{"product_id":"riskreturn-analysis-the-theory-and-practice-of-rational-investing-volume-one-9780071817936","title":"RiskReturn Analysis The Theory and Practice of","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eThe two most important words Harry Markowitz ever wrote are \"portfolio selection.\" In 1952, when everyone in the stock market was looking for the next hot stock, as a doctoral candidate, he proposed to look at many, diverse stocks--a portfolio. He laid the first cornerstone of Modern Portfolio Theory and defended the idea that strategic asset growth means factoring in the risk of an investment. More than 60 years later, the father of modern finance revisits his original masterpiece, describes how his theory has developed, and proves the vitality of hisrisk-return analysis in the current global economy.\u003c\/p\u003e\u003cp\u003e\u003ci\u003eRisk-Return Analysis\u003c\/i\u003e opens the door to agroundbreaking four-book series giving readers a privileged look at the personal reflections and current strategies of a luminary in finance. This first volume is Markowitz's response to what he calls the \"Great Confusion\" that spread when investors lost faith in the diversification benefits of MPT during the financial crisis of 200\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003eForeword xi\u003cbr\u003ePreface xxi\u003cbr\u003eAcknowledgments xxvii\u003cbr\u003eOutline of Plans for Volumes II, III, and IV xxix\u003cbr\u003e\u003cbr\u003e1. The Expected Utility Maxim 1\u003cbr\u003eIntroduction 1\u003cbr\u003eDefi nitions 5\u003cbr\u003eUniqueness 10\u003cbr\u003eCharacteristics of Expected Utility Maximization 12\u003cbr\u003eRDMs Versus HDMs 14\u003cbr\u003eAllais’s Paradox 17\u003cbr\u003eWeber’s Law and the Allais Paradox 21\u003cbr\u003eThe Axioms 24\u003cbr\u003eAxiom I 25\u003cbr\u003eAxiom II 26\u003cbr\u003eAxioms III and III 28\u003cbr\u003eBounded Versus Unbounded Utility of Returns 31\u003cbr\u003ePostscript 34\u003cbr\u003e\u003cbr\u003e2. Mean-Variance Approximations to Expected Utility 37\u003cbr\u003eIntroduction 37\u003cbr\u003eWhy Not Just Maximize Expected Utility? 41\u003cbr\u003eUtility of Return Versus Utility of Wealth 44\u003cbr\u003eLoistl’s Erroneous Analysis 47\u003cbr\u003eLevy and Markowitz (1979) 48\u003cbr\u003eHighly Risk-Averse Investors 53\u003cbr\u003eHighly Risk-Averse Investors and a Risk-Free Asset 56\u003cbr\u003ePortfolios of Call Options 58\u003cbr\u003eEderington’s Quadratic and Gaussian Approximations to Expected Utility 63\u003cbr\u003eOther Pioneers 69\u003cbr\u003eConclusion 72\u003cbr\u003e\u003cbr\u003e3. Mean-Variance Approximations to the Geometric Mean 73\u003cbr\u003eIntroduction 73\u003cbr\u003eWhy Inputs to a Mean-Variance Analysis Must Be Arithmetic Means 78\u003cbr\u003eSix Mean-Variance Approximations to g 80\u003cbr\u003eObserved Approximation Errors for Asset Classes 84\u003cbr\u003eRelationships Among Approximation Methods 90\u003cbr\u003eTwentieth-Century Real Equity Returns 97\u003cbr\u003eChoice of Approximation 111\u003cbr\u003eRecap 117\u003cbr\u003eTechnical Note: Selecting a Weighted Average of Approximations 118\u003cbr\u003e\u003cbr\u003e4. Alternative Measures of Risk 123\u003cbr\u003eIntroduction 123\u003cbr\u003eThe Asset-Class Database 124\u003cbr\u003eComparisons 127\u003cbr\u003eThe DMS Database 137\u003cbr\u003eCaveat and Conclusion 147\u003cbr\u003e\u003cbr\u003e5. The Likelihood of Various Return Distributions (With Anthony Tessitore, Ansel Tessitore,and Nilufer Usmen) 149\u003cbr\u003eIntroduction 149\u003cbr\u003eBayes Factors 153\u003cbr\u003eTransformed Variables 156\u003cbr\u003eCompound Hypotheses 159\u003cbr\u003eThe Pearson Family 161\u003cbr\u003eThe DMS Database 169\u003cbr\u003ePractically Normal Distributions 175\u003cbr\u003eIllustrative Histograms 179\u003cbr\u003eNear LH-Maximizing Distributions for the Ensemble 182\u003cbr\u003eTransformed Country Distributions 186\u003cbr\u003eObservations 190\u003cbr\u003eRecommendation 192\u003cbr\u003e\u003cbr\u003eNotes 195\u003cbr\u003eReferences 209\u003cbr\u003eIndex 217\u003cbr\u003e\u003c\/p\u003e","brand":"McGraw-Hill Education - Europe","offers":[{"title":"Default Title","offer_id":48732179693911,"sku":"9780071817936","price":49.49,"currency_code":"GBP","in_stock":false}],"url":"https:\/\/bookcurl.com\/products\/riskreturn-analysis-the-theory-and-practice-of-rational-investing-volume-one-9780071817936","provider":"Book Curl","version":"1.0","type":"link"}