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| Author: | Elton, E. J. Gruber, M. J. |
| Title: | Portfolio analysis with partial information : the case of grouped data. |
| Journal: | Management Science
1987 : OCT, VOL. 33:10, p. 1238-1246 |
| Index terms: | PORTFOLIO INVESTMENT DECISION MODELS |
| Language: | eng |
| Abstract: | In actual practice most investors must make their portfolio decisions on the basis of a list of stocks with ranking of each stock and perhaps some partial risk information. The problem is the optimization of decision if all the investor knows is the grouping of stocks plus at best the average characteristics of the stocks in a group. Grouping is most useful when one member of a group is included in an optimal portfolio, every member should be included, and when one member is excluded, every member must be excluded. In order to study the optimality of including or excluding groups in their entirety some structure must be imposed on the covariences among securities. |
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