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Introduction to Mathematical Finance through "Portfolio Selection"
Student-Run Research| Speaker: | Jeffrey Anderson, UC Davis |
| Location: | 2112 MSB |
| Start time: | Wed, May 13 2009, 12:10PM |
Description
In 1952, Harry Markowitz published “Portfolio Selection” in the Journal of
Finance. In this paper, he introduced a theoretical approach to choosing
a financial portfolio. Markowitz went on to receive a Nobel Prize in
economics and is considered the father of Modern Portfolio theory. It was
this paper that began his academic career.
In this talk, I will explore some of the concepts Markowitz presented in
“Portfolio Selection.” I will present a specific example of Portfolio
construction in a deterministic model. I will use the intuition gained
from this model to introduce the probabilistic models on which Markowitz
relies. I will then discuss Efficient Portfolio’s and consider the
relationship between Expected Return and Variance when constructing a
financial portfolio.