Introduction

In this lecture we will revisit portfolio theory as pioneered by Markowitz [4]. The following notes mainly gives the basic formulæ without much explaining text. Great part of the material is from [1]. Many enlightening figures can be found in [2], which also is a classical reference to portfolio theory. For a short autobiography of Markowitz and some additional material on CAPM, lower partial moments, a relation to spin glasses, and references see also the corresponding webpage http://pauli.uni-muenster.de/${}^\sim$lemm/econoWS99/portfolio.html.