| Description |
1 online resource (xvi, 700 pages) : illustrations. |
| Physical Medium |
polychrome |
| Description |
text file |
| Series |
World Scientific nobel laureate series ; v. 1
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World Scientific nobel laureate series ; v. 1.
|
| Bibliography |
Includes bibliographical references. |
| Summary |
Harry M Markowitz received the Nobel Prize in Economics in 1990 for his pioneering work in portfolio theory. He also received the von Neumann Prize from the Institute of Management Science and the Operations Research Institute of America in 1989 for his work in portfolio theory, sparse matrices and the SIMSCRIPT computer language. While Dr Markowitz is well-known for his work on portfolio theory, his work on sparse matrices remains an essential part of linear optimization calculations. In addition, he designed and developed SIMSCRIPT -- a computer programming language. SIMSCRIPT has been widely. |
| Contents |
Ch. 1. Overview. Trains of thought -- ch. 2. 1952. Portfolio selection. The early history of portfolio theory 1600-1960. The utility of wealth -- ch. 3. Rand [I] and The Cowles Foundation. Industry-wide, multi-industry and economy-wide. Process analysis. Alternate methods of analysis. The elimination form of the inverse and its application to linear programming. The optimization of a quadratic function subject to linear constraints. The general mean-variance portfolio selection problem -- ch. 4. Rand [II] and CACI. Simulating with SIMSCRIPT. Programming by questionnaire. SIMSCRIPT. Barriers to the practical use of simulation analysis -- ch. 5. IBM's T.J. Watson Research Center. Approximating expected utility by a function of mean and variance. Mean-variance versus direct utility maximization. The value of a blank check. The "two beta" trap. Portfolio analysis with factors and scenarios. Sparsity and piecewise linearity in large portfolio. Optimization problems. The ER and EAS formalisms for system modeling and the EAS-E language. EAS-E : an integrated approach to application development. The system architecture of EAS-E : an integrated programming and database language. Samuelson and investment for the long run. Investment for the long run : new evidence for an old rule -- ch. 6. Baruch College (CUNY) and Daiwa Securities. Investment rules, margin and market volatility. Risk adjustment. Normative portfolio analysis : Past, present and future. Individual versus institutional investing. Foundations of portfolio theory. Fast computation of mean-variance efficient sets using historical covariances. Computation of mean-semivariance efficient sets by the critical line algorithm. Data mining corrections -- ch. 7. Harry Markowitz Company. The likelihood of various stock market return. Distributions : part 1 : principles of inference. The likelihood of various stock market return. Distributions : part 2 : empirical results. Resampled frontiers versus diffuse Bayes : an experiment on socks ties and extended outcomes. Single-period mean-variance analysis in a changing world. Financial market simulation. Portfolio optimization with factors, scenarios and realistic short positions. Market efficiency : a theoretical distinction and so what? Efficient portfolios, sparse matrices, and entities : a retrospective. DeFinetti scoops Markowitz. CAPM investors do not get paid for bearing risks : a linear relation does not imply payment for risk. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Investment analysis.
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Investment analysis. |
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Portfolio management.
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Portfolio management. |
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Sparse matrices.
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Sparse matrices. |
| Genre/Form |
Electronic books.
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Electronic books.
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| Added Author |
Markowitz, Harry M., 1927-2023.
Works. Selections. 2008.
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| Other Form: |
Print version: Markowitz, H. (Harry), 1927- Harry Markowitz. Hackensack, NJ : World Scientific, ©2008 9789812833631 (DLC) 2009323272 (OCoLC)234427150 |
| ISBN |
9789812833655 (electronic book) |
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981283365X (electronic book) |
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