عنوان مقاله [English]
This article is a review of the historical development of the
introduced MPT on the basis of covariance by employing the quadratic programming model. Later the MPT model was
replaced by the CAPM model, which was introduced by W. Sharpe and was based on systematic risk factor measurement, i.e.
. fJ. However, both models had faced criticism due to their
(Arbitrage Pricing Theory), which took into account certain risk factors different from that used in CAPM model.
The scientific application of mathematical. programming along with the wide application of MP models has greatly influenced the
investment theories. Among such influence of MP modeling on
investment theories is the application of goal programming, which
was first applied by Charnes and Cooper in 1961. In 1973 A.J. Lerro and Sany M. Lee applied goal programming to protfolio
selection which later on was further developed by others working on investment theory. This article provides a brief overview of
models in relation to portfolio theory from 1966 to present.