mathematical

of variance to qua might be justified

assumption of elli

distributed returns

distributed returns

return distribution

measures (like co measures) might

investors' true pre

In particular, varia

symmetric measu

abnormally high r

risky as abnormal

Some would argu

investors are only

losses, and do no

dispersion or tight

average returns. A

view, our intuitive

fundamentally asy nature.

MPT does not acc

personal, environ

or social dimensio decisions. It only

maximize risk-adj without regard to

consequences. In

its complete relian

asset prices make

all the standard m

failures such as th from information

asymmetry, exter

and public goods.

corporate fraud an

accounting. More

may have strateg

that shape its inve and an individual

have personal go information other

returns is relevan

Financial econom

Nicholas Taleb ha

modern portfolio t

assumes a Gauss After the stock market crash (in 1987), they rewarded two theoreticians, Harry Markowitz and William Sharpe, who built beautifully Platonic models on a Gaussian base, contributing to what is called Modern Portfolio Theory. Simply, if you remove their Gaussian assumptions and treat prices as scalable, you are left with hot air. The Nobel Committee could have tested the Sharpe and Markowitz models they work like quack remedies sold on the Internet but nobody in Stockholm seems to have thought about it.
[12]:p.279

[edit]The

MP its own effec prices into a

Diversification elim

risk, but at the cos

the systematic ris

the portfolio mana

without analyzing

solely for the bene

portfolios non-sys

(the CAPMassum

available assets).

increased deman

assets that, when

would be of little f

result is that the w

more expensive a

probability of a po

(i.e. the risk of the

Empirical evidenc

hike that stocks ty they are included

the S&P 500.[citation

edit]Extens

Since MPT's intro

attempts have be

model, especially assumptions.

Post-modern port MPT by adopting

distributed, asymm

This helps with so but not others.

Black-Litterman m

extension of unco

optimization which

and absolute `view returns.

edit]Other

[edit]Applica

portfolios an financial" as

Some experts app

projects and othe

financial instrume

applied outside of

portfolios, some d different types of considered.

1. The assets in

practical purp

while portfolio

For example,

the optimal po is, say, 44%, position for a

allow us to sim

spent on a pr

or nothing or,

that cannot b

optimization m

the discrete n account.

2. The assets of

liquid; they ca

assessed at a opportunities

may be limite

windows of tim

already been

abandoned w

costs (i.e., the

recovery/salv project).

Neither of these n

possibility of using

portfolios. They si

to run the optimiz

set of mathematic

constraints that w

to financial portfol

Furthermore, som

elements of Mode

applicable to virtu

portfolio. The con

risk tolerance of a

documenting how

acceptable for a g

applied to a variet

problems. MPT us

as a measure of r assets like major

well-defined "histo

case, the MPT inv

be expressed in m

"chance of an RO

capital" or "chanc

half of the investm

in terms of uncert

and possible loss

transferable to va investment.[13]

[edit]Applica

disciplines

In the 1970s, con

Portfolio Theory fo

field of regional sc

seminal works, M
needed]

modeled the

economy using po

methods to exam

variability in the la

followed by a long

relationship betwe and volatility.[14]

More recently, mo

has been used to

in social psycholo

attributes compris

constitute a well-d

psychological out

the individual suc

esteem should be

the self-concept is

prediction has bee

involving human s

Recently, modern

been applied to m

and correlation be

information retriev

aim is to maximiz of a ranked list of

same time minimi

uncertainty of the

edit]Comp

arbitrage pr

The SML and CA

with the arbitrage

which holds that t

financial asset ca

a linear function o

economic factors,

changes in each f

a factor specific b

The APT is less re

assumptions: it al

(as opposed to st

returns, and assu

will hold a unique

particular array of

the identical "mar

CAPM, the APT, h

reveal the identity

the number and n

likely to change o economies.

edit]See al
Treynor ratio

Investment th

Jensen's alph Sortino ratio

Bias ratio (fin

Black-Litterm

Roll's critique

Value investin

Two-moment

Fundamental

Marginal cond dominance

edit]Refere

1. ^ Harry M. Ma

Nobel Prizes 1

[Nobel Founda

2. ^ Andrei Shlei

Introduction to

Clarendon Lec

3. ^ Koponen, Ti

in action: mea

imposing valu

Volume 50 Iss

4. ^ a b c Edwin J

"Modern portfo

Journal of Ban 1743-1759

5. ^ Markowitz, H

Selection". Th

7791. doi:10. 75974.

6. ^ Markowitz, H

Selection: Effi

Investments. N

Sons. (reprinte

1970, ISBN 97

Basil Blackwe 108-5)

7. ^ a b c Merton,
Financial and

of the efficient

September 19

8. ^ Mandelbrot,

The (Mis)Beha

View of Risk, R

Profile Books.

9. ^ Chamberlain

of the distribut

utility functions

Theory 29, 18

10. ^ Owen, J., an

the class of el

applications to

choice", Journ

11. ^ 'Overconfide

Equilibrium As

David Hirshlei

Subrahmanya (June, 2001),

12. ^ Taleb, Nass

Swan: The Im

Random Hous

13. ^ a b Hubbard,
Intangibles in

Measure Anyt

Wiley & Sons.

14. ^ Chandra, Si

Economy Size

Frontier: Evide

Regional Scie

122. doi:10.11

15. ^ Chandra, Si

(2007). "Cross

Applying finan

the organizatio

concept". Jour

Personality 41

373. doi:10.10

edit]Furthe

Lintner, John

of Risk Asset

Risky Investm

and Capital B

Economics an

Press) 47 (1)

39. doi:10.23 24119.

Sharpe, Willia asset prices:

equilibrium un risk". Journal

442. doi:10.2 977928.

Tobin, James

preference as

risk". The Rev

Studies 25 (2

86.doi:10.230 96205.

edit]Extern

Macro-Invest

William F. Sh

An Introductio

Theory, Prof.

Goetzmann, Y

Management

Applied Mode

macroaxis.org

iQfront portfo

free tool for p

Managing a p

risk-free inves

risk-sensitive

Free Stock P

Online Allows

stock perform

analysis, and portfolio.

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