Description

Book Synopsis
A concise yet comprehensive guide to the mathematics of portfolio theory from a modelling perspective, with discussion of the assumptions, limitations and implementations of the models as well as the theory underlying them. Aimed at advanced undergraduates, this book can be used for self-study or as a course text.

Table of Contents
Preface; 1. Definitions of risk and return; 2. Efficient portfolios: the two-asset case; 3. Portfolios with a risk-free asset; 4. Finding the efficient frontier – the multi-asset case; 5. Single-factor models; 6. Multi-factor models; 7. Introducing utility; 8. Utility and risk aversion; 9. Foundations of utility theory; 10. Maximising long-term growth; 11. Stochastic dominance; 12. Risk measures; 13. The Capital Asset Pricing Model; 14. The arbitrage pricing model; 15. Market efficiency and rationality; 16. Brownian motion and stock price models across time; Appendix A. Matrix algebra; Appendix B. Solutions; References; Index.

Introduction to Mathematical Portfolio Theory International Series on Actuarial Science

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    A Hardback by Mark S. Joshi, Jane M. Paterson

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      Publisher: Cambridge University Press
      Publication Date: 7/11/2013 12:00:00 AM
      ISBN13: 9781107042315, 978-1107042315
      ISBN10: 1107042313
      Also in:
      Economics Probability and statistics

      Description

      Book Synopsis
      A concise yet comprehensive guide to the mathematics of portfolio theory from a modelling perspective, with discussion of the assumptions, limitations and implementations of the models as well as the theory underlying them. Aimed at advanced undergraduates, this book can be used for self-study or as a course text.

      Table of Contents
      Preface; 1. Definitions of risk and return; 2. Efficient portfolios: the two-asset case; 3. Portfolios with a risk-free asset; 4. Finding the efficient frontier – the multi-asset case; 5. Single-factor models; 6. Multi-factor models; 7. Introducing utility; 8. Utility and risk aversion; 9. Foundations of utility theory; 10. Maximising long-term growth; 11. Stochastic dominance; 12. Risk measures; 13. The Capital Asset Pricing Model; 14. The arbitrage pricing model; 15. Market efficiency and rationality; 16. Brownian motion and stock price models across time; Appendix A. Matrix algebra; Appendix B. Solutions; References; Index.

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