Stochastic Portfolio Theory Vs Modern Portfolio Theory And The Implications For The Capital Asset Pricing Model
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Stochastic Portfolio Theory Vs Modern Portfolio Theory And The Implications For The Capital Asset Pricing Model
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Author : Robert Ferguson
language : en
Publisher:
Release Date : 2013
Stochastic Portfolio Theory Vs Modern Portfolio Theory And The Implications For The Capital Asset Pricing Model written by Robert Ferguson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper contrasts the perspectives provided by the traditional Modern Portfolio Theory (MPT) analysis, which uses arithmetic returns, and the Stochastic Portfolio Theory (SPT) analysis, which uses continuous returns. The MPT analysis implies that an efficient portfolio's reward is proportional to its risk and that its information ratio is independent of its risk. The SPT analysis implies that an efficient portfolio's reward is not proportional to its risk, first rising with risk and then declining with risk, and that its information ratio declines as its risk increases. The analysis also has implications for the Capital Asset Pricing Model (CAPM). According to the MPT analysis, a stock's expected excess return is equal to its beta times the market's expected excess return. The SPT analysis shows that a stock's expected excess arithmetic return is equal to its beta times the market's expected excess arithmetic return plus one-half the market's variance of return times the excess of the stock's beta over 1. Compared to the MPT version of CAPM, the SPT version of CAPM shows that high beta stocks offer more expected excess arithmetic return and low beta stocks offer less expected excess arithmetic return.
Modern Portfolio Theory And Investment Analysis
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Author : Edwin J. Elton
language : en
Publisher: John Wiley & Sons
Release Date : 2014-01-21
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 2014-01-21 with Business & Economics categories.
An excellent resource for investors, Modern Portfolio Theory and Investment Analysis, 9th Edition examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. A chapter on behavioral finance is included, aimed to explore the nature of individual decision making. A chapter on forecasting expected returns, a key input to portfolio management, is also included. In addition, investors will find material on value at risk and the use of simulation to enhance their understanding of the field.
Handbook Of Quantitative Finance And Risk Management
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Author : Cheng-Few Lee
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-06-14
Handbook Of Quantitative Finance And Risk Management written by Cheng-Few Lee 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 2010-06-14 with Business & Economics categories.
Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Modern Portfolio Theory
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Author : Jack Clark Francis
language : en
Publisher: John Wiley & Sons
Release Date : 2013-01-18
Modern Portfolio Theory 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 2013-01-18 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.
21st Century Economics A Reference Handbook
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Author : Rhona C. Free
language : en
Publisher: SAGE Publications
Release Date : 2010-05-14
21st Century Economics A Reference Handbook written by Rhona C. Free and has been published by SAGE Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-05-14 with Business & Economics categories.
Interest in economics is at an all-time high. Among the challenges facing the nation is an economy with rapidly rising unemployment, failures of major businesses and industries, and continued dependence on oil with its wildly fluctuating price. Economists have dealt with such questions for generations, but they have taken on new meaning and significance. Tackling these questions and encompassing analysis of traditional economic theory and topics as well as those that economists have only more recently addressed, 21st Century Economics: A Reference Handbook is a must-have reference resource. Key Features Provides highly readable summaries of theory and models in key areas of micro and macroeconomics, helpful for students trying to get a "big picture" sense of the field Includes introductions to relevant theory as well as empirical evidence, useful for readers interested in learning about economic analysis of an issue as well for students embarking on research projects Features chapters focused on cutting-edge topics with appeal for economists seeking to learn about extensions of analysis into new areas as well as new approaches Presents models in graphical format and summarizes empirical evidence in ways that do not require much background in statistics or econometrics, so as to maximize accessibility to students
Finance
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Author : John Eatwell
language : en
Publisher: Springer
Release Date : 1989-09-21
Finance written by John Eatwell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989-09-21 with Business & Economics categories.
This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
Professional S Handbook Of Financial Risk Management
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Author : Lev Borodovsky
language : en
Publisher: Elsevier
Release Date : 2000-02-25
Professional S Handbook Of Financial Risk Management written by Lev Borodovsky and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-02-25 with Business & Economics categories.
Professional's Handbook of Financial Risk Management is a major reference work in finance. A complete practical reference book covering all aspects of financial risk management including an in-depth look at operational risk management, regulation, risk-based capital, and risk adjusted performance measurement. The book focuses on practical financial risk management techniques and solutions, and is designed to guide the risk professional step-by-step through the implementation of a firm-wide risk management framework. This book covers the various roles of the risk management function. Rather than describing every possible role in exhaustive detail, the authors have provided a story line for each of the discussed topics, including practical issues that a risk manager needs to consider when tackling the subject, possible solutions to difficulties that might be encountered, background knowledge that is essential to know, and more intricate practices and techniques that are being used. By providing these fundamentals, the novice risk professional can gain a thorough understanding of the topic in question while the more experienced professional can use some of the more advanced concepts within the book. Thus the book can be used to broaden your own knowledge of the risk world, both by familiarizing yourself with areas in which you lack experience and by enhancing your knowledge in areas that you already have expertise. All authors are leaders in their field who between them have the expertise and knowledge, both practical and theoretical, to produce this definitive risk management guide. The editors of this book, Marc Lore and Lev Borodovsky, are senior financial risk managers at Sanwa Bank (International) London, and Credit Suisse First Boston, USA respectively. They also run The Global Association of Risk Professionals (GARP), the industry association for financial risk management practitioners and researchers. - Endorsed by GARP - Global Association of Risk Professionals - Authored and edited by leading financial markets risk professionals - International in coverage; the concepts and methods covered are not specific to any country or institution, but rather to the risk management profession as a whole
Capital Markets And Finance Bibliography
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Author :
language : en
Publisher:
Release Date : 1979
Capital Markets And Finance Bibliography written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Finance categories.
Continuous Time Asset Pricing Theory
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Author : Robert A. Jarrow
language : en
Publisher: Springer Nature
Release Date : 2021-07-30
Continuous Time Asset Pricing Theory written by Robert A. Jarrow and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-07-30 with Business & Economics categories.
Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader through this theory and its applications to markets. The new edition features new results on state dependent preferences, a characterization of market efficiency and a more general presentation of multiple-factor models using only the assumptions of no arbitrage and no dominance. Taking an innovative approach based on martingales, the book presents advanced techniques of mathematical finance in a business and economics context, covering a range of relevant topics such as derivatives pricing and hedging, systematic risk, portfolio optimization, market efficiency, and equilibrium pricing models. For applications to high dimensional statistics and machine learning, new multi-factor models are given. This new edition integrates suicide trading strategies into the understanding of asset price bubbles, greatly enriching the overall presentation and further strengthening the book’s underlying theme of economic bubbles. Written by a leading expert in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is particularly well suited for graduate students in business and economics with a strong mathematical background.
Proceedings Of The Xiv International Symposium Symorg 2014
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Author : Aleksandar Marković
language : en
Publisher: FON
Release Date : 2014-06-05
Proceedings Of The Xiv International Symposium Symorg 2014 written by Aleksandar Marković and has been published by FON this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-05 with Business & Economics categories.