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Portfolio Theory
With Application to Bank Asset Management
- 1st Edition - May 10, 2014
- Author: Giorgio P. Szegö
- Editor: Karl Shell
- Language: English
- Paperback ISBN:9 7 8 - 1 - 4 8 3 2 - 4 7 2 5 - 0
- eBook ISBN:9 7 8 - 1 - 4 8 3 2 - 7 3 5 2 - 5
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… Read more
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Request a sales quotePortfolio 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.
PrefaceNotationChapter 1 Investment Decisions under Uncertainty Notes ReferencesChapter 2 Properties of the Efficient Frontier: The Nonsingular Case Examples Notes ReferencesChapter 3 Properties of the Boundary Portfolios Examples Notes ReferencesChapter 4 Orthogonal Portfolios and Covariance Among Boundary Portfolios Notes ReferencesChapter 5 Enlarging the Set of Investments: Properties of Equivalence and Dominance Examples Notes ReferencesChapter 6 Enlarging the Set of Investments with a Riskless Asset Examples Notes ReferencesChapter 7 Properties of the Efficient Frontier with One Riskless Asset Examples Notes ReferencesChapter 8 Enlarging the Set of Investments: The General Singular Case Examples Notes ReferencesChapter 9 Properties of the Efficient Frontier in the General Singular Case Examples Notes ReferencesChapter 10 Mutual Funds and Generalized Separation Examples Notes ReferencesChapter 11 Multiple Singularities and Multiple Dominance Examples Notes ReferencesChapter 12 The Portfolio Problem with Nonnegativity Constraints Examples Notes ReferencesChapter 13 Diagonal and Linear ModelsChapter 14 The Capital Asset Pricing Model Examples Notes ReferencesChapter 15 Portfolio Selection in an Inflationary or Multicurrency Environment Notes ReferencesChapter 16 Bank Assets and Portfolio Management Notes ReferencesAppendix A The Structure of the Variance-Covariance MatrixAppendix B Proof That αγ-β2 > 0Appendix c Proof of Property (2.15)Appendix D The Existence of an Orthonormal BasisAppendix E The Inverse of a Partitioned MatrixAppendix F Proof of Condition (6.17)Appendix G Construction of the Transformation Matrix KAppendix H Proof of Condition (8.49)Appendix I On the Numerical Construction of the Best Fit IndexReferencesIndex
- No. of pages: 234
- Language: English
- Edition: 1
- Published: May 10, 2014
- Imprint: Academic Press
- Paperback ISBN: 9781483247250
- eBook ISBN: 9781483273525
KS
Karl Shell
Affiliations and expertise
Cornell UniversityRead Portfolio Theory on ScienceDirect