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The Theory and Practice of Rational Investing, Harry M. Markowitz worries about a "great confusion" that reigns in finance - namely, "the confusion between necessary and sufficient conditions for the use of mean-variance analysis." This is a serious matter. Mean-variance analysis has been the cornerstone of portfolio construction since Markowitz's seminal 1952 article. Meanwhile, academics and practitioners have been in constant search of the next holy grail that will guide the allocation of capital. Consider the endless stream of articles proposing enhancements to mean-variance analysis or substitutes for it. Substantial bodies of literature discuss optimizers that incorporate higher moments or attempt to replace variance with alternative risk measures. Another takes account of investors' so-called irrational tendencies. I recall a former colleague saying, "Let's not re-implement Harry Markowitz's PhD thesis for the millionth time. We can do better." But we have not. What are the objections to mean-variance analysis, and are they well grounded? Markowitz has devoted Risk-Return Analysis to these questions, concluding that mean-variance analysis is central to finance for good reason. This book proceeds in unhurried steps from a set of incontrovertible premises to the conclusion that mean-variance analysis is the best tool available for addressing a wide range of portfolio-construction problems.