Bruno De Finetti and Mean-Variance Portfolio Selection

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006

Posted: 3 Oct 2006

See all articles by Mark Rubinstein

Mark Rubinstein

University of California, Berkeley - Haas School of Business

Abstract

Bruno de Finetti is generally regarded as the finest Italian mathematician of the 20th century. Among his many achievements, economists are familiar with his work on the axiomatization of subjective probability. To the surprise of many, a treasure-trove of other results in economics has recently come to light which until now has never been translated into English. Foremost among these is his paper, The Problem of Full-Risk Insurances, which anticipates much of Markowitz's mean-variance portfolio theory by over a decade. This issue of the Journal includes Luca Barone's translation of de Finetti's first chapter on this subject and a review by Harry Markowitz.

Keywords: Bruno de Finetti

Suggested Citation

Rubinstein, Mark E., Bruno De Finetti and Mean-Variance Portfolio Selection. Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006. Available at SSRN: https://ssrn.com/abstract=934405

Mark E. Rubinstein (Contact Author)

University of California, Berkeley - Haas School of Business ( email )

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Berkeley, CA 94720
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510-643-1420 (Fax)

HOME PAGE: http://www.haas.berkeley.edu/finance/rubinste.html

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