Mean-Variance Analysis in Portfolio Choice and Capital Markets

Harry M. Markowitz, G. Peter Todd, William F. Sharpe (Foreword by)

ISBN: 978-1-883249-75-5

Hardcover

400 pages

February 2000

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Description
Table of Contents
Author Information

Foreword.

Preface to Revised Reissue.

Preface.

PART I: THE GENERAL PORTFOLIO SELECTION MODEL.

1. Portfolio Selection Models.

2. The General Mean-Variance Portfolio Selection Model.

3. Capabilities and Assumptions of the General Model.

PART II: PRELIMINARY RESULTS.

4. Properties of Feasible Portfolio Sets.

5. Sets Involving Mean, Variance, and Standard Deviation.

6. Portfolio Selection Models with Affine Constraint Sets.

PART III: SOLUTION TO THE GENERAL PORTFOLIO SELECTION MODEL.

7. Efficient Sets for Nondegenerate Models.

8. Getting Started.

9. Denegerate Cases.

10. All Feasible Mean-Variance Combinations.

PART IV: SPECIAL CASES.

11. Canonical Form on the Two-Dimensional Analysis.

12. Conical Constraint Sets and Efficiency of the Market Portfolio.

PART V: A PORFOLIO SELECTION PROGRAM.

13. Program Description (By G. Peter Todd).

Appendix: Elements of Matrix Algebra and Vector Spaces.

References.

Index.