Mean-Variance Analysis in Portfolio Choice and Capital Markets

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.

• 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.