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Mean-Variance Analysis in Portfolio Choice and Capital Markets
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Table of Contents

Foreword. Preface to Revised Reissue. Preface. PART I: THE GENERAL PORTFOLIO SELECTION MODEL. 1. Portfolio Selection Models. 2. The General Mean-Variance Portfolio Selection Model. 3. Capabilities and Assumptions of the General Model. PART II: PRELIMINARY RESULTS. 4. Properties of Feasible Portfolio Sets. 5. Sets Involving Mean, Variance, and Standard Deviation. 6. Portfolio Selection Models with Affine Constraint Sets. PART III: SOLUTION TO THE GENERAL PORTFOLIO SELECTION MODEL. 7. Efficient Sets for Nondegenerate Models. 8. Getting Started. 9. Denegerate Cases. 10. All Feasible Mean-Variance Combinations. PART IV: SPECIAL CASES. 11. Canonical Form on the Two-Dimensional Analysis. 12. Conical Constraint Sets and Efficiency of the Market Portfolio. PART V: A PORFOLIO SELECTION PROGRAM. 13. Program Description (By G. Peter Todd). Appendix: Elements of Matrix Algebra and Vector Spaces. References. Index.

About the Author

Harry M. Markowitz is president of Harry Markowitz Co. in San Diego. In 1990, he was jointly awarded the Nobel Prize for economics with Merton Miller and William Sharpe. Peter Todd is a director at Riverview International Group, Inc., where he is responsible for software development. Formerly, he was a vice president at Daiwa Securities Trust's Global Portfolio Research Group, where he worked with Dr. Markowitz.

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