Portfolio Selection: Efficient Diversification of Investments / Edition 2

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This is a classic book, representing the first major breakthrough in the field of modern financial theory. In effect, it created the mathematics of portfolio selection in a model which has turned out to be the indispensable building block from which the theory of the demand for risky securities is constructed.

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Editorial Reviews

From the Publisher
"Modern portfolio theory gives a rigorous mathematicaljustification for the time honored investment maxim thatdiversification is a sensible strategy for individuals who wish toreduce their risks. Invented in the 1950s by Harry Markowitz inthis book, the theory provides a firm foundation for the intuitionthat you should not put all your eggs in one basket and showsinvestors how to combine securities to minimize risk." Butron GMalkiel, author of "A Random Walk Down Wall Street"

"In every field of study it is possible to lookback and identify a person or event that caused a major change inthe direction or development of the field. In investments it isclear that the seminal work by Harry Markowitz on portfolio theorychanged the field more than any other single event." Frank K.Reilly, University of Notre Dame, Indiana

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Product Details

  • ISBN-13: 9781557861085
  • Publisher: Wiley
  • Publication date: 9/3/1991
  • Series: Cowles Foundation Monograph Series
  • Edition description: Revised
  • Edition number: 2
  • Pages: 402
  • Product dimensions: 9.21 (w) x 6.14 (h) x 0.88 (d)

Meet the Author

Professor Markowitz has been awarded the Nobel Prize for Economics 1990.

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Table of Contents


Part I: Introduction and Illustrations:.

1. Introduction.

2. Illustrative Portfolio Analysis.

Part II: Relationships Between Securities and Portfolios:.

3. Averages and Expected Values.

4. Standard Deviations and Variances.

5. Investment in Large Numbers of Securities.

6. Return in the Long Run.

Part III: Efficient Portfolios:.

7. Geometric Analysis of Efficient Sets.

8. Derivation of E, V Efficient Portfolios.

9. The Semi-Variance.

Part IV: Rational Choice Under Uncertainty.

10. The Expected Utility Maxim.

11. Utility Analysis Over Time.

12. Probability Beliefs.

13. Applications to Portfolio Selection.



Appendix A: The Computation of Efficient Sets.

B: A Simplex Method for the Portfolio Selection Problem.

C: Alternative Axiom Systems for Expected Utility.


Part V: Notes on Previous Chapters.

Note on Chapter IV.

Note on Chapter V.

Note on Chapter VI.

Note on Chapter VII.

Note on Chapter VIII and Appendix A.

Note on Chapter IX.

Note on Part IV and Appendix C.

Appendix: Personal Notes

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