Markowitz Efficient Set

A set of portfolios with returns that are maximized for a given level of risk based on mean-variance portfolio construction. The efficient "solution set" to a given set of mean-variance parameters (a given riskless asset and a given risky basket of assets) can be graphed into what is called the Markowitz efficient frontier.

The Markowitz efficient set is all of the portfolios on the efficient frontier, or those that generate the largest return for a given risk level. The mean-variance and subsequent efficient set theory at one time revolutionized portfolio management, and remains a core lecture in any economist's university years. The theory of mean-variance portfolios lead to the capital asset pricing model, and is still a vital component of professional money management today.


Investment dictionary. . 2012.

Look at other dictionaries:

  • Markowitz efficient set of portfolios — The collection of all efficient portfolios, graphically referred to as the Markowitz efficient frontier. The New York Times Financial Glossary The collection of all efficient portfolios , which can be graphed as the Markowitz efficient frontier.… …   Financial and business terms

  • Markowitz efficient frontier — The graphical depiction of the Markowitz efficient set of portfolios representing the boundary of the set of feasible portfolios that have the maximum return for a given level of risk. Any portfolios above the frontier cannot be achieved. Any… …   Financial and business terms

  • Harry Markowitz — Infobox Scientist name = Harry Markowitz image size = 180px birth date = Birth date and age|1927|8|24|mf=y birth place = Chicago, Illinois, U.S. nationality = United States field = Finance work institution = Rady School of Management alma mater …   Wikipedia

  • Эффективный набор портфелей Марковица — набор эффективных портфелей, графически обозначаемый как эффективная граница Марковица. По английски: Markowitz efficient set of portfolios См. также: Современная портфельная теория Финансовый словарь Финам …   Финансовый словарь

  • Modern portfolio theory — Portfolio analysis redirects here. For theorems about the mean variance efficient frontier, see Mutual fund separation theorem. For non mean variance portfolio analysis, see Marginal conditional stochastic dominance. Modern portfolio theory (MPT) …   Wikipedia

  • optimization — /op teuh meuh zay sheuhn/ 1. the fact of optimizing; making the best of anything. 2. the condition of being optimized. 3. Math. a mathematical technique for finding a maximum or minimum value of a function of several variables subject to a set of …   Universalium

  • Database — A database is an organized collection of data for one or more purposes, usually in digital form. The data are typically organized to model relevant aspects of reality (for example, the availability of rooms in hotels), in a way that supports… …   Wikipedia

  • Milton Friedman — Chicago School of Economics Born July 31, 1912(1912 07 31) Brooklyn, New York …   Wikipedia

  • Chicago school of economics — Part of the series on Chicago school of economics Movements Libertarianism Neoliberalism Neoconservatism …   Wikipedia

  • Predictive analytics — encompasses a variety of techniques from statistics and data mining that analyze current and historical data to make predictions about future events. Such predictions rarely take the form of absolute statements, and are more likely to be… …   Wikipedia

Share the article and excerpts

Direct link
Do a right-click on the link above
and select “Copy Link”

We are using cookies for the best presentation of our site. Continuing to use this site, you agree with this.