2025/06/28 by J. E. Woods · 1 voice
Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Monetary Policy and Economic Impact #Banking stability, regulation, efficiency
paper · doi:10.1080/09672567.2025.2491313
openalex publication_date 2025/06/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/31
Although mean–variance analysis is invariably associated with Harry Markowitz, Andrew Roy published the first formal account, employing it to develop his Safety–First Principle, thereby initiating the study of “downside risk”. He also provided a practicable method of portfolio selection “equivalent to the rules of thumb that guide the ordinary man in everyday life”. Critical of conventional utility–based theory, he identified a fundamental weakness of the subsequent literature on portfolio selection which failed to distinguish between “real” and “money” returns. Given these dimensions of his work, he can justifiably be regarded as a pioneer in financial economics.