Portfolio Theory
eBook - PDF

Portfolio Theory

With Application to Bank Asset Management

  1. 234 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Portfolio Theory

With Application to Bank Asset Management

About this book

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.

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Yes, you can access Portfolio Theory by Giorgio P. Szegö, Karl Shell in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

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

Table of contents

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