September 2013
Intermediate to advanced
208 pages
4h 23m
English
book
Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One)
by Harry Markowitz, Kenneth Blay
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OUTLINE OF PLANS FOR VOLUMES II, III, AND IV
VOLUME II
Volume II is planned to present the following ideas in roughly the following order:
• The concept of a game in the sense of von Neumann and Morgenstern, and especially their concept of a strategy—namely, a rule that specifies a player’s move in every circumstance in which the player may find itself.
On questions of asset allocation we will principally be concerned with single-person games. Two-person and n-person games can be relevant to questions of trading strategies, on which we will say little if anything.
• The notion of utility attached to the game as a whole as presented in Markowitz (1959), Chapter 11 with emphasis here, as there, on the fact that such a utility function is not necessarily ...
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