Colorado College Logo


Use AND (in capitals) to search multiple keywords.
Example: harmonica AND cobos

Security return covariance forecasting and applications for multi-period mean-variance formulation


The value and importance of diversity in one's portfolio has long been postulated, but it was Harry M. Markowitz who proposed the first mathematical model that would allow investors to systematically compute the optimal allocation of assets based on individual preferences (the investor's utility function), covariance, variance, and expected value of returns. Adequate diversification can mitigate risk substantially while potentially enhancing returns. Markowitz provided investors with the tools to optimally diversify their investments.


The author has given permission for this work to be deposited in the Digital Archive of Colorado College. The Colorado College Honor Code was upheld. This thesis was presented to the Department of Economics and Business in partial fulfillment of the requirements for the degree Bachelor of Arts. Includes bibliographical references.