The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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Foundations of Portfolio Theory
Published: 06/01/1991 | DOI: 10.1111/j.1540-6261.1991.tb02669.x
HARRY M. MARKOWITZ
Portfolio Analysis with Factors and Scenarios
Published: 09/01/1981 | DOI: 10.1111/j.1540-6261.1981.tb04889.x
HARRY M. MARKOWITZ, ANDRÉF. PEROLD
Recently there has been a growing interest in the scenario model of covariance as an alternative to the one‐factor or many‐factor models. We show how the covariance matrix resulting from the scenario model can easily be made diagonal by adding new variables linearly related to the amounts invested; note the meanings of these new variables; note how portfolio variance divides itself into “within scenario” and “between scenario” variances; and extend the results to models in which scenarios and factors both appear where factor distributions and effects may or may not be scenario sensitive.
Mean‐Variance Versus Direct Utility Maximization
Published: 03/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03859.x
YORAM KROLL, HAIM LEVY, HARRY M. MARKOWITZ
Levy and Markowitz showed, for various utility functions and empirical returns distributions, that the expected utility maximizer could typically do very well if he acted knowing only the mean and variance of each distribution. Levy and Markowitz considered only situations in which the expected utility maximizer chose among a finite number of alternate probability distributions. The present paper examines the same questions for a case with an infinite number of alternate distributions, namely those available from the standard portfolio constraint set.