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Portfolio Selection: Efficient Diversification of Investments
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of
The Utility of Wealth
  • H. Markowitz
  • Economics
    Journal of Political Economy
  • 1 April 1952
(b) acts in the face of known odds so as to maximize expected utility. (2) The utility function is as illustrated in Figure i. We may assume it to be a continuous curve with at least first and second
Mean-Variance Analysis in Portfolio Choice and Capital Markets
The general portfolio selection model preliminary results solution to the general portfolio selection model special cases a portfolio selection programme.
The Random Character of Stock Market Prices.
This work is known to a generation of financial economists having marked the beginnings of the field known as financial econometrics. This edition sets out to show that the text, first written in
The Early History of Portfolio Theory: 1600–1960
q) iversification of investments was a well-established practice long before I published my paper on portfolio selection in 1952. For example, A. Wiesenberger's annual reports in Investment Companies
The Elimination form of the Inverse and its Application to Linear Programming
It is common for matrices in industrial applications of linear programming to have a large proportion of zero coefficients. While every item raw material, intermediate material, end item, equipment
Mean-Variance versus Direct Utility Maximization
Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and
Portfolio Optimization with Mental Accounts
We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting (MA) framework. Features
Foundations of Portfolio Theory
Prize Lecture to the memory of Alfred Nobel, December 7, 1990.(This abstract was borrowed from another version of this item.)
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