Uniform integrability: Difference between revisions

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A '''separation property''' is a crucial element of [[modern portfolio theory]] that gives a [[Portfolio (finance)|portfolio]] manager the ability to separate the process of satisfying investing clients' assets into two separate parts.<ref>Bodie, Z, Kane, A, and Marcus, A, (1999), ''Investments'' <math>4^{th}</math> Edition, [[McGraw Hill]], ISBN 0-256-24626-2, pp&nbsp;226&ndash;7</ref>
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The first part is the determination of the "optimum risky portfolio". This portfolio is the same for all clients. In one version, it has the highest [[Sharpe ratio]]. See [[mutual fund separation theorem]] for a discussion of other possibilities. It is the construction of a universal portfolio that is kept separate from the individual needs of each client.
 
The second part is tailoring the use of that portfolio to the risk-aversive needs of each individual client. This is achieved through simulation of a given [[risk-return spectrum|risk-return]] range by allocating the client's total investments partly to that universal portfolio and partly to the risk-free asset.
 
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[[Category:Finance]]
[[Category:Mathematical finance]]
 
 
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Latest revision as of 05:09, 29 November 2014

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