Portfolio Selection: Efficient Diversification of Investments

by Harry M. Markowitz

Book Overview

This is a classic book, representing the first major breakthrough in the field of modern financial theory. In effect, it created the mathematics of portfolio selection in a model which has turned out to be the indispensable building block from which the theory of the demand for risky securities is constructed.

• Format: Hardcover
• Language: English
• ISBN: 1557861080
• ISBN13: 9781557861085
• Release Date: August 1991
• Publisher: Wiley
• Length: 400 Pages
• Weight: 1.82 lbs.
• Dimensions: 1.2" x 6.3" x 9.3"

Customer Reviews

Excellent

Clear mathematics goes all the way from statistics, probabilistics, to #D geometry and Simplex mthod. all applied to the one financial problem:how to select teh adequate portfolio.

Finance understanding

Although an old work, it established the basis of modern portfolio selection theory. Foundations are mandatory for those who want to get a grasp on the matter and helps better undestand modern theory. First half of the book is a ride, second half is a harder time.

What a book!

Almost 50 years after its first printing there is not a single word that should be changed. As some of Markowitz' important original insights have been ignored or overlooked by many of his successors (e.g. the relationship between mean-variance efficiency and long-term growth or the irrelevance of the return distribution for M/V optimisation), this is still a must-read for anybody truly interested in portfolio theory.

A brilliant intellectual feat

While Markowitz is a name well-known in economics (joint winner of the Nobel Proze in 1990) and the investment industry, it is known hardly at all among the public. Perhaps this is the inevitable fate of a man well ahead of his time: Markowitz's work on the relationship of risk and return is truly one of the staggering intellectual achievements of modern economics, and has a great practical impact on people's economic welfare. This volume recapitulates his argument that risk is what drives return, rather than being (as was thought by earlier generations of money managers) merely an unfortunate by-product of the search for higher returns, that the portfolio dominates its constituent assets, and that the way to minimise risk for a given level of expected return is to minimise the covariance of returns of the assets within that portfolio using a quadratic programming algorithm. This is brilliant, seminal stuff, written with a liveliness usually lacking in economic texts.

The original classic

This is a reprint of the text that first considered risk along with return in portfolio management! Nobel-prize winner Harry Markowitz explains the theory upon which modern portfolio theory is based in minimal mathematical terms. Of course there has been much subsequent academic research in portfolio theory (much of which is contained in an included bibliography up to 1970), but this book is an outstanding starting point for anyone interested in the efficient management of financial portfolios