Portfolio Theory: From Markowitz to Michaud

摘要

Published in the Journal of Finance, Harry Markowitz's seminai paper "F'ortfolio Seiection" lays the foundation for Modern Portfolio Theory.rnMarkowitz fleshes out MPT in his book Portfolio Selection: Effi-rncient Diversification of invest menis, which introduces mean semivariance, a method of estimating downside risk.