Coverart for item
The Resource Harry Markowitz : selected works, edited by Harry M. Markowitz

Harry Markowitz : selected works, edited by Harry M. Markowitz

Label
Harry Markowitz : selected works
Title
Harry Markowitz
Title remainder
selected works
Statement of responsibility
edited by Harry M. Markowitz
Creator
Contributor
Subject
Language
eng
Summary
Harry M Markowitz received the Nobel Prize in Economics in 1990 for his pioneering work in portfolio theory. He also received the von Neumann Prize from the Institute of Management Science and the Operations Research Institute of America in 1989 for his work in portfolio theory, sparse matrices and the SIMSCRIPT computer language. While Dr Markowitz is well-known for his work on portfolio theory, his work on sparse matrices remains an essential part of linear optimization calculations. In addition, he designed and developed SIMSCRIPT -- a computer programming language. SIMSCRIPT has been widely
Member of
Cataloging source
N$T
http://library.link/vocab/creatorDate
1927-
http://library.link/vocab/creatorName
Markowitz, H.
Dewey number
330.9
Illustrations
illustrations
Index
no index present
LC call number
HG4521
LC item number
.M37 2008eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1927-
http://library.link/vocab/relatedWorkOrContributorName
Markowitz, H.
Series statement
World Scientific nobel laureate series
Series volume
v. 1
http://library.link/vocab/subjectName
  • Investment analysis
  • Portfolio management
  • Sparse matrices
  • POLITICAL SCIENCE
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • BUSINESS & ECONOMICS
  • Investment analysis
  • Portfolio management
  • Sparse matrices
Label
Harry Markowitz : selected works, edited by Harry M. Markowitz
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Ch. 1. Overview. Trains of thought -- ch. 2. 1952. Portfolio selection. The early history of portfolio theory 1600-1960. The utility of wealth -- ch. 3. Rand [I] and The Cowles Foundation. Industry-wide, multi-industry and economy-wide. Process analysis. Alternate methods of analysis. The elimination form of the inverse and its application to linear programming. The optimization of a quadratic function subject to linear constraints. The general mean-variance portfolio selection problem -- ch. 4. Rand [II] and CACI. Simulating with SIMSCRIPT. Programming by questionnaire. SIMSCRIPT. Barriers to the practical use of simulation analysis -- ch. 5. IBM's T.J. Watson Research Center. Approximating expected utility by a function of mean and variance. Mean-variance versus direct utility maximization. The value of a blank check. The "two beta" trap. Portfolio analysis with factors and scenarios. Sparsity and piecewise linearity in large portfolio. Optimization problems. The ER and EAS formalisms for system modeling and the EAS-E language. EAS-E : an integrated approach to application development. The system architecture of EAS-E : an integrated programming and database language. Samuelson and investment for the long run. Investment for the long run : new evidence for an old rule -- ch. 6. Baruch College (CUNY) and Daiwa Securities. Investment rules, margin and market volatility. Risk adjustment. Normative portfolio analysis : Past, present and future. Individual versus institutional investing. Foundations of portfolio theory. Fast computation of mean-variance efficient sets using historical covariances. Computation of mean-semivariance efficient sets by the critical line algorithm. Data mining corrections -- ch. 7. Harry Markowitz Company. The likelihood of various stock market return. Distributions : part 1 : principles of inference. The likelihood of various stock market return. Distributions : part 2 : empirical results. Resampled frontiers versus diffuse Bayes : an experiment on socks ties and extended outcomes. Single-period mean-variance analysis in a changing world. Financial market simulation. Portfolio optimization with factors, scenarios and realistic short positions. Market efficiency : a theoretical distinction and so what? Efficient portfolios, sparse matrices, and entities : a retrospective. DeFinetti scoops Markowitz. CAPM investors do not get paid for bearing risks : a linear relation does not imply payment for risk
Control code
557513995
Dimensions
unknown
Extent
1 online resource (xvi, 700 pages)
File format
unknown
Form of item
online
Isbn
9789812833655
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)557513995
Label
Harry Markowitz : selected works, edited by Harry M. Markowitz
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Ch. 1. Overview. Trains of thought -- ch. 2. 1952. Portfolio selection. The early history of portfolio theory 1600-1960. The utility of wealth -- ch. 3. Rand [I] and The Cowles Foundation. Industry-wide, multi-industry and economy-wide. Process analysis. Alternate methods of analysis. The elimination form of the inverse and its application to linear programming. The optimization of a quadratic function subject to linear constraints. The general mean-variance portfolio selection problem -- ch. 4. Rand [II] and CACI. Simulating with SIMSCRIPT. Programming by questionnaire. SIMSCRIPT. Barriers to the practical use of simulation analysis -- ch. 5. IBM's T.J. Watson Research Center. Approximating expected utility by a function of mean and variance. Mean-variance versus direct utility maximization. The value of a blank check. The "two beta" trap. Portfolio analysis with factors and scenarios. Sparsity and piecewise linearity in large portfolio. Optimization problems. The ER and EAS formalisms for system modeling and the EAS-E language. EAS-E : an integrated approach to application development. The system architecture of EAS-E : an integrated programming and database language. Samuelson and investment for the long run. Investment for the long run : new evidence for an old rule -- ch. 6. Baruch College (CUNY) and Daiwa Securities. Investment rules, margin and market volatility. Risk adjustment. Normative portfolio analysis : Past, present and future. Individual versus institutional investing. Foundations of portfolio theory. Fast computation of mean-variance efficient sets using historical covariances. Computation of mean-semivariance efficient sets by the critical line algorithm. Data mining corrections -- ch. 7. Harry Markowitz Company. The likelihood of various stock market return. Distributions : part 1 : principles of inference. The likelihood of various stock market return. Distributions : part 2 : empirical results. Resampled frontiers versus diffuse Bayes : an experiment on socks ties and extended outcomes. Single-period mean-variance analysis in a changing world. Financial market simulation. Portfolio optimization with factors, scenarios and realistic short positions. Market efficiency : a theoretical distinction and so what? Efficient portfolios, sparse matrices, and entities : a retrospective. DeFinetti scoops Markowitz. CAPM investors do not get paid for bearing risks : a linear relation does not imply payment for risk
Control code
557513995
Dimensions
unknown
Extent
1 online resource (xvi, 700 pages)
File format
unknown
Form of item
online
Isbn
9789812833655
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)557513995

Library Locations

    • Thomas Jefferson LibraryBorrow it
      1 University Blvd, St. Louis, MO, 63121, US
      38.710138 -90.311107
Processing Feedback ...