Mean-Variance Analysis in Portfolio Choice and Capital MarketsISBN: 978-1-883249-75-5
Hardcover
400 pages
February 2000
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Harry Markowitz has applied computer and mathematical techniques to
various practical decision making areas. In finance: he presented
in an article in 1952 and a book in 1959 "modern portfolio theory,"
now a standard topic in college courses and widely used by
institutional investors for tactical asset allocation, risk
control, and attribution analysis.In other areas: Dr. Markowitz
developed "sparse matrix" techniques for solving very large
mathematical optimization problems, now standard in production
software for optimization programs. He also designed and supervised
the development of the SIMSCRIPT programming language which has
been widely used for programming computer simulations of systems
like factories, transportation systems, and communication networks.
In 1989 Dr. Markowitz received The John von Neumann Award from the
Operations Research Society of America for his work in portfolio
theory, sparse matrix techniques, and SIMSCRIPT. In 1990 he shared
The Nobel Prize in Economics for his work on portfolio
theory.
G. Peter Todd is a Director of Riverview International Group, Inc., where he is responsible for software development. From 1990 to 1998 Dr. Todd was a Vice President in Daiwa Securities Trust's Global Portfolio Research Department (GPRD), where he worked with Harry Markowitz, GPRD's Director of Research. Dr. Todd received a Ph.D. in Biochemistry from Cornell University and a B.S. in Chemistry from Utah State University.
G. Peter Todd is a Director of Riverview International Group, Inc., where he is responsible for software development. From 1990 to 1998 Dr. Todd was a Vice President in Daiwa Securities Trust's Global Portfolio Research Department (GPRD), where he worked with Harry Markowitz, GPRD's Director of Research. Dr. Todd received a Ph.D. in Biochemistry from Cornell University and a B.S. in Chemistry from Utah State University.