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Harry Markowitz Company

In: Harry Markowitz Selected Works



    (University of California, San Diego, USA)


AbstractThe following sections are included:The Likelihood of Various Stock Market Return Distributions: Part 1: Principles of InferenceFinancial research supports financial decision making: An exampleRational (coherent) decision making is BayesianClassical statistics is an unreliable indicator of how Bayesians should shift beliefsRemote Bayesian clientsHuman approximation to an RDMSummaryAcknowledgmentsNotesReferencesThe Likelihood of Various Stock Market Return Distributions, Part 2: Empirical ResultsSimple hypothesesHypothesesThe sampleComputation of likelihoodShifts in beliefsCompound hypothesesIs Yt Gaussian?Is Yt generated by a student's t distribution?Is Yt contaminated normal?On estimating ψWhat next?Summary and conclusionsAcknowledgmentsNotesReferencesRESAMPLED FRONTIERS VERSUS DIFFUSE BAYES: AN EXPERIMENTIntroductionThe Michaud PlayerThe diffuse Bayes playerBasicsDiffuse priorsImportance samplingResultsQuestionsConclusionsAcknowledgmentsNotesReferencesOn Socks, Ties and Extended OutcomesExtensions and ReflectionsAppendix Axioms for Multiperiod AnalysisReferencesEndnotesSingle-Period Mean–Variance Analysis in a Changing WorldThe ModelComputation of Expected Discounted UtilityComputation of (Nearly) Optimal Strategy(Nearly) Optimum Action MatrixesMV HeuristicComparison of Expected UtilitiesWhere Next?ConclusionAppendix A. Why A* May Not Equal ÃFinancial Market SimulationTYPES OF DYNAMIC MODELSJLM SIMULATORStatusEventsOBJECTIVES AND EXTENSIONSAlternative Investor and Trader BehaviorsModel SizeADVANTAGES OF ASYNCHRONOUS FINANCE MODELSCAVEATCONCLUSIONENDNOTESREFERENCESPortfolio Optimization with Factors, Scenarios, and Realistic Short PositionsIntroductionThe General Mean-Variance ProblemSolution to the General ProblemDiagonizable Models of CovarianceShort Sales in PracticeModeling Short SalesSolution to Long-Short ModelExampleSummaryEndnotesReferencesMarket Efficiency: A Theoretical Distinction and So What?A DistinctionGeneralizationsSo What?ConclusionAppendix A. Finding a Probability Distribution for a Given Efficient SetNotesReferencesEFFICIENT PORTFOLIOS, SPARSE MATRICES, AND ENTITIES: A RETROSPECTIVEPORTFOLIO THEORYSPARSE MATRICESENTITIES, ATTRIBUTES, SETS, AND EVENTSENDNOTEREFERENCESDe Finetti Scoops MarkowitzThe NewsThe De Finetti ModelNumerical ExampleSummaryTechnical SupplementSolution to the de Finetti problemA Correct Final Segment TheoremAdvances in Mathematical Programming (1940-1956)ReferencesCAPM Investors Do Not Get Paid for Bearing Risk: A Linear Relation Does Not Imply Payment for RiskTHE MOSSIN VERSION OF THE SHARPE-LINTNER MODELAFTERTHOUGHTSWHERE DOES THIS LEAVE THE CAPM?ENDNOTEREFERENCES

Suggested Citation

  • Harry M Markowitz, 2009. "Harry Markowitz Company," World Scientific Book Chapters,in: Harry Markowitz Selected Works, chapter 7, pages 529-700 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812833655_0007

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    More about this item


    Portfolio Theory; SIMSCRIPT; Sparse Matrices; Behavioral Finance; Harry Markowitz;

    JEL classification:

    • B16 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - Quantitative and Mathematical
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets


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