Risk-return analysis. Volume 1 : the theory and practice of rational investing / Harry M. Markowitz with Kenneth A. Blay.

Format:

Book

Author/Creator:

Markowitz, Harry M., 1927-2023, author.

Blay, Kenneth, author.

Language:

English

Subjects (All):

Investment analysis.

Investments--Mathematical models.

Investments.

Physical Description:

1 online resource (1 v.) : ill.

Edition:

1st edition

Place of Publication:

New York : McGraw-Hill Education, [2014]

Language Note:

English

System Details:

text file

Summary:

The Nobel Prize-winning Father of Modern Portfolio Theory re-introduces his theories for the current world of investing Legendary economist Harry M. Markowitz provides the insight and methods you need to build a portfolio that generates strong returns for the long run In Risk-Return Analysis , Markowitz corrects common misunderstandings about Modern Portfolio Theory (MPT) to help advanced financial practitioners dramatically improve their decision making. In this first volume of a groundbreaking four-part series sure to draw the attention of anyone interested in MPT, Markowitz provides the criteria necessary for judging among risk-measures; surveys a half-century of literature (nearly all of which has been ignored by textbooks) on the applicability of MPT; and presents an empirical study of which functions of mean and some risk-measure is best for those who seek to maximize return in the long run. Harry M. Markowitz is a Nobel Laureate and the father of Modern Portfolio Theory.

Contents:

Cover

Title Page

Copyright Page

Contents

Foreword

Preface

Acknowledgments

Outline of Plans for Volumes II, III, and IV

1. The Expected Utility Maxim

Introduction

Definitions

Uniqueness

Characteristics of Expected Utility Maximization

RDMs Versus HDMs

Allais's Paradox

Weber's Law and the Allais Paradox

The Axioms

Axiom I

Axiom II

Axioms III and III'

Bounded Versus Unbounded Utility of Returns

Postscript

2. Mean-Variance Approximations to Expected Utility

Why Not Just Maximize Expected Utility?

Utility of Return Versus Utility of Wealth

Loistl's Erroneous Analysis

Levy and Markowitz (1979)

Highly Risk-Averse Investors

Highly Risk-Averse Investors and a Risk-Free Asset

Portfolios of Call Options

Ederington's Quadratic and Gaussian Approximations to Expected Utility

Other Pioneers

Conclusion

3. Mean-Variance Approximations to the Geometric Mean

Why Inputs to a Mean-Variance Analysis Must Be Arithmetic Means

Six Mean-Variance Approximations to g

Observed Approximation Errors for Asset Classes

Relationships Among Approximation Methods

Twentieth-Century Real Equity Returns

Choice of Approximation

Recap

Technical Note: Selecting a Weighted Average of Approximations

4. Alternative Measures of Risk

The Asset-Class Database

Comparisons

The DMS Database

Caveat and Conclusion

5. The Likelihood of Various Return Distributions (With Anthony Tessitore, Ansel Tessitore, and Nilufer Usmen)

Bayes Factors

Transformed Variables

Compound Hypotheses

The Pearson Family

Practically Normal Distributions

Illustrative Histograms

Near LH-Maximizing Distributions for the Ensemble

Transformed Country Distributions

Observations.

Recommendation

Notes

References

Index.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9780071817943

0071817948

OCLC:

1024253157