Asset Selection: Effective Diversification of Investments

Author: Harry Markowitz (USA)
Publisher:
Publish Date: 2000-03-01
Features: As far as I know, this series of books is the first attempt to publish the important works of all the laureates. The publication of the series itself holds great significance, and its release in China is even more profound. I hope its publication will not only contribute to the development of economics but also directly promote the development of the Chinese economy.
The article "Security First and Asset Holdings" by (Swedish) Nobel Memorial Prize in Economic Sciences laureate Torsten Persson (Roy, 1952) was also published in 1952. Similar to the author's work, Roy's article suggests investing based on the mean and variance of the entire portfolio while considering securities with correlated returns. The main difference between Roy's article and the author's lies in that the author advocates letting investors understand a risk-return frontier, while Roy recommends a specific portfolio—namely, a combination that maximizes the ratio of expected return to standard deviation above certain specific unacceptable levels of return. Comparing Roy's and the author's 1952 articles, it is difficult to understand why I received the Nobel Prize for this work while Roy did not. The reason may be that after making this significant contribution to finance, Roy disappeared from the field, while the author continued to occasionally publish works, including the editions of this book in 1959 and a book mainly about the calculation of the mean-variance efficient set published in 1987. Therefore, by 1990, the author was still on the radar screen of the Nobel Committee, while Roy had vanished from sight.