Portfolio Theory

With Application to Bank Asset Management

Giorgio P. Szegö, Karl Shell

• Publisher: Academic Press
• Year: 2014
• Print ISBN:
  9780126807806
• eBook ISBN:
  9781483273525
• Topic: Business
• Subtopic: Finance
• Index: Business

Portfolio Theory: With Application to Bank Asset Management provides information pertinent to the fundamental aspects of the management of bank assets and liabilities. This book presents the mean-variance approach to obtain many analytical results and a complete insight into the portfolio selection problem. Organized into 16 chapters, this book begins with an overview of the formalization of decision-making under uncertainty. This text then presents the construction and complete analysis of a Markowitz-type portfolio selection model. Other chapters consider the problems of portfolio selection in an inflationary or multicurrency environment. This book discusses as well an approximate technique for constructing a diagonal model at the cost of increasing by one the number of investments and the number of constraints. The final chapter deals with the study of the portfolio selection problem and to the analysis of the properties of the efficient set of the mean variance criterion. This book is a valuable resource for economists.

Table of contents

• Front Cover
• Portfolio Theory: With Application to Bank Asset Management
• Copyright page
• Table Contents
• Dedication
• PREFACE
• NOTATION
• CHAPTER 1. INVESTMENT DECISIONS UNDER UNCERTAINTY
• CHAPTER 2. PROPERTIES OF THE EFFICIENT FRONTIER: THE NONSINGULAR CASE
• CHAPTER 3. PROPERTIES OF THE BOUNDARY PORTFOLIOS
• CHAPTER 4. ORTHOGONAL PORTFOLIOS AND COVARIANCE AMONG BOUNDARY PORTFOLIOS
• CHAPTER 5. ENLARGING THE SET OF INVESTMENTS: PROPERTIES OF EQUIVALENCE AND DOMINANCE
• CHAPTER 6. ENLARGING THE SET OF INVESTMENTS WITH A RISKLESS ASSET
• CHAPTER 7. PROPERTIES OF THE EFFICIENT FRONTIER WITH ONE RISKLESS ASSET
• CHAPTER 8. ENLARGING THE SET OF INVESTMENTS: THE GENERAL SINGULAR CASE
• CHAPTER 9. PROPERTIES OF THE EFFICIENT FRONTIER IN THE GENERAL SINGULAR CASE
• CHAPTER 10. MUTUAL FUNDS AND GENERALIZED SEPARATION
• CHAPTER 11. MULTIPLE SINGULARITIES AND MULTIPLE DOMINANCE
• CHAPTER 12. THE PORTFOLIO PROBLEM WITH NONNEGATIVITY CONSTRAINTS
• CHAPTER 13. DIAGONAL AND LINEAR MODELS
• CHAPTER 14. THE CAPITAL ASSET PRICING MODEL
• CHAPTER 15. PORTFOLIO SELECTION IN AN INFLATIONARY OR MULTICURRENCY ENVIRONMENT
• CHAPTER 16. BANK ASSETS AND PORTFOLIO MANAGEMENT
• APPENDIX
• REFERENCES
• INDEX
• ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS