Product Description

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.

Product Details

• Amazon Sales Rank: #500764 in Books
• Published on: 1991-09-02
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 400 pages

Review
"Modern portfolio theory gives a rigorous mathematical justification for the time honored investment maxim that diversification is a sensible strategy for individuals who wish to reduce their risks. Invented in the 1950s by Harry Markowitz in this book, the theory provides a firm foundation for the intuition that you should not put all your eggs in one basket and shows investors how to combine securities to minimize risk." Butron G Malkiel, author of "A Random Walk Down Wall Street"

"In every field of study it is possible to look back and identify a person or event that caused a major change in the direction or development of the field. In investments it is clear that the seminal work by Harry Markowitz on portfolio theory changed the field more than any other single event." Frank K. Reilly, University of Notre Dame, Indiana

From the Back Cover
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. It also became an essential reference for individuals and financial institutions actually selecting optimal portfolios.

Long out of print and unavailable to numerous recent entrants to both financial theory and financial practice, this new edition leaves the existing text as it stands but adds substantial new material including a new bibliography and a fascinating biographical piece on the birth of the field of finance.

About the Author
Professor Markowitz has been awarded the Nobel Prize for Economics 1990.

Customer Reviews

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

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.

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.