Introduction to Mathematical Portfolio Theory

This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.

List of contents

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.

About the author

Mark S. Joshi is a researcher and consultant in mathematical finance, and a Professor at the University of Melbourne. His research focuses on derivatives pricing and interest rate derivatives in particular. He is the author of numerous research articles on quantitative finance and four books.

Summary

A concise yet comprehensive guide to the mathematics of portfolio theory from a modelling perspective, with discussion of the assumptions, limitations and implementations of the models as well as the theory underlying them. Aimed at advanced undergraduates, this book can be used for self-study or as a course text.

Product details

• Authors: Mark S. Joshi, Mark S. (University of Melbourne) Paterson Joshi, Mark S. Paterson Joshi, Mark. S Joshi, Jane M. Paterson, Jane. M Paterson
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Hardback
• Released: 11.07.2013
• EAN: 9781107042315
• ISBN: 978-1-107-04231-5
• No. of pages: 325
• Series: International Series on Actuarial Science; International Series on Actuarial Science
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > Economics