Stochastic Dominance In Portfolio Analysis And Asset Pricing
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Stochastic Dominance In Portfolio Analysis And Asset Pricing
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Author : Andrey M. Lizyayev
language : en
Publisher: Rozenberg Publishers
Release Date : 2010
Stochastic Dominance In Portfolio Analysis And Asset Pricing written by Andrey M. Lizyayev and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Advances In The Use Of Stochastic Dominance In Asset Pricing
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Author : Philippe Johannes Petrus Marie Versijp
language : en
Publisher: Rozenberg Publishers
Release Date : 2007
Advances In The Use Of Stochastic Dominance In Asset Pricing written by Philippe Johannes Petrus Marie Versijp and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Portfolio Selection And Asset Pricing
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Author : Shouyang Wang
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Portfolio Selection And Asset Pricing written by Shouyang Wang 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 2012-12-06 with Business & Economics categories.
In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.
Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making
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Author : Leonard C MacLean
language : en
Publisher: World Scientific Publishing Company
Release Date : 2016-09-29
Problems In Portfolio Theory And The Fundamentals Of Financial Decision Making written by Leonard C MacLean and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-29 with categories.
This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.
Stochastic Dominance
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Author : Haim Levy
language : en
Publisher: Springer
Release Date : 2015-10-31
Stochastic Dominance written by Haim Levy and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-31 with Business & Economics categories.
This fully updated third edition is devoted to the analysis of various Stochastic Dominance (SD) decision rules. It discusses the pros and cons of each of the alternate SD rules, the application of these rules to various research areas like statistics, agriculture, medicine, measuring income inequality and the poverty level in various countries, and of course, to investment decision-making under uncertainty. The book features changes and additions to the various chapters, and also includes two completely new chapters. One deals with asymptotic SD and the relation between FSD and the maximum geometric mean (MGM) rule (or the maximum growth portfolio). The other new chapter discusses bivariate SD rules where the individual’s utility is determined not only by his own wealth, but also by his standing relative to his peer group. Stochastic Dominance: Investment Decision Making under Uncertainty, 3rd Ed. covers the following basic issues: the SD approach, asymptotic SD rules, the mean-variance (MV) approach, as well as the non-expected utility approach. The non-expected utility approach focuses on Regret Theory (RT) and mainly on prospect theory (PT) and its modified version, cumulative prospect theory (CPT) which assumes S-shape preferences. In addition to these issues the book suggests a new stochastic dominance rule called the Markowitz stochastic dominance (MSD) rule corresponding to all reverse-S-shape preferences. It also discusses the concept of the multivariate expected utility and analyzed in more detail the bivariate expected utility case. From the reviews of the second edition: "This book is an economics book about stochastic dominance. ... is certainly a valuable reference for graduate students interested in decision making under uncertainty. It investigates and compares different approaches and presents many examples. Moreover, empirical studies and experimental results play an important role in this book, which makes it interesting to read." (Nicole Bäuerle, Mathematical Reviews, Issue 2007 d)
Modern Portfolio Theory And Investment Analysis
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Author : Edwin J. Elton
language : en
Publisher: John Wiley & Sons
Release Date : 1981
Modern Portfolio Theory And Investment Analysis written by Edwin J. Elton 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 1981 with Business & Economics categories.
This book covers the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. Stressing the economic intuition behind the subject matter, this classic text pres-ents advanced concepts of investment analysis and portfolio management. It can be used for courses in both portfolio theory and in investment analysis that have an emphasis on portfolio the-ory. It can also be used in a course in investments where both portfolio analysis and security analysis are discussed. The authors' goal has been to make all the material in this text accessible to students of portfolio analysis and invest-ment management, both at the undergraduate and graduate levels while maintaining the rigor through the use of ap-pendices which can be used in conjunction with the text.
Multi Moment Asset Allocation And Pricing Models
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Author : Emmanuel Jurczenko
language : en
Publisher: John Wiley & Sons
Release Date : 2006-10-02
Multi Moment Asset Allocation And Pricing Models written by Emmanuel Jurczenko 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 2006-10-02 with Business & Economics categories.
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
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.
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.
Portfolio And Investment Selection
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Author : Haim Levy
language : en
Publisher: Prentice Hall
Release Date : 1984
Portfolio And Investment Selection written by Haim Levy and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Business & Economics categories.