文档介绍：The Legacy of
Modern Portfolio Theory
FRANK J. FABOZZI, FRANCIS GUPTA, AND HARRY M. MARKOWITZ
FRANK J. FABOZZI n 1952 The Journal of Finance published of MPT it may be instructive for investment
is an adjunct professor of an article titled “Portfolio Selection” professionals to revisit the building blocks of
finance at the School of authored by Harry Markowitz. The ideas the profession. This will serve as an overview
Management at Yale Uni-
versity in New Haven, CT. introduced in this article e to of the theory and may enable us to appreciate
Iform the foundations of what is now popularly some of the finer nuances of MPT which we
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referred to as Modern Portfolio Theory now take for granted. In the process we will
FRANCIS GUPTA (MPT). Initially, MPT generated relatively lit- also gain an understanding of the advent of
is vice president, strategic tle interest, but with time, the - modern portfolio management, ., where it
advisory, at Credit Suisse munity strongly adopted the thesis, and now came from and where it is going.
Asset Management in
New York City. 50 years later, financial models based on those It may be useful to mention here that
@ very same principles are constantly being rein- the theory of portfolio selection is a norma-
vented to incorporate all the new findings that tive theory. A normative theory is one that
HARRY M. MARKOWITZ result from that seminal work. describes a standard or norm of behavior that
is the president of An important e of the research investors should pursue in constructing a port-
Harry Markowitz Co.
in San Diego, CA. generated due to the ideas formalized in MPT folio, in contrast to a theory that is actually
is that today’s investment professionals and followed. Asset pricing theory such as the cap-
investors are very different from those 50 years ital asset pricing model goes on to formalize
ago. Not only are they more financially sophis- the relationship that should e