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Introduction to Mathematical Finance through "Portfolio Selection"

Student-Run Applied & Math Seminar

Speaker: Jeffrey Anderson, UC Davis
Location: 2112 MSB
Start time: Wed, May 13 2009, 12:10PM

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.