Eggs in a Basket: Harry Markowitz’s Contribution and How I Achieved Erdős 3
回顾了马科维茨均值-方差投资组合理论的贡献，并介绍了作者在此基础上拓展风险定义、引入动态概率信念和贝叶斯方法的研究，适合对投资组合理论发展感兴趣的学者。
How many times have you heard: “Don’t put all your eggs in one basket” in reference to stock investments? That is Harry Markowitz’s foundational contribution. Many of my research ideas were a direct result of his insights. In his famous 1952 paper, Markowitz realized that the mean–variance efficient portfolio was only optimal if there was no preference for skewness. This led to my work in the <italic>Journal of Finance</italic>, expanding the definition of risk to include skewness and estimating mean–variance-skewness efficient portfolios. The 1952 paper also assumes static probability beliefs. This inspired a line of research looking at dynamic probability beliefs with time-varying risk and expected returns. Finally, in the Markowitz framework, the expected returns, variances, and covariances are assumed to be exactly known. My work on Bayesian portfolio optimization relaxes this assumption and allows for uncertainty in the inputs. My research epitaph might read: “He was a careful reader of Harry Markowitz’s footnotes.”