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Author : Anonim
Publisher : Bookboon
Page : 69 pages
File Size : 52,7 Mb
Release : 2024-06-15
Category : Electronic
ISBN : 9788776816162
Author : Anonim
Publisher : Bookboon
Page : 112 pages
File Size : 52,5 Mb
Release : 2024-06-15
Category : Electronic
ISBN : 9788776816056
Author : Noel Amenc,Veronique Le Sourd
Publisher : John Wiley & Sons
Page : 280 pages
File Size : 42,8 Mb
Release : 2005-01-21
Category : Business & Economics
ISBN : 9780470858752
For many years asset management was considered to be a marginal activity, but today, it is central to the development of financial industry throughout the world. Asset management's transition from an "art and craft" to an industry has inevitably called integrated business models into question, favouring specialisation strategies based on cost optimisation and learning curve objectives. This book connects each of these major categories of techniques and practices to the unifying and seminal conceptual developments of modern portfolio theory. In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession. Allows the professionals, whether managers or investors, to take a step back and clearly separate true innovations from mere improvements to well-known, existing techniques Puts into context the importance of innovations with regard to the fundamental portfolio management questions, which are the evolution of the investment management process, risk analysis and performance measurement Takes the explicit or implicit assumptions contained in the promoted tools into account and, by so doing, evaluate the inherent interpretative or practical limits
Author : Siddhartha Pratim Chakrabarty,Ankur Kanaujiya
Publisher : Springer Nature
Page : 158 pages
File Size : 53,9 Mb
Release : 2023-02-18
Category : Mathematics
ISBN : 9789811985447
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.
Author : Edwin J. Elton,Martin J. Gruber,Stephen J. Brown,William N. Goetzmann
Publisher : John Wiley & Sons
Page : 754 pages
File Size : 47,5 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 : Henrik Hult,Filip Lindskog,Ola Hammarlid,Carl Johan Rehn
Publisher : Springer Science & Business Media
Page : 343 pages
File Size : 41,9 Mb
Release : 2012-07-20
Category : Mathematics
ISBN : 9781461441038
Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.
Author : Jack Clark Francis,Dongcheol Kim
Publisher : John Wiley & Sons
Page : 576 pages
File Size : 42,6 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.
Author : Ioannis Karatzas,Constantinos Kardaras
Publisher : American Mathematical Soc.
Page : 309 pages
File Size : 55,6 Mb
Release : 2021-08-12
Category : Education
ISBN : 9781470460143
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.
Author : Leonard C MacLean,William T Ziemba
Publisher : World Scientific Publishing Company
Page : 212 pages
File Size : 55,8 Mb
Release : 2016-09-29
Category : Electronic
ISBN : 9789814759366
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.
Author : Anonim
Publisher : Bookboon
Page : 63 pages
File Size : 41,8 Mb
Release : 2024-06-15
Category : Electronic
ISBN : 9788740301137
Author : Mike Dempsey
Publisher : Routledge
Page : 377 pages
File Size : 53,6 Mb
Release : 2019-10-18
Category : Business & Economics
ISBN : 9780429754876
This textbook is designed as a core text for finance courses that cover market investments, portfolio formation, and the management of investment portfolios. As such, the text seeks to convey insight and actual wisdom as to the nature of these activities. When combined with a commitment to thinking independently, the text offers the student a rigorous preparation for entry to the funds management industry. The text is presented in three parts. In Part A, the text introduces the fundamental techniques of investment analysis: a "bottom-up" and "top-down" analysis of the firm aimed at an evaluation of the underlying share as a "buy", "hold", or a "sell" recommendation. Part B offers the reader an intuitive grasp of the nature of investment growth, both across time and across assets. Part C introduces the reader to the technicalities of portfolio construction and portfolio management. The text concludes with an assessment of the funds management industry. The text builds in step-by-step stages with Illustrative Examples that consolidate the student’s progress and understanding through each chapter. Each of parts A, B, and C (above) has sufficient material to justify a separate course. If the student has exposure to a more foundational course in finance, Parts A and B can be covered as a single course. If from other courses, the student is familiar with the essence of Parts A and B and with statistical concepts, the text can be covered as a single course. The text can therefore be presented readily at either an undergraduate or postgraduate level at a pace appropriate to the student’s prior exposure to the concepts.
Author : Harry M. Markowitz,Frank J. Fabozzi, CFA,Leonard Kostovetsky
Publisher : John Wiley & Sons
Page : 434 pages
File Size : 44,7 Mb
Release : 2004-02-19
Category : Business & Economics
ISBN : 0471489506
A practical workbook that promotes the understanding of investment management The Workbook includes a full answer key and brief chapter summaries, making the information that readers attain from The Theory and Practice of Investment Management (0-471-22889-0) that much more valuable. Harry M. Markowitz, PhD (San Diego, CA), is a consultant in the finance area. In 1990 he shared the Nobel Prize in Economics for his work in portfolio theory. Leonard Kostovetsky (Woodmere, NY) is a PhD student in finance at Princeton University. He is the founder of the Princeton Finance and Economics Forum.
Author : Anonim
Publisher : Bookboon
Page : 57 pages
File Size : 43,5 Mb
Release : 2024-06-15
Category : Electronic
ISBN : 9788776817121
Author : Marcus Schulmerich,Yves-Michel Leporcher,Ching-Hwa Eu
Publisher : Springer
Page : 476 pages
File Size : 50,5 Mb
Release : 2014-10-20
Category : Business & Economics
ISBN : 9783642554445
This book is a guide to asset and risk management from a practical point of view. It is centered around two questions triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory they should not? - How do investors deal with such crises in terms of their risk measurement and management and as a consequence, what are the implications for the chosen investment strategies? The book presents and discusses two different approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock market anomalies and historical crashes. It is intended to serve as a comprehensive introduction to asset and risk management for bachelor’s and master’s students in this field as well as for young professionals in the asset management industry. A key part of this book is the exercises to further demonstrate the concepts presented with examples and a step-by-step business case. An Excel file with the calculations and solutions for all 17 examples as well as all business case calculations can be downloaded at extras.springer.com.
Author : Anonim
Publisher : Bookboon
Page : 125 pages
File Size : 40,7 Mb
Release : 2024-06-15
Category : Electronic
ISBN : 9788776818302