The two most important words Harry Markowitz ever wrote are
"portfolio selection." In 1952, when everyone in the stock market
was looking for the next hot stock, as a doctoral candidate, he
proposed to look at many, diverse stocks--a portfolio. He laid the
first cornerstone of Modern Portfolio Theory and defended the idea
that strategic asset growth means factoring in the risk of an
investment. More than 60 years later, the father of modern finance
revisits his original masterpiece, describes how his theory has
developed, and proves the vitality of hisrisk-return analysis in
the current global economy. Risk-Return Analysis opens the door to
agroundbreaking four-book series giving readers a privileged look
at the personal reflections and current strategies of a luminary in
finance. This first volume is Markowitz's response to what he calls
the "Great Confusion" that spread when investors lost faith in the
diversification benefits of MPT during the financial crisis of
2008. It demonstrates why MPT never became ineffective during the
crisis, and how you can continue to reap the rewards of managed
diversification into the future. Economists and financial advisors
will benefit from the potent balance of theory and hard data on
mean-variance analysis aimed at improving decision-making skills.
Written for the academic and the practitioner withsome math skills
(mostly high school algebra), this richly illustrated guide arms
you with: Concrete steps to accurately select and apply the right
risk measures in a given circumstanceRare surveys of a half-century
of literature covering the applicability of MPTEmpirical data
showing mean and riskmeasure used to maximize return in the long
term PRAISE FOR RISK-RETURN ANALYSIS"Harry Markowitz invented
portfolio analysis and presented the theory in his famous 1952
article and 1959 book. Nobody has greater insight into the process
than Harry. No academic or practitioner can truly claim to
understand portfolio analysis unless they have read this volume."
-- Martin J. Gruber, Professor Emeritus and Scholar in Residence,
Stern School of Business, New York University "Surveying the vast
literature inspired by [Markowitz's] own 1959 book has stimulated
an outpouring of ideas. He builds on the strengths and limitations
of the important papers in order to come up with a position that
should silence a lot of critics." -- Jack Treynor, President,
Treynor Capital Management "The authors do not overlook various
criticisms of the MPT, but rather address them convincingly. This
excellent book is an essential reference for academics and
practitioners alike." -- Haim Levy, Miles Robinson Professor of
Finance, Hebrew University, Jerusalem, Israel "Markowitz's
groundbreaking publications on Portfolio Selection prescribe a
methodology that a rational decision-maker can follow to optimize
his investment portfolio in a risky world. . . . Thischallenging
new book clarifies many common misconceptions about modern
portfolio theory." -- Roger C. Gibson, author of Asset Allocation
and Chief Investment Officer, Gibson Capital, LLC "Contain[s] great
wisdom that every economist, portfolio manager, and investor should
savor page by page." -- Andrew W. Lo, Charles E. and Susan T.
Harris Professor and Director, Laboratory for Financial
Engineering, MIT Sloan School of Management "[Markowitz's]
monumental work in the 1950s would be sufficient to qualify as a
lifetime achievement for most mortals, but he keeps spouting fresh
insights like lightning flashes year after year, and penetrating
ever deeper into the theory, mathematics, and practice of
investing." -- Martin Leibowitz, Managing Director, Global Research
Strategy, Morgan Stanley "Risk-Return Analysis is a wonderful work
in progress by a remarkable scholar who always has time to read
what matters, who has the deepest appreciation of scientific
achievement, and who has the highest aspirations for the future."
-- Enterprising Investor (CFA Institute)
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