Modern Portfolio Theory
eBook - ePub

Modern Portfolio Theory

Foundations, Analysis, and New Developments

  1. English
  2. ePUB (mobile friendly)
  3. Available on iOS & Android
eBook - ePub

Modern Portfolio Theory

Foundations, Analysis, and New Developments

Book details
Table of contents
Citations

About This Book

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.

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Information

Publisher
Wiley
Year
2013
ISBN
9781118417201
Edition
1
Topic
Business
Subtopic
Investments & Securities
Index
Business

Table of contents

  1. Cover
  2. Series Page
  3. Title Page
  4. Copyright
  5. Dedication
  6. Preface
  7. Chapter 1: Introduction
  8. Part One: Probability Foundations
  9. Part Two: Utility Foundations
  10. Part Three: Mean-Variance Portfolio Analysis
  11. Part Four: Non-Mean-Variance Portfolios
  12. Part Five: Asset Pricing Models
  13. Part Six: Implementing the Theory
  14. Mathematical Appendixes
  15. Bibliography
  16. About the Authors
  17. Author Index
  18. Subject Index