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The Portfolio Theorists "Von Neumann, Savage, Arrow and Markowitz"

The Portfolio Theorists "Von Neumann, Savage, Arrow and Markowitz"

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  • ISBN:9780230274143
  • Editorial: Palgrave
  • Fecha de la edición:
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  • Nº Pág.:240
  • Idiomas:Ingles,Inglés

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This book is the second in a series of discussions about the 'great minds' in the history and theory of finance. The first book examines the role of returns in our personal financial decisions. This second book adds risk and uncertainty to the picture. Colin Read investigates how our treatment of risk and uncertainty necessitated a new understanding of probability. The creation of this fresh treatment of probability induced us to rewrite and to generalize our understanding of financial returns that had to be balanced with risk. While the modeling of risk dramatically complicated our models in finance, it also answered questions that, to then, had challenged our understanding of financial markets and equilibrium. Probability, risk, and uncertainty are examined through the contributions of John von Neumann, Leonard Jimmie Savage, Kenneth Arrow and Harry Markowitz. These Portfolio Theorists provided us with a dramatic leap forward in our understanding and insights of financial rewards under risk and uncertainty. In fact, their results are perhaps more significant and groundbreaking than any other financial theorist before or since. Such brilliance is the hallmark of a great mind.

Introduction A Roadmap to Resolve the Big Question PART I: JOHN VON NEUMANN The Early Years for John von Neumann and Oskar Morgenstern The Times and the Beginning of an Era The Theory of von Neumann and Morgenstern Applications and Elaborations of the von Neumann-Morgenstern Model The Later Life and Legacy of John von Neumann and Oskar Morgenstern PART II: LEONARD JIMMIE SAVAGE The Early Years Friedman and Savage's Times The Theory of Friedman and Savage Applications of the Concept of Subjective Probabilities Savage's Later Life and Legacy PART III: KENNETH J. ARROW Arrow's Early Years The Times Arrow's Great Idea Applications of the Contingent Claims Model Arrow's Life, Legacy, and the Nobel Prize PART IV: HARRY MARKOWITZ The Early Years of Harry Markowitz The Times and a New Paradigm in Personal Finance The Theory of an Efficient Portfolio Applications of Portfolio Theory The Nobel Prize, Life, and Legacy of Harry Markowitz PART V: WHAT WE HAVE LEARNED Combined Contributions in Portfolio Theory Conclusions

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