Baruch College (CUNY) and Daiwa Securities

Harry Markowitz

Chapter 6 in Harry Markowitz:Selected Works, 2009, pp 443-528 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Investment Rules, Margin and Market VolatilityTHE SIMULATED MARKETEFFECT OF VARYING THE NUMBER OF PORTFOLIO INSURERSCONCLUSIONS, CAVEATS, AND CONJECTURESAPPENDIXREFERENCESRisk AdjustmentTraditional CAPMsRisk Adjustment in the Standard, Homogeneous ModelObservations and ExtensionsEpilogueREFERENCESNormative Portfolio Analysis: Past, Present and FutureNormative Portfolio Analysis as of 1959Normative versus Positive Portfolio AnalysisProgress and Opportunity in Normative AnalysisReferencesIndividual versus Institutional InvestingThesisAntithesisSynthesisNotesReferencesFoundations of Portfolio TheoryFast Computation of Mean–variance Efficient Sets Using Historical CovariancesINTRODUCTIONREFORMULATION OF THE PROBLEMIMPLEMENTATION OF THE CRITICAL LINE ALGORITHMPERFORMANCEAPPENDIXNOTESREFERENCESComputation of mean-semivariance efficient Sets by the Critical Line AlgorithmIntroductionReview of mean-variance modelTHE MEAN-VARIANCE PROBLEMTHE CRITICAL LINE ALGORITHMMean-semivariance modelTHE MEAN·SEMIVARIANCE PROBLEMREFORMULATION OF THE PROBLEMImplementation of the Critical Line AlgorithmPerformanceReferencesData Mining CorrectionsTHE MODELSESTIMATION OF β FOR MODEL IESTIMATION OF β FOR MODEL IITESTS OF SIGNIFICANCEESTIMATION FOR MODEL IIIA BAYESIAN VIEW OF THE METHODSEXPERIENCE WITH MODELS I, II, AND IIIWHY NO HOLDOUT PERIOD?SUMMARYENDNOTESREFERENCES

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