Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

Prize Lecture to the memory of Alfred Nobel, December 7, 1990.(This abstract was borrowed from another version of this item.)

Prize Lecture to the memory of Alfred Nobel, December 7, 1990.

The following sections are included:BACKGROUNDTHE SEQUENCE OF GAMESALTERNATE SEQUENCE-OF-GAMES FORMALIZATIONSUNENDING GAMESCONCLUSIONSAPPENDIXREFERENCES

ABSTRACT Recently there has been a growing interest in the scenario model of covariance as an alternative to the one‐factor or many‐factor models. We show how the covariance matrix resulting from the scenario model can easily be made diagonal by adding new variables linearly related to the amounts invested; note the meanings of these new variables; note how portfolio variance divides itself into “within scenario” and “between scenario” variances; and extend the results to models in which scenarios and factors both appear where factor distributions and effects may or may not be scenario sensitive.