Markowitz model

Markowitz model
A method of selecting the optimum investment portfolio, devised by H. M. Markowitz (1927- ) and for which he received the Nobel prize in Economics in 1990. It assumes that investors are interested in the average return on a risky investment and the standard deviation of those returns. Investors are risk-averse, which means they like higher returns and dislike higher standard deviations of returns. It concludes that investors should diversify as widely as possible and decide the level of risk and return they choose by the proportions they borrow, lend, and invest in risky assets.

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  • Markowitz-Modell — Dieser Artikel oder Abschnitt bedarf einer Überarbeitung. Näheres ist auf der Diskussionsseite angegeben. Hilf mit, ihn zu verbessern, und entferne anschließend diese Markierung. Die Portfoliotheorie ist ein Teilgebiet der Finanzierung und… …   Deutsch Wikipedia

  • Markowitz Efficient Set — A set of portfolios with returns that are maximized for a given level of risk based on mean variance portfolio construction. The efficient solution set to a given set of mean variance parameters (a given riskless asset and a given risky basket of …   Investment dictionary

  • Harry Markowitz — Infobox Scientist name = Harry Markowitz image size = 180px birth date = Birth date and age|1927|8|24|mf=y birth place = Chicago, Illinois, U.S. nationality = United States field = Finance work institution = Rady School of Management alma mater …   Wikipedia

  • Capital asset pricing model — Modèle d évaluation des actifs financiers Pour les articles homonymes, voir CAPM. Le Modèle d évaluation des actifs financiers (MEDAF), traduction approximative[1] de l anglais Capital Asset Pricing Model (CAPM) fournit une estimation de valeur… …   Wikipédia en Français

  • Capital asset pricing model — In finance, the Capital Asset Pricing Model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset, if that asset is to be added to an already well diversified portfolio, given that asset s non diversifiable… …   Wikipedia

  • Capital Asset Pricing Model — Saltar a navegación, búsqueda El Capital Asset Pricing Model, o CAPM (trad. lit. Modelo de Fijación de precios de activos de capital) es un modelo frecuentemente utilizado en la economía financiera. El modelo es utilizado para determinar la tasa… …   Wikipedia Español

  • Harry Markowitz — Harry M. Markowitz, (Chicago, 1927 ) recibió el premio Nobel de Economía en 1990. Aunque el tema de las finanzas empresariales había ya sido tratado por otros dos laureados, James Tobin (1981) y Franco Modigliani (1985), el Nobel de 1990… …   Wikipedia Español

  • Wirtschaftsnobelpreis 1990: Harry Max Markowitz — Merton Howard Miller — William Forsyth Sharpe —   Die drei amerikanischen Wirtschaftswissenschaftler wurden für ihre Leistungen auf dem Gebiet der Finanzierungs und Kapitalmarkttheorie ausgezeichnet.    Biografien   Harry Max Markowitz * Chicago 24. 8. 1927; ab 1952 Mitarbeiter bei der Rand… …   Universal-Lexikon

  • Black-Litterman Model — An asset allocation model that was developed by Fischer Black and Robert Litterman of Goldman Sachs. The Black Litterman model is essentially a combination of two main theories of modern portfolio theory, the Capital Asset Pricing Model (CAPM)… …   Investment dictionary

  • Harry Markowitz — A Nobel Memorial Prize winning economist who devised the modern portfolio theory in 1952. Markowitz s theories emphasized the importance of portfolios, risk, the correlations between securities and diversification. His work changed the way that… …   Investment dictionary

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