Gespeichert in:
| Titel: | Mean-variance analysis in portfolio choice and capital markets |
|---|---|
| Von: |
Harry M. Markowitz
|
| Person: |
Markowitz, Harry
1927-2023 Verfasser aut |
| Hauptverfasser: | |
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Oxford u.a.
Blackwell
2000
|
| Ausgabe: | Repr. |
| Schlagworte: | |
| Online-Zugang: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010439124&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | XIX; 379 S.: graph. Darst. |
| ISBN: | 1883249759 |
Internformat
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Datensatz im Suchindex
| DE-BY-TUM_call_number | 0001 04.2003 A 7238 |
|---|---|
| DE-BY-TUM_katkey | 1409743 |
| DE-BY-TUM_location | Mag |
| DE-BY-TUM_media_number | 040005129080 |
| _version_ | 1821932531599015936 |
| adam_text | Contents
Foreword ix
Preface to Revised Reissue xv
Preface xvii
Part I The General Portfolio Selection Model
1 PORTFOLIO SELECTION MODELS 3
The Standard Mean-Variance Portfolio Selection 3
Standard Analysis with Upper Bounds 7
The Tobin-Sharpe-Lintner Model 8
Black’s Model 11
Model Requiring Collateral for Short Positions 11
Nominal versus Real Returns 13
Appendix to chapter 1 15
Mean and variance of weighted sums 15
General sample spaces 20
Exercises 20
2 The General Mean-variance Portfolio Selection Model 23
Three Forms of the General Model 24
Nonlinear Examples 28
Historical Note 36
Exercises 40
3 Capabilities and Assumptions of the General Model 42
Semidefinite Covariance Matrices 42
Portfolio Constraints in Theory and Practice 43
Industry Constraints 44
Models of Covariance 45
Exogenous Assets 48
Tracking an Index 50
Turnover Constraints 51
Why Mean and Variance? 52
Bayesian Inference 56
Implied Single-period Utility Maximization 57
vi Contents
Quadratic Approximations 59
Research on EVApproximations 63
Related Matters 68
Part II Preliminary Results
4 Properties of Feasible Portfolio Sets 73
Notation 74
The Limit of a Sequence 77
Convergence in Rn 80
Closed Sets 81
Spheres, Balls, and Open Sets 82
Compact Sets 86
Convex Sets 89
Unbounded Constraint Sets 92
Disallowed Directions and Bounded Feasible Directions 94
Conical Sets 98
Appendix to chapter 4 100
Exercises 105
5 Sets Involving Mean, Variance, and Standard Deviation 107
Relationships Involving E 107
Relationships Involving V 109
Compensating Transformations 113
Valong a Straight Line 114
a along a Straight Line 116
Convex Functions 117
Minimum Obtainable Vand a 120
Exercises 122
6 Portfolio Selection Models with Affine Constraint Sets 125
Minimization Subject to Constraints 125
Efficient Portfolios with Affine Constraint Sets 127
Postscript 139
Exercises 143
Part III Solution to the General Portfolio Selection Model
7 Efficient Sets For Nondegenerate Models 151
Kuhn-Tucker Conditions 152
Critical Lines 154
Efficient Segments 157
Contents vii
Adjacent Efficient Segments 161
The Nonsingularity of M 166
Nonnegativity ofA and r 171
Finiteness of the Critical Line Algorithm 174
The Efficient EVSet 176
Choice of Axes 178
Exercises 179
8 Getting Started 184
The Simplex Method of Linear Programming 185
Prices and Profitabilities 191
Starting the Critical Line Algorithm 193
Exercises 195
9 Degenerate Cases 199
Simpler “Good Enough” Methods 200
Efficient Sets when E is Bounded 202
Lexicograph ical Ordering 214
Unbounded £ 216
Related Matters 219
Exercises 223
10 All Feasible Mean-variance Combinations 225
The Top of the Obtainable EV Set 229
Comparison of the Top and Bottom of the EV Set 236
The Sides of the Feasible EV Set 238
Exercises 239
Part IV Special Cases
11 Canonical Form of the Two-dimensional Analysis 243
The Standard Three-security Analysis 244
Canonical Form when Rank is 2 248
Efficient Sets in the Canonical Analysis (Rank 2) 253
Kinks in the Set of Efficient EV Combinations 257
Linear Segments in the Set of Efficient Eg Combinations 259
T* of Rank 1 262
The k Dimensional Canonical Analysis 265
Appendix to chapter 11 270
Exercises 272
viii Contents
12 Conical Constraint Sets and the Efficiency of the 275
Market Portfolio
The Market Portfolio 276
Conical Constraint Sets 277
Efficiency of the Market Portfolio 280
A Simple Market Equilibrium Model 282
How Inefficient can the Market Portfolio Be? 284
Expected Returns and Betas 286
Exercises 288
Part V A Portfolio Selection Program
13 Program Description (by G. Peter Todd) 301
Notation 302
Statement of the Problem 303
Program Inputs 304
The Main Module 305
The Simplex Method 306
The Critical Line Algorithm 312
Appendix A to Chapter 13: Program Listing 318
Appendix B to Chapter 13: Integration with Spreadsheet 334
Appendix C to Chapter 13: Sample Problem 335
Appendix Elements of Matrix Algebra and Vector Spaces 339
Mathematical Prerequisites 339
Uses of Matrix Notation 339
Matrix Operations 341
Inverses 343
Substitution of Variables 344
n Dimensional Geometry 346
Orthogonality 348
Independence and Subspaces 348
Change of Coordinate Systems 350
Change of Coordinates in /? 357
References 361
Index
367
|
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| author_GND | (DE-588)12926346X |
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| author_role | aut |
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| author_variant | h m hm |
| building | Verbundindex |
| bvnumber | BV017315560 |
| classification_rvk | QK 800 QK 810 |
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| discipline | Wirtschaftswissenschaften |
| edition | Repr. |
| format | Book |
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| id | DE-604.BV017315560 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T11:17:43Z |
| institution | BVB |
| isbn | 1883249759 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010439124 |
| oclc_num | 633223920 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM DE-1102 DE-739 |
| owner_facet | DE-91 DE-BY-TUM DE-1102 DE-739 |
| physical | XIX; 379 S.: graph. Darst. |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Blackwell |
| record_format | marc |
| spellingShingle | Markowitz, Harry 1927-2023 Mean-variance analysis in portfolio choice and capital markets Kapitalmarkt (DE-588)4029578-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4115601-8 (DE-588)4114528-8 |
| title | Mean-variance analysis in portfolio choice and capital markets |
| title_auth | Mean-variance analysis in portfolio choice and capital markets |
| title_exact_search | Mean-variance analysis in portfolio choice and capital markets |
| title_full | Mean-variance analysis in portfolio choice and capital markets Harry M. Markowitz |
| title_fullStr | Mean-variance analysis in portfolio choice and capital markets Harry M. Markowitz |
| title_full_unstemmed | Mean-variance analysis in portfolio choice and capital markets Harry M. Markowitz |
| title_short | Mean-variance analysis in portfolio choice and capital markets |
| title_sort | mean variance analysis in portfolio choice and capital markets |
| topic | Kapitalmarkt (DE-588)4029578-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Kapitalmarkt Portfoliomanagement Mathematisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010439124&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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