Modern Portfolio Theory: Foundations, Analysis, and New Developments, + Website

Preface

Harry Markowitz introduced portfolio theory in a 1952 Journal of Finance article. That article has been widely referenced, frequently reprinted, and it was cited when Markowitz was awarded the Nobel prize. A few years later, professors James Tobin (Yale) and William Sharpe (Stanford) made important extensions to Markowitz's original model that both won Nobel prizes. Today, portfolio theory has grown to impact the finance and economics classrooms of universities, portfolio managers, financial service organizations, and many individual investors.

The extraordinary intellectual developments of Markowitz, Tobin, and Sharpe were furthered by increasing college enrollments, an explosive growth of information and computing technology, the global expansion of investment activity, and by decades of contributions by many different insightful authors. This book traces the valuable contributions by many different authors. Contributions involving utility analysis, single and multiple index models, non-normal probability distributions, higher-order statistical moments, investment decision criteria that go beyond the mean and variance framework, value at risk (VaR) models, Monte Carlo simulation models, the zero-beta portfolio, continuous time models, market timing, mutual fund portfolios, several portfolio performance evaluation models, arbitrage pricing theory (APT), and alternative trading systems (ATS) are reviewed and evaluated. The interactions between these diverse schools of thought ...