Markowitz revisited
HM Markowitz - Financial Analysts Journal, 1976 - Taylor & Francis
… Harry Markowitz is author of what is probably the single most influential work in modern
finance: Portfolio Selection: Efficient Diversification of Investments (John Wiley and Sons, New …
finance: Portfolio Selection: Efficient Diversification of Investments (John Wiley and Sons, New …
Foundations of portfolio theory
HM Markowitz - The journal of finance, 1991 - JSTOR
… Markowitz results, nor will I go into important results of many others. Chapter 3 of Markowitz
(… Levy and Markowitz measure the efficacy of f(E, V) by the correlation between it and EU. Y. …
(… Levy and Markowitz measure the efficacy of f(E, V) by the correlation between it and EU. Y. …
Portfolio theory: as I still see it
HM Markowitz - Annu. Rev. Financ. Econ., 2010 - annualreviews.org
… utility function, but similar conclusions—in favor of mean-variance over mean-semivariance—presumably
apply for the broad range of utility functions for which Levy, Markowitz, and …
apply for the broad range of utility functions for which Levy, Markowitz, and …
[BOOK][B] Harry Markowitz: selected works
HM Markowitz - 2009 - books.google.com
… Students and practitioners in the field of Operations Research will find the" Markowitz
Rule" which today often aids the speed of determination of large matrix inversion problems in …
Rule" which today often aids the speed of determination of large matrix inversion problems in …
[BOOK][B] Mean-variance analysis in portfolio choice and capital markets
HM Markowitz, GP Todd - 2000 - books.google.com
… selection problems (Markowitz and Perold (1981b)). Now Markowitz has collected the …
The exposition follows Markowitz's usual pattern. Practical aspects are introduced first, at a …
The exposition follows Markowitz's usual pattern. Practical aspects are introduced first, at a …
[PDF][PDF] The legacy of modern portfolio theory
FJ Fabozzi, F Gupta, HM Markowitz - The journal of investing, 2002 - academia.edu
… One model Markowitz proposed to explain the correlation structure among security returns
assumed that the return on the i-th security depends on an “underlying factor, the general …
assumed that the return on the i-th security depends on an “underlying factor, the general …
Mean‐variance versus direct utility maximization
Y Kroll, H Levy, HM Markowitz - The Journal of Finance, 1984 - Wiley Online Library
… Levy and Markowitz showed, for various utility functions and empirical returns distributions,
that … Levy and Markowitz considered only situations in which the expected utility maximizer …
that … Levy and Markowitz considered only situations in which the expected utility maximizer …
Approximating expected utility by a function of mean and variance
H Levy, HM Markowitz - The American Economic Review, 1979 - JSTOR
… For k = 1 we get equation (5); for k = 0 we have a method proposed by Markowitz. We shall
… Markowitz used two methods to approximate EU by a functionf (E, V) depending on E and V …
… Markowitz used two methods to approximate EU by a functionf (E, V) depending on E and V …
The early history of portfolio theory: 1600–1960
HM Markowitz - Financial analysts journal, 1999 - Taylor & Francis
… Those expressed in Markowitz (1959) have been held by me virtually unchanged since
about 1955. I will discuss these views in the section on Markowitz (1959). As for the …
about 1955. I will discuss these views in the section on Markowitz (1959). As for the …
[HTML][HTML] The optimization of a quadratic function subject to linear constraints
HM Markowitz - Naval research logistics Quarterly, 1956 - books.google.com
X.≥ 0 j= 1,..., N1 m1 where 0≤ m₁≤ m, 0≤ N≤ N and the matrix (aĦĦ) i= 1,..., m₁ has
rank m₁ (otherwise the system is inconsistent or has at least one redundant equation). The …
rank m₁ (otherwise the system is inconsistent or has at least one redundant equation). The …