Table 11-1 Geometric Mean Returns Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons,

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Presentation transcript:

Table 11-1 Geometric Mean Returns Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 11-2 Means Returns, Standard Deviations, and Lower Limits Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-1 Lines of constant preference—Roy’s criterion. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-2 The portfolio choice problem with Kataoka’s safety first rule. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-3 The investor’s choice problem—Telser’s criterion. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-4 No feasible portfolio—Telser’s criterion. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 11-3 Outcomes Associated with Alternative Market Conditions Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 11-4 Two Investment Alternatives; Outcomes and Associated Probabilities Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 11-5 A Cumulative Probability Distribution Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-5 Cumulative frequency function for gambles A and B. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 11-6 Two investment Alternatives: Outcomes and Associated Probabilities Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

Table 11-7 The sum of the Cumulative Probability Distribution Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-6 The choice between investments A and B. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-7 Portfolios having first-order stochastic dominance. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-8 Sum of cumulative probabilities for two investments. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE 11-9 The log-normal distribution. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE Investment alternatives leading to 100% investment in the riskless asset. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE Investment alternatives leading to infinite borrowing. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE Investment alternatives leading to 100% investment in riskless asset. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE Investment alternatives leading to infinite borrowing. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE Investment alternatives where a mixed policy is optimum. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.

FIGURE Investment alternatives leading to infinite borrowing. Elton, Gruber, Brown, and Goetzman: Modern Portfolio Theory and Investment Analysis, Sixth Edition © John Wiley & Sons, Inc.