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 | | Mean-Variance Analysis in Portfolio Choice and Capital Markets by Harry M. Markowitz, G. Peter Todd, William F. Sharpe ISBN-10: 9781883249755 ISBN-10: 1-883249-75-9 ISBN-13: 9781883249755 ISBN-13: 978-1-883249-75-5 Hardcover 2000-02 Wiley Find Lowest Price |
Editorials | ||
Product Description In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions. | ||
Reviews | ||
Not for the faint of heart The bible on mean-variance optimization for portfolio selection. If you need to know the nuts and bolts of how to do MVO, this book has it. But be prepared to wade through some fairly advanced math. Theoretically, anyone with college Calculus and Matrix Operations should be able to make it through the math. But I can tell you from personal experience, it's pretty rough going. The text is written for mathematicians, so unless one is very comfortable with some fairly advanced matrix work, it can be very hard to follow what's going on. Peter Todd provides an implementation of Dr. Markowitz's algorithm in VBA. If you are a programmer, be prepared: The code was also written by a mathematician for mathematicians. If you don't understand the math behind the algorithm, you probably won't be able to decipher the code. And the code is complex enough that I doubt it could be copied by rote. With all that said, this really is an incredible book. It is ideal for a team comprised of a mathematician and a programmer who need to write an application to do MVO. We are using it as our primary reference in creating an 'efficient frontier' optimizer for use in investment software. | ||