Portfolio Selection

By Harry M. Markowitz. 1971

Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Fast Learning from Distributed Datasets without Entity Matching (2016, background): “(5) resembles a Markowitz mean-variance criterion [Markowitz, 1952] —with no coefficient for the risk aversion.”
Optimization with Sparsity-Inducing Penalties (2011, background): “This piecewise linearity was first discovered and exploited by [79] in the context of portfolio selection, revisited by [94] describing an homotopy algorithm, and studied (1)Active-set and working-set methods are very similar; their differ in that active-set methods allow (or sometimes require) vari”
Learning with Submodular Functions: A Convex Optimization Perspective (2011, neutral): “These algorithms hinge on the fact that the set J ⊂ I is globally optimal as long as ζJ = (Z⊤ J ZJ)−1(Z⊤ J y − nλ1J) > 0 and Z⊤ Jc(ZJζJ − y) + nλ1Jc > 0, which defines an interval of validity in λ, leading to a solution path which is piecewise affine in λ [147, 178].”
Cross-Border Diversification in Bank Asset Portfolios (2004, unknown): “The main contribution of this paper is to study the issue of banks’ internationalization against a welldefined, computable, one: the mean-variance portfolio model (Markowitz 1952, 1959) and its international extension (Solnik 1973, Sercu 1980), in which investors reap benefits from diversification.”
Drawdown Measure in Portfolio Optimization (2005, unknown): “Similar to the Markowitz mean-variance approach [14], we formulate and solve an optimization problem with the reward performance function and CDD constraints.”
Deep Stock Representation Learning: From Candlestick Charts to Investment Decisions (2017, methodology): “One of the most important decision problems is portfolio construction and optimisation [1, 2], which addresses selection and weighting of assets to be held in a portfolio.”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “The modern era of finance research began in the 1950s with the work of Markowitz (1952) on portfolio choice and Modigliani and Miller (1958) on capital structure.”
Higher moment coherent risk measures (2007, methodology): “Using the developed representations, we introduce a new family of higher-moment coherent risk measures (HMCR), which includes, as a special case, the Conditional Value-at-Risk measure.”
The determinants of household risky asset holdings: Australian evidence on background risk and other factors (2009, background): “Household portfolio allocation is a simple business according to the stylized classical model of portfolio allocation dating back as far as Markowitz (1952).”
Strategic asset allocation with liabilities: beyond stocks and bonds (2008, methodology): “This approach is based on Stambaugh (1997) and makes optimally use of all information in both the long and short time series.”
Dynamic Trading with Predictable Returns and Transaction Costs (2013, unknown): “Section I describes how our paper contributes to the portfolio selection literature that starts with Markowitz (1952).”
Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure (2014, unknown): “Note that the essence of the ground breaking work of Markowitz (1952) is to attain an efficiency in portfolio selection by striking a balance between two conflicting objectives of maximizing the expected return and minimizing the investment risk.”