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Produktbild: Modern Portfolio Theory

Modern Portfolio Theory Foundations, Analysis, and New Developments

Aus der Reihe Wiley Finance Editions

Fr. 125.00

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

11.01.2013

Verlag

John Wiley & Sons

Seitenzahl

576

Maße (L/B/H)

26/18.3/3.5 cm

Gewicht

1266 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-37052-0

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

11.01.2013

Verlag

John Wiley & Sons

Seitenzahl

576

Maße (L/B/H)

26/18.3/3.5 cm

Gewicht

1266 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-1-118-37052-0

Herstelleradresse

Libri GmbH
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Modern Portfolio Theory
  • Contents
     
    Preface xvii
     
    CHAPTER 1 Introduction 1
     
    1.1 The Portfolio Management Process 1
     
    1.2 The Security Analyst's Job 1
     
    1.3 Portfolio Analysis 2
     
    1.4 Portfolio Selection 5
     
    1.5 The Mathematics is Segregated 6
     
    1.6 Topics to be Discussed 6
     
    Appendix: Various Rates of Return 7
     
    PART ONE Probability Foundations
     
    CHAPTER 2 Assessing Risk 13
     
    2.1 Mathematical Expectation 13
     
    2.2 What Is Risk? 15
     
    2.3 Expected Return 16
     
    2.4 Risk of a Security 17
     
    2.5 Covariance of Returns 18
     
    2.6 Correlation of Returns 19

    2.7 Using Historical Returns 20
     
    2.8 Data Input Requirements 22
     
    2.9 Portfolio Weights 22
     
    2.10 A Portfolio's Expected Return 23
     
    2.11 Portfolio Risk 23
     
    2.12 Summary of Notations and Formulas 27
     
    CHAPTER 3 Risk and Diversification 29
     
    3.1 Reconsidering Risk 29
     
    3.2 Utility Theory 32
     
    3.3 Risk-Return Space 36
     
    3.4 Diversification 38
     
    3.5 Conclusions 41
     
    PART TWO Utility Foundations
     
    CHAPTER 4 Single-Period Utility Analysis 45
     
    4.1 Basic Utility Axioms 46
     
    4.2 The Utility of Wealth Function 47
     
    4.3 Utility of Wealth and Returns 47
     
    4.4 Expected Utility of Returns 48
     
    4.5 Risk Attitudes 52
     
    4.6 Absolute Risk Aversion 59
     
    4.7 Relative Risk Aversion 60
     
    4.8 Measuring Risk Aversion 62
     
    4.9 Portfolio Analysis 66
     
    4.10 Indifference Curves 69
     
    4.11 Summary and Conclusions 74
     
    Appendix: Risk Aversion and Indifference Curves 75
     
    PART THREE Mean-Variance Portfolio Analysis
     
    CHAPTER 5 Graphical Portfolio Analysis 85
     
    5.1 Delineating Efficient Portfolios 85
     
    5.2 Portfolio Analysis Inputs 86
     
    5.3 Two-Asset Isomean Lines 87
     
    5.4 Two-Asset Isovariance Ellipses 90
     
    5.5 Three-Asset Portfolio Analysis 92
     
    5.6 Legitimate Portfolios 102
     
    5.7 ''Unusual'' Graphical Solutions Don't Exist 103
     
    5.8 Representing Constraints Graphically 103
     
    5.9 The Interior Decorator Fallacy 103
     
    5.10 Summary 104
     
    Appendix: Quadratic Equations 105
     
    CHAPTER 6 Efficient Portfolios 113
     
    6.1 Risk and Return for Two-Asset Portfolios 113
     
    6.2 The Opportunity Set 114
     
    6.3 Markowitz Diversification 120
     
    6.4 Efficient Frontier without the Risk-Free Asset 123
     
    6.5 Introducing a Risk-Free Asset 126
     
    6.6 Summary and Conclusions 131
     
    Appendix: Equations for a Relationship between Erp) and sigmap
     
    CHAPTER 7 Advanced Mathematical Portfolio Analysis 135
     
    7.1 Efficient Portfolios without a Risk-Free Asset 135
     
    7.2 Efficient Portfolios with a Risk-Free Asset 146
     
    7.3 Identifying the Tangency Portfolio 150
     
    7.4 Summary and Conclusions 152
     
    Appendix: Mathematical Derivation of the Efficient Frontier 152
     
    CHAPTER 8 Index Models and Return-Generating Process 165
     
    8.1 Single-Index Models 165
     
    8.2 Efficient Frontier and the Single-Index Model 178
     
    8.3 Two-Index Models 186
     
    8.4 Multi-Index Models 189
     
    8.5 Conclusions 190
     
    Appendix: Index Models 191
     
    PART FOUR Non-Mean-Variance Portfolios
     
    CHAPTER 9 Non-Normal Distributions of Returns 201
     
    9.1 Stable Paretian Distributions 201
     
    9.2 The Student's t -Distribution 204
     
    9.3 Mixtures of Normal Distributions 204
     
    9.4 Poisson Jump-Diffusion Process 206
     
    9.5 L