Doctoral Dissertations

John W. Marsh

Abstract

"The Mean-Variance portfolio selection model, or Efficient Market model, is examined in terms of the small investor. The performance is first tested on the small sample space of the thirty Dow Jones Industrials. The results show that it is possible to outperform the market by investing in the minimum-variance, or safest, portfolio. The Critical-Line algorithm as developed by Markowitz and modified by Sharpe is used in this analysis.

Since the Critical-Line algorithm is very time-consuming and does not always converge to a solution, an alternate algorithm is developed. This algorithm, referred to as the “Simplified Algorithm”, is designed to find specific mean-variance efficient portfolios. It is shown that in the long run there is no significant difference in the performance of the portfolios calculated by the two algorithms.

The Simplified Algorithm is applied to the group of Institutional Growth Stocks and it is shown that the highest-expected-return portfolio substantially outperforms the market. This is in contrast to the results shown for the Dow Jones Industrials"--Abstract, page iii.

Advisor(s)

Ho, C. Y. (Chung You), 1933-1988

Committee Member(s)

Gillett, Billy E.
Lee, Ralph E.
Bain, Lee J., 1939-

Department(s)

Mathematics and Statistics

Degree Name

Ph. D. in Applied Mathematics

Publisher

University of Missouri--Rolla

Publication Date

1974

Journal article titles appearing in thesis/dissertation

  • The efficient market model and the Dow Jones Industrials
  • An algorithm for approximating specific mean-variance efficient portfolios
  • The efficient market model and the institutional growth stocks

Pagination

x, 81 pages

Note about bibliography

Includes bibliographical references.

Rights

© 1974 John William Marsh, All rights reserved.

Document Type

Dissertation - Open Access

File Type

text

Language

English

Subject Headings

Portfolio management -- Mathematical modelsDow Jones industrial averageInvestment analysis -- Mathematical models

Thesis Number

T 3000

Print OCLC #

6011496

Electronic OCLC #

913237519

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Included in

Mathematics Commons

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