Portfolio Theory: As I Still See it

Posted: 12 Nov 2010

See all articles by Harry Markowitz

Harry Markowitz

University of California at San Diego

Date Written: December 2010

Abstract

This essay summarizes my views on (a) the foundations of portfolio theory and its applications to current issues, such as the choice of criteria for practical risk-return analysis, and whether some form of risk-return analysis should be used in fact; (b) hypotheses about actual financial behavior, as opposed to idealized rational behavior, including two proofs of the fact that expected-utility maximizers would never prefer a multiple-prize lottery to all single-prize lotteries, as asserted in one of my 1952 papers; and (c) a simple proof of the theorem (which was initially greeted with some skepticism, especially by referees) that investors in capital asset pricing models do not get paid for bearing risk.

Suggested Citation

Markowitz, Harry, Portfolio Theory: As I Still See it (December 2010). Annual Review of Financial Economics, Vol. 2, pp. 1-23, 2010. Available at SSRN: https://ssrn.com/abstract=1707915 or http://dx.doi.org/10.1146/annurev-financial-011110-134602

Harry Markowitz (Contact Author)

University of California at San Diego ( email )

9500 Gilman Drive
La Jolla, CA 92093-0508
United States
(858) 534-3383 (Phone)

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