Mean-Variance Analysis in Portfolio Choice and Capital Markets

Released on by Harry M. Markowitz
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  • Mean-Variance Analysis in Portfolio Choice and Capital Markets Book Detail

  • Author : Harry M. Markowitz
  • Release Date : 2000-02-15
  • Publisher : John Wiley & Sons
  • Genre : Business & Economics
  • Pages : 404
  • ISBN 13 : 9781883249755
  • File Size : 54,54 MB
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Mean-Variance Analysis in Portfolio Choice and Capital Markets by Harry M. Markowitz PDF Summary

Book Description: In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.

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Portfolio Theory and the Demand for Money

Portfolio Theory and the Demand for Money

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The book is an in-depth review of the theory and empirics of the demand for money and other financial assets. The different theoretical approaches to the portfo