Mean-Variance Analysis in Portfolio Choice and Capital Markets

"Markowitz, Harry M., G. Peter Todd, William F. Sh

ISBN 10: 1883249759 / ISBN 13: 9781883249755

Editore: Wiley, 2000

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Titolo: Mean-Variance Analysis in Portfolio Choice ...

Casa editrice: Wiley

Data di pubblicazione: 2000

Legatura: Rilegato

Condizione: New

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Riassunto:

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.

Informazioni sugli autori:

Harry M. Markowitz is president of Harry Markowitz Co. in San Diego. In 1990, he was jointly awarded the Nobel Prize for economics with Merton Miller and William Sharpe.

Peter Todd is a director at Riverview International Group, Inc., where he is responsible for software development. Formerly, he was a vice president at Daiwa Securities Trust's Global Portfolio Research Group, where he worked with Dr. Markowitz.