Portfolio Selection: Efficient Diversification of Investments (Cowles Foundation Monograph: No. 16) [Paperback]

Harry M. Markowitz (Author)

Book Description

Series: Cowles Foundation Monograph: No. 16 | Publication Date: January 28, 1968

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.

Editorial Reviews

Review

"Modern portfolio theory gives a rigorous mathematical justification for the time honored investment maxim that diversification is a sensible strategy for individuals who wish to reduce their risks. Invented in the 1950s by Harry Markowitz in this book, the theory provides a firm foundation for the intuition that you should not put all your eggs in one basket and shows investors how to combine securities to minimize risk." Butron G Malkiel, author of "A Random Walk Down Wall Street"

"In every field of study it is possible to look back and identify a person or event that caused a major change in the direction or development of the field. In investments it is clear that the seminal work by Harry Markowitz on portfolio theory changed the field more than any other single event." Frank K. Reilly, University of Notre Dame, Indiana --This text refers to the Hardcover edition.

From the Back Cover

This is a classic book, representing the first major breakthrough in the field of modern financial theory. In effect, it created the mathematics of portfolio selection in a model which has turned out to be the indispensable building block from which the theory of the demand for risky securities is constructed. It also became an essential reference for individuals and financial institutions actually selecting optimal portfolios.

Long out of print and unavailable to numerous recent entrants to both financial theory and financial practice, this new edition leaves the existing text as it stands but adds substantial new material including a new bibliography and a fascinating biographical piece on the birth of the field of finance. --This text refers to the Hardcover edition.

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Product Details

• Paperback: 368 pages
• Publisher: Yale University Press (January 28, 1968)
• Language: English
• ISBN-10: 0300013728
• ISBN-13: 978-0300013726
• Product Dimensions: 7.8 x 5 x 1 inches
• Shipping Weight: 15.5 ounces (View shipping rates and policies)
• Average Customer Review: 4.8 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #215,296 in Books (See Top 100 in Books)

Customer Reviews

Most Helpful Customer Reviews

32 of 35 people found the following review helpful:

4.0 out of 5 stars The original classic, April 27, 1997

By A Customer

This review is from: Portfolio Selection: Efficient Diversification of Investments (Hardcover)

This is a reprint of the text that first considered risk along with return in portfolio management! Nobel-prize winner Harry Markowitz explains the theory upon which modern portfolio theory is based in minimal mathematical terms. Of course there has been much subsequent academic research in portfolio theory (much of which is contained in an included bibliography up to 1970), but this book is an outstanding starting point for anyone interested in the efficient management of financial portfolios

23 of 26 people found the following review helpful:

5.0 out of 5 stars A brilliant intellectual feat, August 30, 2001

By 

Oliver Kamm (London United Kingdom) - See all my reviews
(REAL NAME)   

This review is from: Portfolio Selection: Efficient Diversification of Investments (Hardcover)

While Markowitz is a name well-known in economics (joint winner of the Nobel Proze in 1990) and the investment industry, it is known hardly at all among the public. Perhaps this is the inevitable fate of a man well ahead of his time: Markowitz's work on the relationship of risk and return is truly one of the staggering intellectual achievements of modern economics, and has a great practical impact on people's economic welfare. This volume recapitulates his argument that risk is what drives return, rather than being (as was thought by earlier generations of money managers) merely an unfortunate by-product of the search for higher returns, that the portfolio dominates its constituent assets, and that the way to minimise risk for a given level of expected return is to minimise the covariance of returns of the assets within that portfolio using a quadratic programming algorithm. This is brilliant, seminal stuff, written with a liveliness usually lacking in economic texts.

3 of 3 people found the following review helpful:

5.0 out of 5 stars What a book!, November 20, 2005

By 

Franz Woyzeck "FW" (Frankfurt) - See all my reviews

This review is from: Portfolio Selection: Efficient Diversification of Investments (Cowles Foundation Monograph: No. 16) (Paperback)

Almost 50 years after its first printing there is not a single word that should be changed. As some of Markowitz' important original insights have been ignored or overlooked by many of his successors (e.g. the relationship between mean-variance efficiency and long-term growth or the irrelevance of the return distribution for M/V optimisation), this is still a must-read for anybody truly interested in portfolio theory.