Harry Markowitz Company

Harry Markowitz

Chapter 7 in Harry Markowitz:Selected Works, 2009, pp 529-700 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:The Likelihood of Various Stock Market Return Distributions: Part 1: Principles of InferenceFinancial research supports financial decision making: An exampleRational (coherent) decision making is BayesianClassical statistics is an unreliable indicator of how Bayesians should shift beliefsRemote Bayesian clientsHuman approximation to an RDMSummaryAcknowledgmentsNotesReferencesThe Likelihood of Various Stock Market Return Distributions, Part 2: Empirical ResultsSimple hypothesesHypothesesThe sampleComputation of likelihoodShifts in beliefsCompound hypothesesIs Yt Gaussian?Is Yt generated by a student's t distribution?Is Yt contaminated normal?On estimating ψWhat next?Summary and conclusionsAcknowledgmentsNotesReferencesRESAMPLED FRONTIERS VERSUS DIFFUSE BAYES: AN EXPERIMENTIntroductionThe Michaud PlayerThe diffuse Bayes playerBasicsDiffuse priorsImportance samplingResultsQuestionsConclusionsAcknowledgmentsNotesReferencesOn Socks, Ties and Extended OutcomesExtensions and ReflectionsAppendix Axioms for Multiperiod AnalysisReferencesEndnotesSingle-Period Mean–Variance Analysis in a Changing WorldThe ModelComputation of Expected Discounted UtilityComputation of (Nearly) Optimal Strategy(Nearly) Optimum Action MatrixesMV HeuristicComparison of Expected UtilitiesWhere Next?ConclusionAppendix A. Why A* May Not Equal ÃFinancial Market SimulationTYPES OF DYNAMIC MODELSJLM SIMULATORStatusEventsOBJECTIVES AND EXTENSIONSAlternative Investor and Trader BehaviorsModel SizeADVANTAGES OF ASYNCHRONOUS FINANCE MODELSCAVEATCONCLUSIONENDNOTESREFERENCESPortfolio Optimization with Factors, Scenarios, and Realistic Short PositionsIntroductionThe General Mean-Variance ProblemSolution to the General ProblemDiagonizable Models of CovarianceShort Sales in PracticeModeling Short SalesSolution to Long-Short ModelExampleSummaryEndnotesReferencesMarket Efficiency: A Theoretical Distinction and So What?A DistinctionGeneralizationsSo What?ConclusionAppendix A. Finding a Probability Distribution for a Given Efficient SetNotesReferencesEFFICIENT PORTFOLIOS, SPARSE MATRICES, AND ENTITIES: A RETROSPECTIVEPORTFOLIO THEORYSPARSE MATRICESENTITIES, ATTRIBUTES, SETS, AND EVENTSENDNOTEREFERENCESDe Finetti Scoops MarkowitzThe NewsThe De Finetti ModelNumerical ExampleSummaryTechnical SupplementSolution to the de Finetti problemA Correct Final Segment TheoremAdvances in Mathematical Programming (1940-1956)ReferencesCAPM Investors Do Not Get Paid for Bearing Risk: A Linear Relation Does Not Imply Payment for RiskTHE MOSSIN VERSION OF THE SHARPE-LINTNER MODELAFTERTHOUGHTSWHERE DOES THIS LEAVE THE CAPM?ENDNOTEREFERENCES

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