Mean-Variance Portfolio Analysis: The Markowitz Model

Igor V. Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
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Igor V. Evstigneev: University of Manchester
Thorsten Hens: University of Zurich

Chapter 2 in Mathematical Financial Economics, 2015, pp 11-18 from Springer

Abstract: Abstract The chapter describes the Markowitz model, a cornerstone of portfolio theory, and examines the expected return and the variance of the return on a portfolio in the context of this model. The reader will learn how to apply the Markowitz approach to portfolio selection and about the trade-off between risk and return. The chapter considers the role of an investor’s risk tolerance and analyses the notion of an efficient portfolio. It provides a thorough discussion of the Markowitz optimization problem and of the underlying basic assumptions.

Keywords: Portfolio Selection; Efficient Frontier; Risk Tolerance; Portfolio Return; Portfolio Weight (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-319-16571-4_2

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DOI: 10.1007/978-3-319-16571-4_2

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