On the (Non)Acceptance of Innovations

نویسنده

  • GIORGIO SZEGÖ
چکیده

where X and Y are random returns. The main innovation introduced by Markowitz is to measure the risk of a portfolio via the joint (multivariate) distribution of returns of all assets. Multivariate distributions are characterized by the statistical (marginal) properties of all component random variables and by their dependence structure. Markowitz described the former by the first two moments of the univariate distributions – the asset returns – and the latter via the linear (Pearson) correlation coefficient between each pair of random returns, i.e.: ρ(X, Y ) = Cov[X, Y ]/σ 2 Xσ 2 Y )1/2

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تاریخ انتشار 2004