Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 47

Asset allocation is one of the most important and difficult challenges investors face, but thanks to Harry Markowitz, we have an elegant and widely accepted theory to guide us. In his classic article, “Portfolio Selection,” Markowitz reasoned that investors should not choose portfolios that maximize expected return, because this criterion by itself ignores the principle of diversification.¹ He proposed that investors should instead consider variances of return, along with expected returns, and choose portfolios that offer the highest expected return for a given level of variance. Markowitz called this rule the E-V maxim.