Title: Mean-variance analysis in portfolio choice and capital markets /
Authors: Markowitz, H. 1927-
Publisher: B. Blackwell,
Year: 1987
Subjects: Portfolio management Mathematical models.; Capital market Mathematical models; Financieel management.; Portfolio-theorie.; Modellen.; Kapitaalmarkt.; Gestion de portefeuille Modèles mathématiques.; Marché financier Modèles mathématiques.
Contents: 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. Degenerate cases -- 10. All feasible mean-variance combinations -- Part IV: Special cases -- 11. Canonical form of the two-dimensional analysis -- 12. Conical constraint sets and the efficiency of the market portfolio -- Part V: A portfolio selection program -- 13. Program description -- Appendix: Elements of matrix algebra and vector spaces.