Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model
Ashraf, M. A., and Noor, M. S. I. (2010) Impact of Capitalization, on asset Price Bubble in Dhaka Stock Exchange. Journal of Economic Cooperation and Development, 31(4), pp. 127-152.
Bondt, De W. (2002) Bubble psychology. In W. Hunter and G. Kaufman (eds.), Asset
Price Bubbles: Implications for Monetary, Regulatory, and International Policies.
Chitnis, A. (2010) Performance Evaluation of Two Optimal Portfolios by Sharpe’s Ratio. Global Journal of Finance and Management, ISSN 0975-6477, Vol. 2, No. 1, pp. 35-46.
Dutt, D. (November, 1998) Valuation of common stock – an overview. The Management Accountant.
Elton, E. J., and Gruber, M. J. (2003) Modern Portfolio Theory and Investment Analysis. 6th ed., John Wiley and Sons Inc.
Elton, E. J., Gruber, M. J., and Padberg, M. W. (1976) Simple Criteria for Optimal Portfolio Selection. The Journal of Finance, Vol. 31, Issue 5, pp. 1341-1357. https://doi.org/10.1111/j.1540-6261.1976.tb03217.x
Fama E. F., and French K. R. (1992) The cross Section of Expected Stock Returns. The Journal of Finance, Vol. xlvii, No. 2, pp. 427-465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama E. F., and French K.R. (2004) The capital asset pricing model: Theory and evidence. The Journal of Economic Perspectives, Vol. 18, No. 3, pp. 25-46. https://doi.org/10.1257/0895330042162430
Kahneman, D., and Tversky, A. (March, 1979) Prospect Theory: An Analysis of Decision under Risk. Econometrica, 47(2), pp. 263-291. https://doi.org/10.2307/1914185
Levy, H., De Giorgi, E. G., and Hens, T. (2011) Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence? Journal of Financial Economics, 99, pp. 204-215.
Lintner. J. (February, 1965) The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, Vol. 47, No. 1, pp. 13-37 .This article can be retrieved from http://www.jstor.org/stable/1924119. https://doi.org/10.2307/1924119
Markowitz, H. (Mar., 1952) Portfolio Selection. The Journal of Finance, Vol. 7, No. 1, pp. 77-91.
Mossin J. (Oct., 1966) Equilibrium in a Capital Asset Market. Econometrica, Vol. 34, No., pp. 768-783. The Econometric Society. The URL for the article is http://www.jstor.org/stable/1910098. https://doi.org/10.2307/1910098
Perold, A. F. (2004) The Capital Asset Pricing Model. Journal of Economic Perspectives, Vol. 18, pp. 3–24. https://doi.org/10.1257/0895330042162340
Rahman, J. (2010) Bubble in DSE,World Press, Dhaka.
Rosser, J. B. (2000) From Catastrophe to Chaos: a General Theory of Economic Discontinuities. Kluwer Academic, 2nd ed.
Savabi, F., Shahrestani, H., and Bidabad, B. (May, 2012) Generalization and combination of Markowitz – Sharpe’s theories and new efficient frontier algorithm. African Journal of Business Management, Vol. 6 (18), pp. 5844-5851. Available online at http://www.academic
Sharpe, W. F. (Sep., 1964) Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, Vol. 19, No. 3, pp. 425-442.
Siegel, J. J. (2003) What is an asset price bubble; an operational definition. European financial management, Vol. 9, No. 1, pp. 11-24. https://doi.org/10.1111/1468-036X.00206
Tua, J, and Zhou, G. (2011) Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies. Journal of Financial Economics, 99, pp. 204-215. This journal can be retrieved from http://www.elsevier.com/locate/jfec. https://doi.org/10.1016/j.jfineco.2010.08.013
The data of market index (DSI all-share Price Index) have been retrieved from http://www.dsebd.org.
- There are currently no refbacks.