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Introduction To Mathematical Portfolio Theory
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Book Synopsis Introduction to Mathematical Portfolio Theory by : Mark S. Joshi
Download or read book Introduction to Mathematical Portfolio Theory written by Mark S. Joshi and published by Cambridge University Press. This book was released on 2013-07-11 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.
Book Synopsis Mathematical Portfolio Theory and Analysis by : Siddhartha Pratim Chakrabarty
Download or read book Mathematical Portfolio Theory and Analysis written by Siddhartha Pratim Chakrabarty and published by Springer Nature. This book was released on 2023-02-18 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Portfolio Theory by : E. Robert Fernholz
Download or read book Stochastic Portfolio Theory written by E. Robert Fernholz and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic portfolio theory is a mathematical methodology for constructing stock portfolios and for analyzing the effects induced on the behavior of these portfolios by changes in the distribution of capital in the market. Stochastic portfolio theory has both theoretical and practical applications: as a theoretical tool it can be used to construct examples of theoretical portfolios with specified characteristics and to determine the distributional component of portfolio return. This book is an introduction to stochastic portfolio theory for investment professionals and for students of mathematical finance. Each chapter includes a number of problems of varying levels of difficulty and a brief summary of the principal results of the chapter, without proofs.
Book Synopsis Portfolio Theory and Arbitrage: A Course in Mathematical Finance by : Ioannis Karatzas
Download or read book Portfolio Theory and Arbitrage: A Course in Mathematical Finance written by Ioannis Karatzas and published by American Mathematical Soc.. This book was released on 2021-08-12 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Modern Portfolio Theory by : Jack Clark Francis
Download or read book Modern Portfolio Theory written by Jack Clark Francis and published by John Wiley & Sons. This book was released on 2013-01-18 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Portfolio Theory and Risk Management by : Maciej J. Capiński
Download or read book Portfolio Theory and Risk Management written by Maciej J. Capiński and published by Cambridge University Press. This book was released on 2014-08-07 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous account of classical portfolio theory and a simple introduction to modern risk measures and their limitations.
Author :Christopher Hian Ann Ting Publisher :World Scientific Publishing Company ISBN 13 :9814704326 Total Pages :272 pages Book Rating :4.8/5 (147 download)
Book Synopsis An Introduction to Quantitative Finance by : Christopher Hian Ann Ting
Download or read book An Introduction to Quantitative Finance written by Christopher Hian Ann Ting and published by World Scientific Publishing Company. This book was released on 2015-09-16 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: This concise textbook provides a unique framework to introduce Quantitative Finance to advanced undergraduate and beginning postgraduate students. Inspired by Newton's three laws of motion, three principles of Quantitative Finance are proposed to help practitioners also to understand the pricing of plain vanilla derivatives and fixed income securities. The book provides a refreshing perspective on Box's thesis that "all models are wrong, but some are useful." Being practice- and market-oriented, the author focuses on financial derivatives that matter most to practitioners. The three principles of Quantitative Finance serve as buoys for navigating the treacherous waters of hypotheses, models, and gaps between theory and practice. The author shows that a risk-based parsimonious model for modeling the shape of the yield curve, the arbitrage-free properties of options, the Black-Scholes and binomial pricing models, even the capital asset pricing model and the Modigliani-Miller propositions can be obtained systematically by applying the normative principles of Quantitative Finance.
Book Synopsis Mathematics for Finance by : Marek Capinski
Download or read book Mathematics for Finance written by Marek Capinski and published by Springer. This book was released on 2006-04-18 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Book Synopsis Quantitative Equity Portfolio Management by : Edward E. Qian
Download or read book Quantitative Equity Portfolio Management written by Edward E. Qian and published by CRC Press. This book was released on 2007-05-11 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for
Book Synopsis Introduction to Mathematical Finance by : Stanley R. Pliska
Download or read book Introduction to Mathematical Finance written by Stanley R. Pliska and published by Wiley. This book was released on 1997-07-07 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to provide a rigorous yet accessible introduction to the modern financial theory of security markets. The main subjects are derivatives and portfolio management. The book is intended to be used as a text by advanced undergraduates and beginning graduate students. It is also likely to be useful to practicing financial engineers, portfolio manager, and actuaries who wish to acquire a fundamental understanding of financial theory. The book makes heavy use of mathematics, but not at an advanced level. Various mathematical concepts are developed as needed, and computational examples are emphasized.
Book Synopsis Bond Portfolio Optimization by : Michael Puhle
Download or read book Bond Portfolio Optimization written by Michael Puhle and published by Springer Science & Business Media. This book was released on 2008-01-08 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book analyzes how modern portfolio theory and dynamic term structure models can be applied to government bond portfolio optimization problems. The author studies the necessary adjustments, examines the models with regard to the plausibility of their results and compares the outcomes to portfolio selection techniques used by practitioners. Both single-period and continuous-time bond portfolio optimization problems are considered.
Book Synopsis Introduction to Risk Parity and Budgeting by : Thierry Roncalli
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Book Synopsis Modern Portfolio Theory and Investment Analysis by : Edwin J. Elton
Download or read book Modern Portfolio Theory and Investment Analysis written by Edwin J. Elton and published by John Wiley & Sons. This book was released on 2014-01-21 with total page 754 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Mathematical Location and Land Use Theory by : Tönu Puu
Download or read book Mathematical Location and Land Use Theory written by Tönu Puu and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition covers all main topics of spatial economics, plant location, and the theory of nested market areas. The book starts from the classical models of the space economy which are stated in terms of precise mathematical models. Especially, the book offers a lavish supply of computer graphics to make the results easily understandable. Extracts from reviews to the first edition: "This book is an excellent introduction to the theory of continuous location of economic activities in two-dimensional space based on differential equations and to their solution by vector calculus methods. As Puu states "good science is to be easily understood. This book is, indeed, a lucid and easily readable introduction to the fundamental concepts of spatial economic theory and the differential calculus machinery of the continuous transportation model." K. C. Mosler in "Location Science" "This book represents an honest attempt at introducing spatial economic theory. The author does not appear to be interested in showing off his obvious mathematical skills. His intention is to summarize the accumulated knowledge in the field and present the main results in a simple manner. He does an admirable job. Of help are the high-quality graphics, the omission of semicooked ideas and messy results, and the author's extensive experience on the subject over a long period of time." P. S. Kanaroglou in "Environment and Planning"
Book Synopsis The Concepts and Practice of Mathematical Finance by : Mark S. Joshi
Download or read book The Concepts and Practice of Mathematical Finance written by Mark S. Joshi and published by Cambridge University Press. This book was released on 2008-10-30 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.
Book Synopsis Option Pricing and Portfolio Optimization by : Ralf Korn
Download or read book Option Pricing and Portfolio Optimization written by Ralf Korn and published by American Mathematical Soc.. This book was released on 2001 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Banks and financial houses all over the world recognize this and are avidly recruiting mathematicians, physicists, and other scientists with these skills. The mathematics involved in modern finance springs from the heart of probability and analysis: the Itô calculus, stochastic control, differential equations, martingales, and so on. The authors give rigorous treatments of these topics, while always keeping the applications in mind. Thus, the way in which the mathematics is developed is governed by the way it will be used, rather than by the goal of optimal generality. Indeed, most of purely mathematical topics are treated in extended "excursions" from the applications into the theory. Thus, with the main topic of financial modelling and optimization in view, the reader also obtains a self-contained and complete introduction to the underlying mathematics. This book is specifically designed as a graduate textbook. It could be used for the second part of a course in probability theory, as it includes as applied introduction to the basics of stochastic processes (martingales and Brownian motion) and stochastic calculus. It would also be suitable for a course in continuous-time finance that assumes familiarity with stochastic processes. The prerequisites are basic probability theory and calculus. Some background in stochastic processes would be useful, but not essential.
Book Synopsis Portfolio Theory & Financial Analyses by :
Download or read book Portfolio Theory & Financial Analyses written by and published by Bookboon. This book was released on with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
