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Baruch College (CUNY) and Daiwa Securities

In: Harry Markowitz Selected Works

Author

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  • HARRY M MARKOWITZ

    (University of California, San Diego, USA)

Abstract

The following sections are included:Investment Rules, Margin and Market VolatilityTHE SIMULATED MARKETEFFECT OF VARYING THE NUMBER OF PORTFOLIO INSURERSCONCLUSIONS, CAVEATS, AND CONJECTURESAPPENDIXREFERENCESRisk AdjustmentTraditional CAPMsRisk Adjustment in the Standard, Homogeneous ModelObservations and ExtensionsEpilogueREFERENCESNormative Portfolio Analysis: Past, Present and FutureNormative Portfolio Analysis as of 1959Normative versus Positive Portfolio AnalysisProgress and Opportunity in Normative AnalysisReferencesIndividual versus Institutional InvestingThesisAntithesisSynthesisNotesReferencesFoundations of Portfolio TheoryFast Computation of Mean–variance Efficient Sets Using Historical CovariancesINTRODUCTIONREFORMULATION OF THE PROBLEMIMPLEMENTATION OF THE CRITICAL LINE ALGORITHMPERFORMANCEAPPENDIXNOTESREFERENCESComputation of mean-semivariance efficient Sets by the Critical Line AlgorithmIntroductionReview of mean-variance modelTHE MEAN-VARIANCE PROBLEMTHE CRITICAL LINE ALGORITHMMean-semivariance modelTHE MEAN·SEMIVARIANCE PROBLEMREFORMULATION OF THE PROBLEMImplementation of the Critical Line AlgorithmPerformanceReferencesData Mining CorrectionsTHE MODELSESTIMATION OF β FOR MODEL IESTIMATION OF β FOR MODEL IITESTS OF SIGNIFICANCEESTIMATION FOR MODEL IIIA BAYESIAN VIEW OF THE METHODSEXPERIENCE WITH MODELS I, II, AND IIIWHY NO HOLDOUT PERIOD?SUMMARYENDNOTESREFERENCES

Suggested Citation

  • Harry M Markowitz, 2009. "Baruch College (CUNY) and Daiwa Securities," World Scientific Book Chapters, in: Harry M Markowitz (ed.), Harry Markowitz Selected Works, chapter 6, pages 443-528, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812833655_0006
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