Introduction to mathematical portfolio theory
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2013
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| Ausgabe: | 1. publ. |
| Schriftenreihe: | International series on actuarial science
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| Online-Zugang: | Inhaltsverzeichnis |
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| 100 | 1 | |a Joshi, Mark S. |d 1969- |e Verfasser |0 (DE-588)12898693X |4 aut | |
| 245 | 1 | 0 | |a Introduction to mathematical portfolio theory |c Mark S. Joshi ; Jane M. Paterson |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2013 | |
| 300 | |a XII, 314 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a International series on actuarial science | |
| 650 | 0 | 7 | |a Portfoliomanagement |0 (DE-588)4115601-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804150692874551297 |
|---|---|
| adam_text | CONTENTS
PREFACE PAGE XI
1
1
2
3
5
9
9
10
12
12
13
15
20
21
21
24
24
26
29
30
34
36
36
FINDING THE EFFICIENT FRONTIER - THE MULTI-ASSET CASE 39
4.1 FINDING THE TANGENT PORTFOLIO 39
4.2 GEOMETRY OF THE FRONTIER 40
DEFINITIONS OF RISK AND RETURN
1.1
1.2
1.3
1.4
1.5
1.6
1.7
INTRODUCTION
MEASURING RETURN
PORTFOLIO CONSTRAINTS
DEFINING RISK WITH VARIANCE
OTHER RISK MEASURES
REVIEW
PROBLEMS
EFFICIENT PORTFOLIOS: THE TWO-ASSET CASE
2.1
2.2
2.3
2.4
DEFINING EFFICIENCY
TWO-ASSET PORTFOLIOS
2.2.1 THE EFFECT OF CORRELATION
2.2.2 CLASSIFYING THE CURVES
REVIEW
PROBLEMS
PORTFOLIOS WITH A RISK-FREE ASSET
3.1
3.2
3.3
3.4
3.5
3.6
3.7
THE RISK-FREE ASSET
EFFICIENCY WITH A RISK-FREE ASSET
TANGENT PORTFOLIOS
EXAMPLES
BORROWING RESTRICTIONS
REVIEW
PROBLEMS
VI CONTENTS
4.3 THE MINIMAL VARIANCE PORTFOLIO 42
4.4 ILLUSTRATING THE METHOD 43
4.5 THE DERIVATION OF THE ALGORITHM 44
4.6 SOLUTION VIA LAGRANGE MULTIPLIERS 52
4.7 REVIEW 53
4.8 PROBLEMS 54
5 SINGLE-FACTOR MODELS 57
5.1 INTRODUCTION 57
5.2 MATHEMATICAL FORMULATION OF THE SINGLE-FACTOR MODEL 58
5.3 DATA REQUIREMENTS FOR THE SINGLE-FACTOR MODEL 59
5.4 UNDERSTANDING BETA 60
5.5 TECHNIQUES FOR PARAMETER ESTIMATION 62
5.6 ASSESSING ESTIMATES 64
5.7 PORTFOLIO BETAS 67
5.8 BLUME S TECHNIQUE 67
5.9 FUNDAMENTAL ANALYSIS 70
5.10 REVIEW 71
5.11 PROBLEMS 72
6 MULTI-FACTOR MODELS 75
6.1 MATHEMATICAL FORMULATION 75
6.2 TYPES OF MULTI-FACTOR MODELS 78
. 6.3 ORTHOGONALISATION FOR MULTI-FACTOR MODELS 79
6.4 REVIEW 84
6.5 PROBLEMS 84
7 INTRODUCING UTILITY 88
7.1 LIMITATIONS OF MEAN-VARIANCE ANALYSIS 88
7.2 DEFINING UTILITY 90
7.3 PROPERTIES OF UTILITY FUNCTIONS 91
7.4 QUADRATIC UTILITY AND PORTFOLIO THEORY 93
7.5 INDIFFERENCE CURVES 94
7.6 APPROXIMATING WITH QUADRATIC UTILITY 95
7.7 INDIFFERENCE PRICING 96
7.8 REVIEW . - 98
7.9 PROBLEMS 98
8 UTILITY AND RISK AVERSION 102
8.1 RISK AVERSION AND CURVATURE 102
8.2 ABSOLUTE RISK AVERSION 103
8.3 RELATIVE RISK AVERSION 105
8.4 VARYING THE UTILITY FUNCTION 107
CONTENTS VII
8.5 ST PETERSBURG REVISITED 109
8.6 REVIEW 110
8.7 PROBLEMS 110
9 FOUNDATIONS OF UTILITY THEORY 113
9.1 ANALYSING UTILITY THEORY THROUGH EXPERIMENTAL ECONOMICS 113
9.2 THE RATIONAL INVESTOR 115
9.3 THE RATIONAL EXPECTATIONS THEOREM 117
9.4 REVIEW 121
9.5 PROBLEMS 121
10 MAXIMISING LONG-TERM GROWTH 122
10.1 GEOMETRIC MEANS 122
10.2 KELLY S THEOREM 125
10.3 REVIEW . 130
10.4 PROBLEMS 130
11 STOCHASTIC DOMINANCE 133
11.1 INTRODUCTION 133
133
134
138
145
145
12 RISK MEASURES 148
148
149
152
154
154
158
160
162
165
165
166
167
168
13 THE CAPITAL ASSET PRICING MODEL 169
169
169
11.2
11.3
11.4
11.5
11.6
DOMINANCE
FIRST-ORDER STOCHASTIC DOMINANCE
SECOND-ORDER STOCHASTIC DOMINANCE
REVIEW
PROBLEMS
RISK MEASURES
12.1
12.2
12.3
12.4
12.5
12.6
12.7
12.8
12.9
12.10
12.11
12.12
12.13
INTRODUCTION
VALUE-AT-RISK
COMPUTING VAR
VAR ESTIMATES AND EXCESSES
EVALUATING RISK MEASURES
OTHER RISK MEASURES AND THE AXIOMS
CONDITIONAL EXPECTED SHORTFALL
CES AND THE COHERENCE AXIOMS
RISK MEASURES AND UTILITY
ECONOMIC CAPITAL MODELLING
REVIEW
PROBLEMS
ADDITIONAL PROBLEMS
THE CAPITAL ASSET PRICING MODEL
13.1
13.2
INTRODUCTION
FROM TANGENT TO MARKET
VIII CONTENTS
14
15
13.3 ASSESSING THE CAPM ASSUMPTIONS
13.4 USING CAPM
13.5 IMPLEMENTING CAPM
13.6 ELIMINATING THE RISK-FREE ASSET
13.7 TESTING CAPM
13.8 ROLL S OBJECTION
13.9 REVIEW
13.10 PROBLEMS
THE ARBITRAGE PRICING MODEL
14.1 INTRODUCTION
14.2 DEFINING ARBITRAGE
14.3 THE ONE-STEP BINOMIAL TREE
14.4 THE PRINCIPLE OF NO ARBITRAGE
14.5 USING REPLICATION TO PRICE A CALL OPTION
14.6 RISK-NEUTRALITY
14.7 INTEREST RATES AND DISCOUNTING
14.8 THE TRINOMIAL TREE AND LIMITATIONS OF NO ARBITRAGE
14.9 ARBITRAGE AND RANDOMNESS
14.10 ARBITRAGE PRICING THEORY
14.11 COMPUTATIONS
14.12 AN ALTERNATIVE APPROACH TO COMPUTATION
14.13 INTRODUCING REALISM
14.14 APT VERSUS CAPM
14.15 APT IN PRACTICE
14.16 APPLICATIONS OF APT
14.17 CRITICISING APT
14.18 REVIEW
14.19 PROBLEMS
MARKET EFFICIENCY AND RATIONALITY
15.1 INTRODUCTION
15.2 DEFINING EFFICIENCY
15.3 TESTING EFFICIENCY
15.4 ANOMALIES
15.5 CONCLUSIONS ON EFFICIENCY
15.6 RATIONALITY
15.7 FAMOUS BUBBLES
15.8 JUSTIFYING HIGH STOCK PRICES
15.9 FURTHER READING
15.10 REVIEW
173
173
173
174
176
178
179
180
182
182
182
183
184
184
185
186
188
189
190
192
196
197
197
198
199
199
200
200
203
203
203
206
207
209
210
211
213
213
213
CONTENTS IX
15.11 QUESTIONS 214
16 BROWNIAN MOTION AND STOCK PRICE MODELS ACROSS TIME 215
16.1 INTRODUCTION 215
16.2 BROWNIAN MOTION 215
16.3 DIFFERENTIABILITY PROPERTIES OF BROWNIAN MOTION 216
16.4 COMPUTING WITH BROWNIAN MOTION 219
16.5 MORE PROPERTIES 220
16.6 ARITHMETIC AND GEOMETRIC BROWNIAN MOTIONS 222
16.7 LOG-NORMAL MODELS FOR STOCK PRICES 224
16.8 AUTO-REGRESSIVE PROCESSES 226
16.9 THE WILKIE MODEL 227
16.10 USING THE WILKIE MODEL 230
16.11 REVIEW 231
16.12 QUESTIONS 232
APPENDIX A MATRIX ALGEBRA 234
APPENDIX B SOLUTIONS 238
REFERENCES 309
INDEX 311
|
| any_adam_object | 1 |
| author | Joshi, Mark S. 1969- Paterson, Jane M. |
| author_GND | (DE-588)12898693X (DE-588)1043521011 |
| author_facet | Joshi, Mark S. 1969- Paterson, Jane M. |
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| author_sort | Joshi, Mark S. 1969- |
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| building | Verbundindex |
| bvnumber | BV041241570 |
| classification_rvk | QK 810 SK 980 |
| ctrlnum | (OCoLC)859380106 (DE-599)HBZHT017648998 |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| isbn | 9781107042315 |
| language | English |
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| spelling | Joshi, Mark S. 1969- Verfasser (DE-588)12898693X aut Introduction to mathematical portfolio theory Mark S. Joshi ; Jane M. Paterson 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2013 XII, 314 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier International series on actuarial science Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Finanzmathematik (DE-588)4017195-4 s b DE-604 Paterson, Jane M. Verfasser (DE-588)1043521011 aut SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026215762&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Joshi, Mark S. 1969- Paterson, Jane M. Introduction to mathematical portfolio theory Portfoliomanagement (DE-588)4115601-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4017195-4 |
| title | Introduction to mathematical portfolio theory |
| title_auth | Introduction to mathematical portfolio theory |
| title_exact_search | Introduction to mathematical portfolio theory |
| title_full | Introduction to mathematical portfolio theory Mark S. Joshi ; Jane M. Paterson |
| title_fullStr | Introduction to mathematical portfolio theory Mark S. Joshi ; Jane M. Paterson |
| title_full_unstemmed | Introduction to mathematical portfolio theory Mark S. Joshi ; Jane M. Paterson |
| title_short | Introduction to mathematical portfolio theory |
| title_sort | introduction to mathematical portfolio theory |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Portfoliomanagement Finanzmathematik |
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