Effective asset selection for investment diversification

Author: Markowitz, H.M. (USA), translated by Liu Junxia and Zhang Yichi
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 award winners. The publication of the series itself holds great significance, and its release in China carries an even deeper meaning. 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 the Nobel Prize in Economic Sciences Committee of Sweden—Toresten 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 helping investors understand a risk-return frontier, while Roy recommends a specific portfolio—one that maximizes the ratio of expected return to standard deviation at certain specific undesirable levels of return. Comparing Roy 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, whereas the author continued to occasionally publish works, including the editions of this book in 1959 and a book primarily about the calculation of mean-variance efficient sets published in 1987. Therefore, by 1990, the author was still on the radar of the Nobel Committee, while Roy had vanished from sight.