Introduction To Mathematical Portfolio Theory
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Introduction To Mathematical Portfolio Theory
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Author : Mark S. Joshi
language : en
Publisher: Cambridge University Press
Release Date : 2013-07-11
Introduction To Mathematical Portfolio Theory written by Mark S. Joshi and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-11 with Business & Economics categories.
This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
Mathematical Portfolio Theory And Analysis
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Author : Siddhartha Pratim Chakrabarty
language : en
Publisher: Springer Nature
Release Date : 2023-02-18
Mathematical Portfolio Theory And Analysis written by Siddhartha Pratim Chakrabarty and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-02-18 with Mathematics categories.
Designed as a self-contained text, this book covers a wide spectrum of topics on portfolio theory. It covers both the classical-mean-variance portfolio theory as well as non-mean-variance portfolio theory. The book covers topics such as optimal portfolio strategies, bond portfolio optimization and risk management of portfolios. In order to ensure that the book is self-contained and not dependent on any pre-requisites, the book includes three chapters on basics of financial markets, probability theory and asset pricing models, which have resulted in a holistic narrative of the topic. Retaining the spirit of the classical works of stalwarts like Markowitz, Black, Sharpe, etc., this book includes various other aspects of portfolio theory, such as discrete and continuous time optimal portfolios, bond portfolios and risk management. The increase in volume and diversity of banking activities has resulted in a concurrent enhanced importance of portfolio theory, both in terms of management perspective (including risk management) and the resulting mathematical sophistication required. Most books on portfolio theory are written either from the management perspective, or are aimed at advanced graduate students and academicians. This book bridges the gap between these two levels of learning. With many useful solved examples and exercises with solutions as well as a rigorous mathematical approach of portfolio theory, the book is useful to undergraduate students of mathematical finance, business and financial management.
Stochastic Portfolio Theory
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Author : E. Robert Fernholz
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Stochastic Portfolio Theory written by E. Robert Fernholz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.
Portfolio Theory And Arbitrage A Course In Mathematical Finance
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Author : Ioannis Karatzas
language : en
Publisher: American Mathematical Soc.
Release Date : 2021-08-12
Portfolio Theory And Arbitrage A Course In Mathematical Finance written by Ioannis Karatzas and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-12 with Education categories.
This book develops a mathematical theory for finance, based on a simple and intuitive absence-of-arbitrage principle. This posits that it should not be possible to fund a non-trivial liability, starting with initial capital arbitrarily near zero. The principle is easy-to-test in specific models, as it is described in terms of the underlying market characteristics; it is shown to be equivalent to the existence of the so-called “Kelly” or growth-optimal portfolio, of the log-optimal portfolio, and of appropriate local martingale deflators. The resulting theory is powerful enough to treat in great generality the fundamental questions of hedging, valuation, and portfolio optimization. The book contains a considerable amount of new research and results, as well as a significant number of exercises. It can be used as a basic text for graduate courses in Probability and Stochastic Analysis, and in Mathematical Finance. No prior familiarity with finance is required, but it is assumed that readers have a good working knowledge of real analysis, measure theory, and of basic probability theory. Familiarity with stochastic analysis is also assumed, as is integration with respect to continuous semimartingales.
Modern Portfolio Theory Website
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Author : Jack Clark Francis
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-22
Modern Portfolio Theory Website written by Jack Clark Francis and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-22 with Business & Economics categories.
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics. Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
Portfolio Theory And Risk Management
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Author : Maciej J. Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2014-08-07
Portfolio Theory And Risk Management written by Maciej J. Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-07 with Business & Economics categories.
A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations.
Elliptically Contoured Models In Statistics And Portfolio Theory
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Author : Arjun K. Gupta
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-09-07
Elliptically Contoured Models In Statistics And Portfolio Theory written by Arjun K. Gupta and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-07 with Mathematics categories.
Elliptically Contoured Models in Statistics and Portfolio Theory fully revises the first detailed introduction to the theory of matrix variate elliptically contoured distributions. There are two additional chapters, and all the original chapters of this classic text have been updated. Resources in this book will be valuable for researchers, practitioners, and graduate students in statistics and related fields of finance and engineering. Those interested in multivariate statistical analysis and its application to portfolio theory will find this text immediately useful. In multivariate statistical analysis, elliptical distributions have recently provided an alternative to the normal model. Elliptical distributions have also increased their popularity in finance because of the ability to model heavy tails usually observed in real data. Most of the work, however, is spread out in journals throughout the world and is not easily accessible to the investigators. A noteworthy function of this book is the collection of the most important results on the theory of matrix variate elliptically contoured distributions that were previously only available in the journal-based literature. The content is organized in a unified manner that can serve an a valuable introduction to the subject.
Portfolio Theory
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Author : Giorgio P. Szegö
language : en
Publisher: Academic Press
Release Date : 2014-05-10
Portfolio Theory written by Giorgio P. Szegö and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Business & Economics categories.
Portfolio Theory: With Application to Bank Asset Management provides information pertinent to the fundamental aspects of the management of bank assets and liabilities. This book presents the mean-variance approach to obtain many analytical results and a complete insight into the portfolio selection problem. Organized into 16 chapters, this book begins with an overview of the formalization of decision-making under uncertainty. This text then presents the construction and complete analysis of a Markowitz-type portfolio selection model. Other chapters consider the problems of portfolio selection in an inflationary or multicurrency environment. This book discusses as well an approximate technique for constructing a diagonal model at the cost of increasing by one the number of investments and the number of constraints. The final chapter deals with the study of the portfolio selection problem and to the analysis of the properties of the efficient set of the mean variance criterion. This book is a valuable resource for economists.
Portfolio Theory Financial Analyses
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Author :
language : en
Publisher: Bookboon
Release Date :
Portfolio Theory Financial Analyses written by and has been published by Bookboon this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Statistical Portfolio Estimation
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Author : Masanobu Taniguchi
language : en
Publisher:
Release Date : 2017
Statistical Portfolio Estimation written by Masanobu Taniguchi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with MATHEMATICS categories.
"This book presents an overview of the theory and applications of statistical portfolio estimation. The approach is necessarily mathematical, as the financial data involved is non-Gaussian and non-stationary. The book includes the required background in time series analysis and portfolio theory. It features applications to insurance and finance, and some interesting applications to biomedical and genetic data. MATLAB℗ʼ and R code for all the examples are available via the book website."--Provided by publisher.