Applications of Markowitz Portfolio Theory To Pension Fund Design
Harry Markowitz (1952) published an article that revolutionized the way the world thought about investments, the investment process, and measuring and predicting portfolio performance. The impact of Harry’s 1952 article and his research that followed have been extraordinary. There is no doubt that this work is one of a handful of major breakthroughs that have changed not only the way we think about the world of finance, but also the way the world of finance functions.
The three of us have spent our entire careers teaching and working with the concepts that Harry set forth. When asked to do an essay for this volume, we were faced with an almost insurmountable problem: so many choices.We finally decided to review some of our works on pension fund management, because saving for retirement is a critical issue around the world and because the insight the profession has into the problem stems from Harry’s work.
KeywordsMutual Fund Pension Fund Pension Plan Sharpe Ratio Bond Index
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