Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One)

OUTLINE OF PLANS FOR VOLUMES II, III, AND IV

VOLUME II

Volume II is planned to present the following ideas in roughly the following order:

• The concept of a game in the sense of von Neumann and Morgenstern, and especially their concept of a strategy—namely, a rule that specifies a player’s move in every circumstance in which the player may find itself.

On questions of asset allocation we will principally be concerned with single-person games. Two-person and n-person games can be relevant to questions of trading strategies, on which we will say little if anything.

• The notion of utility attached to the game as a whole as presented in Markowitz (1959), Chapter 11 with emphasis here, as there, on the fact that such a utility function is not necessarily ...