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Everything about Markowitz model
Portfolio optimization model in finance
In finance, the Markowitz model ─ put forward by Harry Markowitz in 1952 ─ is a portfolio optimization model; it assists in the selection of the most efficient portfolio by analyzing various possible portfolios of the given securities. Here, by choosing securities that do not 'move' exactly together, the HM model shows investors how to reduce their risk. The HM model is also called mean-variance model due to the fact that it is based on expected returns (mean) and the standard deviation (variance) of the various portfolios. It is foundational to Modern portfolio theory. Wikipedia →
🧭 Start here: a 6-step reading path
- Read the overview: Markowitz modelA 5-minute orientation
- Skim a recent paper: A theoretical generalization of the Markowitz model incorporating skewness and kurtosisInfluential work since 2022
- Pick up a classic book: The Fundamental IndexThe most-reprinted book on the subject
- Read the landmark paper: The Markowitz model for portfolio selectionCited 7 times
- Go sideways: Modern portfolio theoryA closely related topic
- Go sideways: Capital market lineA closely related topic
📖 Definitions
No dictionary entry for this exact phrase.
🗂️ The subject at a glance
🏆 Landmark papers (most cited)
The Markowitz model for portfolio selection
Markowitz Model Investment Portfolio Optimization: a Review Theory
STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL
Portfolio analysis based on Markowitz model
Applicability of TOPSIS Model and Markowitz Model
Optimal Portfolio Construction Based on Markowitz Model
Optimal shrinkage of means in the Markowitz model
PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL MARKOWITZ
🆕 Influential since 2022
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
Application and Comparison of Index Model and Markowitz Model in American Stock Market
The Efficiency between Markowitz Model and Single Index Model
Portfolio Optimization under ESG Constraints: Markowitz Model vs. Index Model
Optimal Portfolio Analysis Using Markowitz and Single Index Model
📚 Books worth reading
The Fundamental IndexRobert D. Arnott, John C. Hsu · 2008
Portfolio Theory & Financial AnalysesRobert Alan Hill · 2013
Mean-variance analysis in portfolio choice and capital marketsHarry Max Markowitz, G. Peter Todd · 1987
The American Psychiatric Publishing textbook of personality disordersJohn M. Oldham, Andrew E. Skodol · 2005
Advances in monetary economicsDavid A. Currie · 1985
The American Psychiatric Publishing textbook of mood disordersDan J. Stein, David J. Kupfer · 2005
An extension of the Markowitz portfolio selection model to include variable transactions' costs, short sales, leverage policies and taxesG. A. Pogue · 1969- 📕Extension of the Markowitz Portfolio Selection Model to Include Variable Transactions' Costs, Short Sales, Leverage Policies and TaxesG. A. Pogue · 2018
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
🔗 Related topics
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