Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory....

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952)... [Enrico De Giorgi]<p>