Book description
The Nobel Prizewinning Father of Modern Portfolio Theory reintroduces his theories for the current world of investing
Legendary economist Harry M. Markowitz provides the insight and methods you need to build a portfolio that generates strong returns for the long run
In RiskReturn Analysis, Markowitz corrects common misunderstandings about Modern Portfolio Theory (MPT) to help advanced financial practitioners dramatically improve their decision making.
In this first volume of a groundbreaking fourpart series sure to draw the attention of anyone interested in MPT, Markowitz provides the criteria necessary for judging among riskmeasures; surveys a halfcentury of literature (nearly all of which has been ignored by textbooks) on the applicability of MPT; and presents an empirical study of which functions of mean and some riskmeasure is best for those who seek to maximize return in the long run.
Harry M. Markowitz is a Nobel Laureate and the father of Modern Portfolio Theory.
Table of contents
 Cover
 RISKRETURN ANALYSIS: The Theory and Practice of Rational Investing, Volume I
 Copyright Page
 Dedication
 Contents
 Foreword
 Preface
 Acknowledgments
 Outline of Plans for Volumes II, III, and IV
 1. The Expected Utility Maxim

2. MeanVariance Approximations to Expected Utility
 Introduction
 Why Not Just Maximize Expected Utility?
 Utility of Return Versus Utility of Wealth
 Loistl’s Erroneous Analysis
 Levy and Markowitz (1979)
 Highly RiskAverse Investors
 Highly RiskAverse Investors and a RiskFree Asset
 Portfolios of Call Options
 Ederington’s Quadratic and Gaussian Approximations to Expected Utility
 Other Pioneers
 Conclusion

3. MeanVariance Approximations to the Geometric Mean
 Introduction
 Why Inputs to a MeanVariance Analysis Must Be Arithmetic Means
 Six MeanVariance Approximations to g
 Observed Approximation Errors for Asset Classes
 Relationships Among Approximation Methods
 TwentiethCentury Real Equity Returns
 Choice of Approximation
 Recap
 Technical Note: Selecting a Weighted Average of Approximations
 4. Alternative Measures of Risk
 5. The Likelihood of Various Return Distributions (With Anthony Tessitore, Ansel Tessitore, and Nilufer Usmen)
 Notes
 References
 Index
Product information
 Title: RiskReturn Analysis: The Theory and Practice of Rational Investing (Volume One)
 Author(s):
 Release date: September 2013
 Publisher(s): McGrawHill
 ISBN: 9780071817943
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