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CITATION

Markowitz, Harry M.. Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing. New York: McGraw-Hill Education, 2016.

Risk-Return Analysis, Volume 2: The Theory and Practice of Rational Investing

Authors: Harry M. Markowitz

Published:  June 2016 Pages: 208

eISBN: 9780071830102 | ISBN: 9780071830096
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  • Cover Page
  • Title Page
  • Copyright Page
  • CONTENTS
  • Addendum to Volume I
  • Preface
  • Acknowledgments
  • 6. The Portfolio Selection Context
  • Introduction
  • Temporal Structure and Today's Choice
  • Stakeholders Versus “the Investor”
  • Investor Roles
  • Diversification Needs and Opportunities: Recognized and Unrecognized
  • Agenda: Analysis, Judgment, and Decision Support Systems
  • 7. Modeling Dynamic Systems
  • Introduction
  • Definitions
  • The EAS-E Worldview
  • The Modeling Process
  • An EAS Example
  • Graphical Depiction of Attributes
  • Graphical Depiction of Sets
  • Further Specifications
  • Describing Time
  • Simultaneity
  • Endogenous Events Versus Endogenous Phenomena
  • JLMSim Events
  • Simplicity, Complexity, Reality
  • The SIMSCRIPT Advantage
  • GuidedChoice and the Game of Life
  • The GC DSS Database
  • Simulator Versus DSS Modeling
  • Issues and Alternatives
  • The SIMSCRIPTs
  • The Process View
  • Subsidiary Entities
  • SIMSCRIPT III Features
  • Continued in Chapter 12
  • 8. Game Theory and Dynamic Programming
  • Introduction
  • PRWSim (a Possible Real-World Simulator)
  • Concepts from Game Theory
  • Non-“Theory of Games” Games
  • Randomized Strategies
  • The Utility of a Many-Period Game
  • Dynamic Programming
  • Solving Tic-Tac-Toe
  • Conditional Expected Value: An Example
  • Generalization
  • Partitions, Information, and DP Choice: An Example
  • Generalization: Two Types of Games
  • The Curse of Dimensionality
  • Factorization, Simplification, Exploration, and Approximation
  • 9. The Mossin-Samuelson Model
  • Introduction
  • The MS Model and Its Solution
  • Markowitz Versus Samuelson: Background
  • Glide-Path Strategies and Their Rationales
  • Relative Risk Aversion
  • The GuidedSavings Utility Function
  • The Well-Funded Case
  • A Game-of-Life Utility Function
  • 10. Portfolio Selection as a Social Choice
  • Introduction
  • Arrow's Paradox
  • The Goodman and Markowitz (1952) (GM) Theorems
  • Social Ordering for RDMs
  • Hildreth's Proposal
  • Markowitz and Blay (MB) Axioms
  • Arithmetic Versus Geometric Mean Utility
  • Symmetry Revisited
  • Rescaling Ploys
  • Voting Blocks
  • The Luce, Raiffa, and Nash (LRN) Choice Rule
  • Nash Symmetry
  • A Proposal
  • Liberté, Égalité, Prospérité
  • 11. Judgment and Approximation
  • Introduction
  • EU Maximization: Exact, Approximate; Explicit, Implicit
  • The Household as Investor
  • The Markowitz and van Dijk Methodology
  • The Blay-Markowitz NPV Analysis
  • The TCPA Process
  • Estimating PV Means, Variances, and Covariances
  • Displaying the Efficient Frontier
  • Resampled AC/LOC Portfolios
  • TCPA 1.0 Assumptions
  • Beyond Markowitz
  • “Buckets”: A Brief Literature Review
  • The “Answer Game”
  • First the Question, Then the Answer
  • 12. The Future
  • Introduction
  • JSSPG
  • Proposals
  • Current Practice
  • Agenda
  • Level 6
  • SIMSCRIPT Facilities
  • IBM EAS-E Features
  • Like the Phoenix
  • Level 7
  • SIMSCRIPT M Enhancements
  • Computing: Past, Present, and Future
  • Von Neumann (1958): The Computer and the Brain
  • The Computer and the Brain, Revisited
  • Emulation, Not Replication
  • Event Invocation of a Third Kind
  • Processes That Process Processes
  • Easily Parallelized Processes (EPPs)
  • Local Resource Groups
  • Micro Versus Macro Parallelization
  • Epilogue
  • Notes
  • References
  • Index
  • ABOUT THE AUTHOR