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1、Chapter17PortfolioTheory,CAPMandPerformanceMeasuresLuisFerruz,FernandoGómez-Bezares,andMaríaVargasAbstractThischapterisfocusedonthe“PortfolioTheory”WilliamSharpe.MarkowitzisconsideredthecreatorofcreatedbyMarkowitz.Thistheoryhastheobjectiveoffind-portfolioth
2、eory.Hebeganthisfieldofresearchwithhisworkingtheoptimumportfolioforinvestors;thatis,thatwhichof1952,makingmajoradditionswithhisworksof1959andgivestangencybetweenanindifferencecurveandtheeffi-1987.Sharpeattemptedtosimplifythemodelofhismentor,cientfrontier.Int
3、hischapter,themathematicsofthismodelMarkowitz,withhisworkof1963,basedonwhichhecre-isdeveloped.atedthecapitalassetpricingmodel(CAPM)in1964.MillerTheCAPM,basedonthistheory,givestheexpectedre-hasalsoworkedonportfoliotopics.turnonanassetdependingonthesystemati
4、criskoftheas-AnotherNobelPrizewinnerforEconomics,JamesTobin,set.Thismodeldetectsunderpricedandoverpricedassets.contributedtotheadvanceofportfoliotheorywithhisworkThecriticsexpressedagainstthemodelandtheirapplicationin1958.Merton,1BlackandFamaareotherswhoha
5、vemadepossibilitiesarealsoanalyzed.greatadvancesinthefield.Finally,thechaptercentersonperformancemeasuresre-Aportfolioisacombinationofassets,suchasagrouplatedtoportfoliotheory(classicindices,derivativeindicesofstocksthatarediversifiedtosomeextent.Aportfolioi
6、sandnewapproaches)andontheperformancepersistencecharacterizedbythereturnitgeneratesoveragivenhold-phenomenonemployingtheaforementionedindices,includ-ingperiod.Portfoliotheorydescribestheprocessbywhichinganempiricalexample.investorsseekthebestpossibleportfo
7、liointermsofthetradeoffofriskforreturn.Inthiscontext,riskreferstotheKeywordsCAPMPerformancemeasuresPenalizedsituationwheretheinvestorisuncertainaboutwhichout-internalrateofreturnindex(PIRR)Penalizedinternalratecomesmayeventuate,butcanassesstheprobabilit
8、ywithofreturnforbetaindex(PIRRforBeta)Portfoliotheorywhicheachoutcomemayarise.Inariskyenvironment,thechoiceofanoptimalportfoliowilldependonthedistributionofreturns,aswellasthepreferencesoftheinvestor–hisorhe
