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A History of the Theory of Investments: My Annotated Bibliography Hardcover – March 3, 2006

ISBN-13: 978-0471770565 ISBN-10: 0471770566

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Product Details

  • Hardcover: 384 pages
  • Publisher: Wiley (March 3, 2006)
  • Language: English
  • ISBN-10: 0471770566
  • ISBN-13: 978-0471770565
  • Product Dimensions: 9.1 x 6.7 x 1.2 inches
  • Shipping Weight: 1.2 pounds (View shipping rates and policies)
  • Average Customer Review: 4.4 out of 5 stars  See all reviews (5 customer reviews)
  • Amazon Best Sellers Rank: #1,155,362 in Books (See Top 100 in Books)

Editorial Reviews

From the Inside Flap

A History of the Theory of Investments addresses these issues and hundreds more in a first-of-its-kind reference that is as unendingly fascinating as it is undeniably valuable. Exploring key turning points in the development of investment theory, through the critical prism of award-winning investment theory and asset pricing expert Mark Rubinstein, this groundbreaking resource follows the chronological development of investment theory over centuries, exploring the inner workings of great theoretical breakthroughs while pointing out contributions made by often unsung contri?butors to some of investment's most influential ideas and models.

A History of the Theory of Investments is about ideas—where they come from, how they evolve, and why they are instrumental in preparing the future for new ideas. Author Mark Rubinstein writes history by rewriting history. In unearthing long-forgotten books and journals, he corrects past oversights to assign credit where credit is due and assembles a remarkable history that is unquestionable in its accuracy and unprecedented in its power.

In just one example, Rubinstein points out that the seminal Black-Scholes model shares its foundations with research that was published two decades earlier by Kenneth Arrow—research that can itself be traced back three centuries to the celebrated correspondence between Pascal and de Fermat. Connections are drawn between seemingly disparate and unrelated works. The resulting journey is both innovative and illuminating, revealing how seemingly insignificant thoughts and discoveries have led to many of investment history's most notable breakthroughs.

From the "ancient" period through the "modern" period, and stretching from celebrated and luminary figures like Keynes and Hayek to those relatively unknown and underappreciated names who have become all but lost in dusty library stacks, A History of the Theory of Investments paints a stunningly all-inclusive, engaging, and important depiction of the foundations of investment theory and asset pricing.

From the Back Cover

The most comprehensive, enlightening reference ever published on the history of investment theory and asset pricing

"Mark Rubinstein's A History of the Theory of Investments is a lucid account of fundamental contributions in economics, finance, and probability theory that have profoundly influenced modern investment theory and shaped the capital and derivatives markets. Written by a leading financial economist, this kaleidoscope of ideas provides fascinating reading for students of investments and practitioners alike."
—George Constantinides, Leo Melamed Professor of Finance, University of Chicago

"This exceptional book provides valuable insights into the evolution of financial economics from the perspective of a major player."
—Robert Litzenberger, Hopkinson Professor Emeritus of Investment Banking, University of Pennsylvania; and retired partner, Goldman Sachs

"As usual, Professor Rubinstein provides a unique perspective on scholarly research in finance. His annotated bibliography is insightful and sets the record straight about the origins of many important concepts."
——Richard Roll, Japan Alumni Chair in International Finance, The Anderson School at UCLA

"Not only does Mark Rubinstein bring to light unexpected early sources (showing that economists have frequently misattributed fundamental contributions), but he also provides a remarkably readable and concise synthesis of the current state of financial thought. This book is far more than a simple history, and should be on every serious thinker's shelf."
—Hayne Leland, Professor of Finance, University of California, Berkeley


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Most Helpful Customer Reviews

51 of 52 people found the following review helpful By Craig W. French on March 6, 2006
Format: Hardcover Verified Purchase
Mark Rubinstein is a man who likes to think for himself, which is a good thing for the rest of us. Most readers will be familiar with Mark's contributions to financial economics primarily through his co-authorship, with John Cox and Steve Ross, of the binomial options pricing model - no mean feat, that. But his interests and contributions are far more broad. My personal favorite paper of Mark's is his relatively overlooked "The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets" [GLUM], published in 1977 as the second chapter of Haim Levy and Marshall Sarnatt's "Financial Decision Making under Uncertainty" (Academic Press New York 1977); this is a wonderful model which places restrictions on tastes a la Arrow, Debreau, Hirshleifer, Cass, Stiglitz , Hakansson, Kraus, Grauer and Litzenberger, rather than placing restrictions on beliefs as in the more conventional models commonly understood to represent "Modern Portfolio Theory", i.e., Markowitz, Sharpe, Treynor, Lintner, Mossin, Fama, Jensen, Black, Scholes and Merton. In the 1977 GLUM paper, Rubinstein notes that the latter, MPT-type, models are not necessarily superior to the former type and chalks their popularity up to historical happenstance and ideological path-dependence: "Men were not lacking in evidence, but inherited habits of thought, which often extended beyond science proper to a worldview, [and] caused them to cling stubbornly to superannuated ideas.Read more ›
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9 of 10 people found the following review helpful By Michael A. Kelly on November 24, 2006
Format: Hardcover
I'm about halfway through the book and must say that I have been pleasantly surprised. I bought the book as a quick way to present accurate historical context to my students. In my opinion, knowledge does not grow; it evolves. A study of that evolution, with the paths not chosen, is an important step in mastering a discipline. This would be enough for me to recommend the book, but there's much more.

Here's a small sample of the items that I've gleaned so far.

What is the intersection of business math, gambling gmaes, and Pascal's triangle? (The graphic that he uses look suspiciously like a binomial tree....) The shift from insurance products to investments as the driver of the mathematics of finance. What is the Fisher separation theorem (which my students consider to be obvious) and why is it not obvious? The importance of the Ph.D. thesis of John Burr Williams, one of the most important economists of which you've probably never heard. How Ben Graham nearly got the Modigliani-Miller theorem but didn't believe that his conclusion was realistic.

This is just from the first hundred pages. I've already bought about a dozen books to extend my reading and am downloading dozens of articles from JSTOR. Most of us learned investment theory from a textbook. I strongly suggest that you add this book, and its contextual knowledge, to your library.
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12 of 14 people found the following review helpful By C. Ang VINE VOICE on June 11, 2006
Format: Hardcover Verified Purchase
This is arguably one of the best books that I have read. Almost everything relevant to finance and investments is covered in this book, including a good historical discussion of the theories of investment. In addition, Mark Rubinstein has a very clear and simple writing style that transforms complex concepts into words. The proofs are done in a fashion that most readers can understand, and the sections are divided up in easy to break-up sections. This is definitely a must read for any serious student of finance. All of the seminal work in finance is discussed in this text, and this can be used as a guide to asset pricing, corporate finance, investments, and other finance courses. In fact, I would have used this as a supplement to reading journal articles if it were available in the past.
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1 of 1 people found the following review helpful By Patrick L. Anderson on June 4, 2008
Format: Hardcover
Business, Economics, and Finance with Matlab, GIS, and Simulation Models

This is the most comprehensive, best researched history of thought in financial economics. It may add two dozen references to my forthcoming book on business valuation; it would have shortened the time I spent researching my book Business Economics and Finance.

I agree with Rubenstein that too many authors blindly put down a recent book they read as an authority, and are ignorant of the real sources. If you are writing a scholarly article on financial economics or investment research, you have no excuse for that after Rubenstein's book.

The only quibble I have is the idiosyncratic nature of the history, which Rubenstein freely acknowledges in the preface. This is really a quibble, though; I find Rubenstein to be pretty fair in looking at past sources. Very knowledgeable readers may differ from time to time with Rubenstein's chronology, as very knowledgeable readers do with all history.

Excellent book.
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5 of 64 people found the following review helpful By A_2007_reader on October 27, 2006
Format: Hardcover
A better book for the layman is anything by William Bernstein. As Nobel Prize winner Sharpe says on the cover, this is a "idiosyncratic and eclectic" book--a bibliography that's annotated.

After you have learned a subject, of course it's fun to go through archival historic documents and comment on them. Every discipline does this. But it proves nothing except erudition.

One problem I have with this book is that it doesn't teach you anything you don't already know--and if you don't already know it, you won't learn it from this book.

Also it's too expensive, except by those who wish to put on airs and display it on their bookshelf.

Finally, nearly all the vaunted theories of finance have analogs (and digital equivalents) in applied mathematics used in electrical engineering and physics. You could argue that financial engineering is simply cribbing these fields.

BTW I have not read this book, but have added it to my 'wish list' and eventually will get around to reading it.
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