Single-Period Mean: Variance Analysis in a Changing World

• Published in: Financial analysts journal Vol. 59; no. 2; pp. 30 - 44
• Main Authors: Markowitz, Harry M., Erik L. van Dijk
• Format: Journal Article
• Language: English
• Published: Charlottesville The Association for Investment Management and Research 01.03.2003; Taylor & Francis Ltd
• Subjects: Approximation; Capital market; Cash; Costs; Dynamic programming; Expected utility; Expected values; Finance; Financial analysis; Financial portfolios; Forecasting models; Games; Heuristic; Heuristics; Investment policy; Investments; Investors; Linear programming; Management science; Mathematical models; Modeling; Monte Carlo simulation; Operations research; Optimization; Portfolio Management; Quantitative analysis; Rates of return; Stock exchange; Stock returns; Transaction costs; Utilities; Utility functions; Variance analysis; United States > US

Ideally, financial analysts would like to be able to optimize a consumption-- investment game with many securities, many time periods, transaction costs, and changing probability distributions. We cannot. For a small optimizable version of such a game, we consider in this article how much would be l...