Description: Introduction to Mathematical Portfolio Theory This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance. Mark S. Joshi (Author), Jane M. Paterson (Author) 9781107042315, Cambridge University Press Hardback, published 11 July 2013 325 pages 23.4 x 15.5 x 1.9 cm, 0.64 kg In this concise yet comprehensive guide to the mathematics of modern portfolio theory the authors discuss mean-variance analysis, factor models, utility theory, stochastic dominance, very long term investing, the capital asset pricing model, risk measures including VAR, coherence, market efficiency, rationality and the modelling of actuarial liabilities. Each topic is clearly explained with assumptions, mathematics, limitations, problems and solutions presented in turn. Joshi's trademark style of clarity and practicality is here brought to classical financial mathematics. The book is suitable for mathematically trained students in actuarial studies, business and economics as well as mathematics and finance, and it can be used for both self-study and as a course text. The authors' experience as both academics and practitioners brings clarity and relevance to the book, whilst ensuring that the limitations of models are highlighted. Preface 1. Definitions of risk and return 2. Efficient portfolios: the two-asset case 3. Portfolios with a risk-free asset 4. Finding the efficient frontier – the multi-asset case 5. Single-factor models 6. Multi-factor models 7. Introducing utility 8. Utility and risk aversion 9. Foundations of utility theory 10. Maximising long-term growth 11. Stochastic dominance 12. Risk measures 13. The Capital Asset Pricing Model 14. The arbitrage pricing model 15. Market efficiency and rationality 16. Brownian motion and stock price models across time Appendix A. Matrix algebra Appendix B. Solutions References Index. Subject Areas: Probability & statistics [PBT], Mathematics [PB], Insurance & actuarial studies [KFFN], Investment & securities [KFFM], Economics [KC], Economics, finance, business & management [K], Risk assessment [GPQD]
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BIC Subject Area 1: Probability & statistics [PBT]
BIC Subject Area 2: Mathematics [PB]
BIC Subject Area 3: Insurance & actuarial studies [KFFN]
BIC Subject Area 4: Investment & securities [KFFM]
BIC Subject Area 5: Economics [KC]
BIC Subject Area 6: Economics, finance, business & management [K]
BIC Subject Area 7: Risk assessment [GPQD]
Number of Pages: 325 Pages
Language: English
Publication Name: Introduction to Mathematical Portfolio Theory
Publisher: Cambridge University Press
Publication Year: 2013
Subject: Government, Finance, Mathematics
Item Height: 234 mm
Item Weight: 640 g
Type: Textbook
Author: Jane M. Paterson, Mark S. Joshi
Series: International Series on Actuarial Science
Item Width: 155 mm
Format: Hardcover
