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A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks

Published online by Cambridge University Press:  06 April 2009

Gordon J. Alexander
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Extract

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 1 , March 1978 , pp. 71 - 78
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

REFERENCES

[1]Cohen, Kalman J., and Pogue, Gerald A.. “An Empirical Evaluation of Alternative Portfolio-Selection Models.” Journal of Business, Vol. 40 (04 1967), pp. 166–93.Google Scholar
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