Book description
The Nobel Prize-winning Father of Modern Portfolio Theory returns with new insights on his classic work to help you build a lasting portfolio today
Contemporary investing as we know it would not exist without these two words: “Portfolio selection.” Though it may not seem revolutionary today, the concept of examining and purchasing many diverse stocks—creating a portfolio—changed the face of finance when Harry M. Markowitz devised the idea in 1952.
In the past six decades, Markowitz has risen to international acclaim as the father of Modern Portfolio Theory (MPT), with his evaluation of the impact of asset risk, diversification, and correlation in the risk-return tradeoff. In defending the idea that portfolio risk was essential to strategic asset growth, he showed the world how to invest for the long-run in the face of any economy.
In Risk Return Analysis, this groundbreaking four-book series, the legendary economist and Nobel Laureate returns to revisit his masterpiece theory, discuss its developments, and prove its vitality in the ever-changing global economy. Volume 2 picks up where the first volume left off, with Markowitz’s personal reflections and current strategies. In this volume, Markowitz focuses on the relationship between single-period choices—now—and longer run goals. He discusses dynamic systems and models, the asset allocation “glide-path,” inter-generational investment needs, and financial decision support systems.
Written with both the academic and the practitioner in mind, this richly illustrated volume provides investors, economists, and financial advisors with a refined look at MPT, highlighting the rational decision-making and probability beliefs that are essential to creating and maintaining a successful portfolio today.
Table of contents
- Cover Page
- Title Page
- Copyright Page
- Addendum to Volume I
- Contents
- Preface
- Acknowledgments
- Chapter 6. The Portfolio Selection Context
-
Chapter 7. Modeling Dynamic Systems
- Introduction
- Definitions
- The EAS-E Worldview
- The Modeling Process
- An EAS Example
- Graphical Depiction of Attributes
- Graphical Depiction of Sets
- Further Specifications
- Describing Time
- Simultaneity
- Endogenous Events Versus Endogenous Phenomena
- JLMSim Events
- Simplicity, Complexity, Reality
- The SIMSCRIPT Advantage
- GuidedChoice and the Game of Life
- The GC DSS Database
- Simulator Versus DSS Modeling
- Issues and Alternatives
- The SIMSCRIPTs
- The Process View
- Subsidiary Entities
- SIMSCRIPT III Features
- Continued in Chapter 12
-
Chapter 8. Game Theory and Dynamic Programming
- Introduction
- PRWSim (a Possible Real-World Simulator)
- Concepts from Game Theory
- Non-“Theory of Games” Games
- Randomized Strategies
- The Utility of a Many-Period Game
- Dynamic Programming
- Solving Tic-Tac-Toe
- Conditional Expected Value: An Example
- Generalization
- Partitions, Information, and DP Choice: An Example
- Generalization: Two Types of Games
- The Curse of Dimensionality
- Factorization, Simplification, Exploration, and Approximation
- Chapter 9. The Mossin-Samuelson Model
-
Chapter 10. Portfolio Selection as a Social Choice
- Introduction
- Arrow’s Paradox
- The Goodman and Markowitz (1952) (GM) Theorems
- Social Ordering for RDMs
- Hildreth’s Proposal
- Markowitz and Blay (MB) Axioms
- Arithmetic Versus Geometric Mean Utility
- Symmetry Revisited
- Rescaling Ploys
- Voting Blocks
- The Luce, Raiffa, and Nash (LRN) Choice Rule
- Nash Symmetry
- A Proposal
- Liberté, Égalité, Prospérité
-
Chapter 11. Judgment and Approximation
- Introduction
- EU Maximization: Exact, Approximate; Explicit, Implicit
- The Household as Investor
- The Markowitz and van Dijk Methodology
- The Blay-Markowitz NPV Analysis
- The TCPA Process
- Estimating PV Means, Variances, and Covariances
- Displaying the Efficient Frontier
- Resampled AC/LOC Portfolios
- TCPA 1.0 Assumptions
- Beyond Markowitz
- “Buckets”: A Brief Literature Review
- The “Answer Game”
- First the Question, Then the Answer
-
Chapter 12. The Future
- Introduction
- JSSPG
- Proposals
- Current Practice
- Agenda
- Level 6
- SIMSCRIPT Facilities
- IBM EAS-E Features
- Like the Phoenix
- Level 7
- SIMSCRIPT M Enhancements
- Computing: Past, Present, and Future
- Von Neumann (1958): The Computer and the Brain
- The Computer and the Brain, Revisited
- Emulation, Not Replication
- Event Invocation of a Third Kind
- Processes That Process Processes
- Easily Parallelized Processes (EPPs)
- Local Resource Groups
- Micro Versus Macro Parallelization
- Epilogue
- Notes
- References
- Index
Product information
- Title: Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing
- Author(s):
- Release date: June 2016
- Publisher(s): McGraw-Hill
- ISBN: 9780071830102
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