Handbook of Portfolio Construction
"Portfolio Selection by Harry Markowitz was a seminal development transforming the field of financial investment from an art to a science. This important Handbook provides investors with an indispensable understanding of the rich developments in the pract
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Handbook of Portfolio Construction Contemporary Applications of Markowitz Techniques
Handbook of Portfolio Construction
John B. Guerard, Jr. Editor
Handbook of Portfolio Construction Contemporary Applications of Markowitz Techniques
123
John B. Guerard, Jr. McKinley Capital Management, LLC 3301 C. Street Anchorage, AK 99503 USA [email protected]
ISBN 978-0-387-77438-1 e-ISBN 978-0-387-77439-8 DOI 10.1007/978-0-387-77439-8 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2009933258 c Springer Science+Business Media, LLC 2010 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media, LLC, 233 Spring Street, New York, NY 10013, USA), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks, and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Foreword
I am deeply honored by the articles that appear in this collection. In particular, I thank John Guerard for organizing this recognition of my work. I have thought about whether I should individually thank particular authors. I hesitate to do so because a complete list would be too long, and an incomplete list would leave out names that should not be omitted. I do not suppose, however, that anyone’s feelings will be hurt if I specifically thank Paul Samuelson for his contribution. I am sure that the other contributors to this volume – including old friends and colleagues as well as other notable contributors to finance practice and literature – have the same admiration for Paul for what he has to say and how he says it. To Paul in particular, and to each of the other contributors in general, thank you. The remainder of this note is devoted to points about my work that I would very much like the reader to “please note.” For example, many writers seem to know only this about my work: in 1952, I wrote an article that defined and recommended mean-variance analysis. They seem to be unaware that there is a large difference between the views I held in 1952 and those I held and expressed in 1959. Of course, the definition of mean-variance efficiency and the formulas for portfolio mean and portfolio variance are the same in the two works, but the justification for meanvariance analysis, the relationship between single-period and many-period analysis, and the method of computing efficient sets for large numbers of securities are all new in both my1956 article and my 1959 book. Many ascribe assumptions underlying mean-variance analysis to
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