11.7 Further Reading: Introduction to Portfolio Theory

Markowitz’s mean-variance portfolio theory is described in detail in (Markowitz 1959), (Markowitz 1987). Most MBA level corporate finance and investments textbooks have chapters on mean-variance portfolio theory. Good intermediate level treatments of portfolio theory from a quantitative perspective are given in (Benninga 2000), (Bodie, Kane, and Marcus 2013) and (Elton et al. 2014).

References

Benninga, S. 2000. Financial Modeling. Second Edition. Cambridge, MA: MIT Press.

Bodie, Z., A. Kane, and A. J. Marcus. 2013. Investments. 10th Edition. McGraw-Hill Education.

Elton, E., G. Gruber, S. J. Brown, and W. N. Goetzmann. 2014. Modern Portfolio Theory and Investment Analysis. 9th Edition. New York: Wiley.

Markowitz, H. 1959. Portfolio Selection: Efficient Diversification of Investments. New York: Wiley.

Markowitz, H. 1987. Mean-Variance Analysis in Portfolio Choice and Capital Markets. Cambridge, MA: Basil Blackwell.