Journal of Financial and Quantitative Analysis Vol. 13 No. 1 1978
A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks
Abstract
Two methods for deriving efficient sets involve either the Markowitz [3] approach, where every security can be viewed as being related to an index unique to itself, or the Sharpe [4] single-index model, where every security is related to the same index. Given the extreme differences between these models, Cohen and Pogue [1] developed two intermediate models. They found that the efficient set derived from the Sharpe single-index model came closer to approximating the Markowitz model's efficient set than their models when empirically tested on a sample of common stocks. Subsequently a similar test was performed by Wallingford [6] which yielded contradictory conclusions.
- DOI
- 10.2307/2330522
- Volume
- 13
- Issue
- 1
- Pages
- 71
- Sources
- openalex crossref