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ArticleNormative portfolio analysis: Past, present, and future

Harry M. Markowitz1990

Article1990

Normative portfolio analysis: Past, present, and future

Harry M. Markowitz

24 citations·0/0 files stored·Journal of Economics and Business

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Analysis and Corporate Governance

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*2019Theory of games and economic behavior 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1959Portfolio Selection: Efficient Diversification of Investments 1966Equilibrium in a Capital Asset Market

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Year1990

Typearticle

Published1990-05-01

VenueJournal of Economics and Business

ISSN-L0148-6195

Languageen

Citations24

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/0148-6195(90)90026-9

openalex_workW2033470623

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