Risk Return Analysis The Theory and Practice of Rational Investing Volume One 1st Edition by Harry Markowitz, Kenneth Blay 007181793X 9780071817936

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ISBN-10 :  007181793X  

ISBN-13 :  9780071817936

Author:  Harry Markowitz, Kenneth Blay 

The Nobel Prize-winning Father of Modern Portfolio Theory re-introduces his theories for the current world of investing Legendary economist Harry M. Markowitz provides the insight and methods you need to build a portfolio that generates strong returns for the long run In Risk-Return Analysis, Markowitz corrects common misunderstandings about Modern Portfolio Theory (MPT) to help advanced financial practitioners dramatically improve their decision making. In this first volume of a groundbreaking four-part series sure to draw the attention of anyone interested in MPT, Markowitz provides the criteria necessary for judging among risk-measures; surveys a half-century of literature (nearly all of which has been ignored by textbooks) on the applicability of MPT; and presents an empirical study of which functions of mean and some risk-measure is best for those who seek to maximize return in the long run. Harry M. Markowitz is a Nobel Laureate and the father of Modern Portfolio Theory.

Risk Return Analysis The Theory and Practice of Rational Investing Volume One 1st Table of contents:

1. The Expected Utility Maxim
Introduction
Definitions
Uniqueness
Characteristics of Expected Utility Maximization
RDMs Versus HDMs
Allais’s Paradox
Weber’s Law and the Allais Paradox
The Axioms
Axiom I
Axiom II
Axioms III and III’
Bounded Versus Unbounded Utility of Returns
Postscript
2. Mean-Variance Approximations to Expected Utility
Introduction
Why Not Just Maximize Expected Utility?
Utility of Return Versus Utility of Wealth
Loistl’s Erroneous Analysis
Levy and Markowitz (1979)
Highly Risk-Averse Investors
Highly Risk-Averse Investors and a Risk-Free Asset
Portfolios of Call Options
Ederington’s Quadratic and Gaussian Approximations to Expected Utility
Other Pioneers
Conclusion
3. Mean-Variance Approximations to the Geometric Mean
Introduction
Why Inputs to a Mean-Variance Analysis Must Be Arithmetic Means
Six Mean-Variance Approximations to g
Observed Approximation Errors for Asset Classes
Relationships Among Approximation Methods
Twentieth-Century Real Equity Returns
Choice of Approximation
Recap
Technical Note: Selecting a Weighted Average of Approximations
4. Alternative Measures of Risk
Introduction
The Asset-Class Database
Comparisons
The DMS Database
Caveat and Conclusion
5. The Likelihood of Various Return Distributions (With Anthony Tessitore, Ansel Tessitore, and Nilu
Introduction
Bayes Factors
Transformed Variables
Compound Hypotheses
The Pearson Family
The DMS Database
Practically Normal Distributions
Illustrative Histograms
Near LH-Maximizing Distributions for the Ensemble
Transformed Country Distributions
Observations

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Tags: Risk Return Analysis, Theory, Practice, Rational Investing, Harry Markowitz, Kenneth Blay