Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing

PREFACE

This is the second volume of a four-volume book on Risk-Return Analysis: The Theory and Practice of Rational Investing. The theory upon which this book is based is the “theory of rational choice” of von Neumann and Morgenstern (1944) and L. J. Savage (1954). While this theory applies to rational choice in general, rather than to rational investing specifically, for the most part the practice discussed in this book involves investing. In particular, a central theme throughout the volumes of this book is that risk-return analysis—and especially mean-variance analysis—is a practical way for an investor to approximate the actions of a von Neumann and Morgenstern or L. J. Savage rational decision maker (RDM).

Volume I was concerned with ...