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Author : Harry M. Markowitz
Publisher : Cambridge, Mass., USA : Blackwell
Page : 387 pages
File Size : 41,5 Mb
Release : 1990
Category : Business & Economics
ISBN : 0631178546
Mean-variance analysis in portfolio... / Markowitz, H.M.
Author : Harry M. Markowitz,G. Peter Todd
Publisher : John Wiley & Sons
Page : 404 pages
File Size : 48,9 Mb
Release : 2000-02-15
Category : Business & Economics
ISBN : 1883249759
In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.
Author : Harry Markowitz
Publisher : Unknown
Page : 387 pages
File Size : 45,7 Mb
Release : 1990
Category : Capital market
ISBN : 0631153810
Author : Neil Thompson
Publisher : Springer
Page : 223 pages
File Size : 48,8 Mb
Release : 2016-07-27
Category : Business & Economics
ISBN : 9781349228270
The book is an in-depth review of the theory and empirics of the demand for money and other financial assets. The different theoretical approaches to the portfolio choice problem are described, together with an up-to-date survey of the results obtained from empirical studies of asset choice behaviour. Both single-equation studies and the more complete multi-asset portfolio models, are analysed.
Author : Edwin J. Elton,Martin J. Gruber,Stephen J. Brown,William N. Goetzmann
Publisher : John Wiley & Sons
Page : 754 pages
File Size : 45,9 Mb
Release : 2014-01-21
Category : Business & Economics
ISBN : 9781118469941
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.
Author : Harry Markowitz
Publisher : Yale University Press
Page : 369 pages
File Size : 48,6 Mb
Release : 2008-10-01
Category : Business & Economics
ISBN : 9780300013726
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
Page : 796 pages
File Size : 40,8 Mb
Release : 2009-12-12
Category : Business & Economics
ISBN : 9780387774398
Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Author : Shouyang Wang,Yusen Xia
Publisher : Springer Science & Business Media
Page : 200 pages
File Size : 47,8 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642559341
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.
Author : John Eatwell,Murray Milgate,Peter Newman
Publisher : Springer
Page : 289 pages
File Size : 51,9 Mb
Release : 1989-09-21
Category : Business & Economics
ISBN : 9781349202133
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.
Author : Cheng-Few Lee
Publisher : Elsevier
Page : 288 pages
File Size : 43,7 Mb
Release : 2002-07-12
Category : Business & Economics
ISBN : 008054505X
Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management
Author : Anonim
Publisher : Bookboon
Page : 69 pages
File Size : 43,6 Mb
Release : 2024-05-21
Category : Electronic
ISBN : 9788776816162
Author : Frank J Fabozzi,Francesco A Fabozzi
Publisher : World Scientific
Page : 616 pages
File Size : 49,6 Mb
Release : 2020-10-12
Category : Business & Economics
ISBN : 9789811221606
This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.
Author : William F. Sharpe
Publisher : Princeton University Press
Page : 232 pages
File Size : 55,8 Mb
Release : 2011-01-01
Category : Business & Economics
ISBN : 9781400830183
In Investors and Markets, Nobel Prize-winning financial economist William Sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices. But until now asset-price analysis has largely been inaccessible to everyone except PhDs in financial economics. In this book, Sharpe changes that by setting out his state-of-the-art approach to asset pricing in a nonmathematical form that will be comprehensible to a broad range of investment professionals, including investment advisors, money managers, and financial analysts. Bridging the gap between the best financial theory and investment practice, Investors and Markets will help investment professionals make better portfolio choices by being smarter about asset prices. Based on Sharpe's Princeton Lectures in Finance, Investors and Markets presents a method of analyzing asset prices that accounts for the real behavior of investors. Sharpe makes this technique accessible through a new, one-of-a-kind computer program (available for free on his Web site, at http://www.stanford.edu/~wfsharpe/apsim/index.html) that enables users to create virtual markets, setting the starting conditions and then allowing trading until equilibrium is reached and trading stops. Program users can then analyze the final portfolios and asset prices, see expected returns, and measure risk. In addition to popularizing the most sophisticated form of asset-price analysis, Investors and Markets summarizes much of Sharpe's most important previous work and reflects a lifetime of thinking about investing by one of the leading minds in financial economics. Any serious investment professional will benefit from Sharpe's unique insights.
Author : Nils Hemming Hakansson,University of California, Berkeley. Center for Research in Management Science
Publisher : Unknown
Page : 128 pages
File Size : 48,7 Mb
Release : 1970
Category : Investments
ISBN : OCLC:3901761
Author : Jack Clark Francis,Dongcheol Kim
Publisher : John Wiley & Sons
Page : 576 pages
File Size : 49,5 Mb
Release : 2013-01-18
Category : Business & Economics
ISBN : 9781118417201
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.