Rand [I] and The Cowles Foundation

Harry Markowitz

Chapter 3 in Harry Markowitz:Selected Works, 2009, pp 51-145 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INDUSTRY-WIDE, MULTI-INDUSTRY AND ECONOMY-WIDE PROCESS ANALYSISIntroductionSubanalysis for the petroleum refining industryProblems of economy-wide analysisProcess analysis and other models of the economyA list of works citedALTERNATE METHODS OF ANALYSISIntroductionGross National Product AnalysisRequirements AnalysisInput-Output AnalysisSummaryReferencesTHE ELIMINATION FORM OF THE INVERSE AND ITS APPLICATION TO LINEAR PROGRAMMINGIntroductionThe Elimination Form of InverseApplication to Linear ProgrammingTHE OPTIMIZATION OF A QUADRATIC FUNCTION SUBJECT TO LINEAR CONSTRAINTSQUADRATIC PROBLEMSASSUMPTIONSTHE CRITICAL LINE $\bar{\ell}$CRITICAL LINES ℓ(ℓ,ℓ)INTERSECTIONS OF CRITICAL LINES; NON-DEGENERACY CONDITIONSTHE ALGORITHM UNDER CONDITIONS 1 THROUGH 4THE ALGORITHM UNDER CONDITIONS 3 AND 4THE ALGORITHM WHEN LE IS DEGENERATE BUT UNIQUETHE ALGORITHM WHEN LE IS NOT UNIQUETHE ALGORITHM, WHEN CONDITION 3 DOES NOT HOLDTHE SET OF EFFICIENT E, V COMBINATIONSMINIMIZING A QUADRATICThe general mean-variance portfolio selection problemThe problemApplicationComputationDegeneracy and other problemsReferences

Keywords: Portfolio Theory; SIMSCRIPT; Sparse Matrices; Behavioral Finance; Harry Markowitz (search for similar items in EconPapers)
Date: 2009
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