… 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 …

… 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. …

… 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 …

… 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 …

… 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 …

… 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 …

… 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 …

… 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 …

… 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 …

X.≥ 0 j= 1,..., N1 m1 where 0≤ m₁≤ m, 0≤ N≤ N and the matrix (a¡¡) i= 1,..., m₁ has
rank m₁ (otherwise the system is inconsistent or has at least one redundant equation). The …