Francis / Kim Modern Portfolio Theory

Foundations, Analysis, and New Developments
1. Auflage 2013
ISBN: 978-1-118-41720-1
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 576 Seiten, E-Book

Reihe: Wiley Finance Editions

A through guide covering Modern Portfolio Theory as well as therecent developments surrounding it
Modern portfolio theory (MPT), which originated with HarryMarkowitz's seminal paper "Portfolio Selection" in 1952, has stoodthe test of time and continues to be the intellectual foundationfor real-world portfolio management. This book presents acomprehensive picture of MPT in a manner that can be effectivelyused by financial practitioners and understood by students.
Modern Portfolio Theory provides a summary of theimportant findings from all of the financial research done sinceMPT was created and presents all the MPT formulas and models usingone consistent set of mathematical symbols. Opening with aninformative introduction to the concepts of probability and utilitytheory, it quickly moves on to discuss Markowitz's seminal work onthe topic with a thorough explanation of the underlyingmathematics.
* Analyzes portfolios of all sizes and types, shows how theadvanced findings and formulas are derived, and offers a conciseand comprehensive review of MPT literature
* Addresses logical extensions to Markowitz's work, including theCapital Asset Pricing Model, Arbitrage Pricing Theory, portfolioranking models, and performance attribution
* Considers stock market developments like decimalization, highfrequency trading, and algorithmic trading, and reveals how theyalign with MPT
* Companion Website contains Excel spreadsheets that allow you tocompute and graph Markowitz efficient frontiers with riskless andrisky assets
If you want to gain a complete understanding of modern portfoliotheory this is the book you need to read.

Autoren/Hrsg.

Francis, Jack Clark

Kim, Dongcheol

Über Autor(innen)

JACK CLARK FRANCIS is Professor of Economics and Financeat Bernard M. Baruch College in New York City. His research focuseson investments, banking, and monetary economics, and he has haddozens of articles published in many refereed academic, business,and government journals. Dr. Francis was an assistant professor offinance at the University of Pennsylvania's Wharton School ofFinance for five years and was a Federal Reserve economist for twoyears. He received his bachelor's and MBA from Indiana Universityand earned his PhD in finance from the University of Washington inSeattle.
Dongcheol Kim is a Professor of Finance at KoreaUniversity in Seoul. He served as president of the Korea SecuritiesAssociation and editor-in-chief of the Asia-Pacific Journal ofFinancial Studies. Previously, he was a finance professor atRutgers University. Kim has published articles in FinancialManagement, the Accounting Review, Journal of Financial andQuantitative Analysis, Journal of Economic Research, Journal ofFinance, and Journal of the Futures Market.