Research Catalog

Title

Harry Markowitz : selected works / edited by Harry M. Markowitz.

Author

Markowitz, H. (Harry), 1927-

Publication

Hackensack, NJ : World Scientific, [2008], ©2008.

Items in the Library & Off-site

Details

Additional Authors

Markowitz, H. (Harry), 1927-

Description

xvi, 700 pages : illustrations; 26 cm.

Series Statement

World Scientific nobel laureate series ; v. 1

Uniform Title

World Scientific nobel laureate series ; v. 1.

Subjects

• Sparse matrices
• Portfolio management
• Investment analysis

Bibliography (note)

• Includes bibliographical references.

Contents

Ch. 1. Overview -- Trains of Thought -- Ch. 2. 1952 -- Portfolio Selection -- The Early History of Portfolio Theory 1600-1960 -- The Utility of Wealth -- Ch. 3. Rand [I] and The Cowles Foundation -- Industry-wide, Multi-industry and Economy-wide -- Process Analysis Alternate Methods of Analysis -- The Elimination Form of the Inverse and its Application to Linear Programming -- The Optimization of a Quadratic Function Subject to Linear Constraints -- The General Mean-variance Portfolio Selection Problem -- Ch. 4. Rand [II] and CACI -- Simulating with SIMSCRIPT -- Programming by Questionnaire -- Simscript -- Barriers to the Practical Use of Simulation Analysis -- Ch. 5. IBM's T. J. Watson Research Center -- Approximating Expected Utility by a Function of Mean and Variance -- Mean-variance Versus Direct Utility Maximization -- The Value of a Blank Check -- The "Two beta" Trap -- Portfolio Analysis with Factors and Scenarios -- Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems -- The ER and EAS Formalisms for System Modeling and the EAS-E Language -- EAS-E: An Integrated Approach to Application Development -- The System Architecture of EAS-E: An Integrated Programming and Database Language -- Samuelson and Investment for the Long Run -- Investment for the Long Run: New Evidence for an Old Rule -- Ch. 6. Baruch College (CUNY) and Daiwa Securities -- Investment Rules, Margin and Market Volatility -- Risk Adjustment -- Normative Portfolio Analysis: Past, Present and Future -- Individual versus Institutional Investing -- Foundations of Portfolio Theory -- Fast Computation of Mean-variance Efficient Sets Using Historical Covariances -- Computation of Mean-semivariance Efficient Sets by the Critical Line Algorithm -- Data Mining Corrections -- Ch. 7. Harry Markowitz Company -- The Likelihood of Various Stock Market Return Distributions: Part 1: Principles of Inference -- The Likelihood of Various Stock Market Return Distributions: Part 2: Empirical Results -- Resampled Frontiers Versus Diffuse Bayes -- An Experiment On Socks Ties and Extended Outcomes -- Single-Period Mean-variance Analysis in a Changing World -- Financial Market Simulation -- Portfolio Optimization with Factors, Scenarios and Realistic Short Positions -- Market Efficiency: A Theoretical Distinction and So What? -- Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective -- DeFinetti Scoops Markowitz -- CAPM Investors Do Not Get Paid for Bearing Risks: A Linear Relation Does not Imply Payment for Risk.

ISBN

• 9789812833631 (hard)
• 9812833633 (hard)
• 9789812833648 (pbk.)
• 9812833641 (pbk.)

LCCN

• 2009323272
• 99934247120

OCLC

• ocn234427150
• 234427150
• SCSB-9053122

Owning Institutions

Columbia University Libraries