Skeeter Bug,
I had earlier responded to your post, which you may have missed:
techstocks.com
Also, Michael's problem seems to be that he has picked up bits and pieces of modern finance from popular texts and never referred to the actual reserach papers themselves,therefore he has it all wrong.
Modern Portfolio Theory actually started in the Journal of Finance, March, 1952 paper called Portfolio Selection by Harry Markowitz. William Sharpe developed the original idea farther in his Jan, 1963 paper which appeared in Management Science called A Simplified Model for Portfolio Analysis. Neither depended on the basic premises of information flow in capital markets (foundations of the EMH) but instead tried to balance risks and rewards from a optimization/operations research POV.
Efficient Market Hypothesis (which is distinct from plain old random walk, which in fact dates back to Bachelier, 1900 and Cowles, 1933) OTOH was crystallized in the May, 1970 article by Eugene Fama, called Efficient Capital Markets: A review of Theory and Empirical Work.
<sigh>
-BGR. |
