Szegö / Shell Portfolio Theory

With Application to Bank Asset Management
1. Auflage 2014
ISBN: 978-1-4832-7352-5
Verlag: Elsevier Science & Techn.
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 234 Seiten, Web PDF

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.

Autoren/Hrsg.

Szegö, Giorgio P.

Shell, Karl

Inhaltsverzeichnis

1;Front Cover;1
2;Portfolio Theory: With Application to Bank Asset Management;4
3;Copyright page;5
4;Table Contents;8
5;Dedication;6
6;PREFACE;12
7;NOTATION;14
8;CHAPTER 1. INVESTMENT DECISIONS UNDER UNCERTAINTY;18
8.1;NOTES AND REFERENCES;35
9;CHAPTER 2. PROPERTIES OF THE EFFICIENT FRONTIER: THE NONSINGULAR CASE;38
9.1;EXAMPLES, NOTES, AND REFERENCES;48
10;CHAPTER 3. PROPERTIES OF THE BOUNDARY PORTFOLIOS;52
10.1;EXAMPLES, NOTES, AND REFERENCES;60
11;CHAPTER 4. ORTHOGONAL PORTFOLIOS AND COVARIANCE AMONG BOUNDARY PORTFOLIOS;65
11.1;NOTES AND REFERENCES;79
12;CHAPTER 5. ENLARGING THE SET OF INVESTMENTS: PROPERTIES OF EQUIVALENCE AND DOMINANCE;80
12.1;EXAMPLES, NOTES, AND REFERENCES;85
13;CHAPTER 6. ENLARGING THE SET OF INVESTMENTS WITH A RISKLESS ASSET;88
13.1;EXAMPLES, NOTES, AND REFERENCES;99
14;CHAPTER 7. PROPERTIES OF THE EFFICIENT FRONTIER WITH ONE RISKLESS ASSET;101
14.1;EXAMPLES, NOTES, AND REFERENCES;107
15;CHAPTER 8. ENLARGING THE SET OF INVESTMENTS: THE GENERAL SINGULAR CASE;110
15.1;EXAMPLES, NOTES, AND REFERENCES;119
16;CHAPTER 9. PROPERTIES OF THE EFFICIENT FRONTIER IN THE GENERAL SINGULAR CASE;121
16.1;EXAMPLES, NOTES, AND REFERENCES;127
17;CHAPTER 10. MUTUAL FUNDS AND GENERALIZED SEPARATION;129
17.1;EXAMPLES, NOTES, AND REFERENCES;135
18;CHAPTER 11. MULTIPLE SINGULARITIES AND MULTIPLE DOMINANCE;137
18.1;EXAMPLES, NOTES, AND REFERENCES;145
19;CHAPTER 12. THE PORTFOLIO PROBLEM WITH NONNEGATIVITY CONSTRAINTS;147
19.1;EXAMPLES, NOTES, AND REFERENCES;156
20;CHAPTER 13. DIAGONAL AND LINEAR MODELS;160
21;CHAPTER 14. THE CAPITAL ASSET PRICING MODEL;170
21.1;EXAMPLES, NOTES, AND REFERENCES;177
22;CHAPTER 15. PORTFOLIO SELECTION IN AN INFLATIONARY OR MULTICURRENCY ENVIRONMENT;179
22.1;NOTES AND REFERENCES;186
23;CHAPTER 16. BANK ASSETS AND PORTFOLIO MANAGEMENT;188
23.1;NOTES AND REFERENCES;200
24;APPENDIX;202
24.1;APPENDIX A: THE STRUCTURE OF THE VARIANCE–COVARIANCE MATRIX;202
24.2;APPENDIX B: PROOF THAT a. – ß2 > 0;204
24.3;APPENDIX C: PROOF OF PROPERTY (2.15);206
24.4;APPENDIX D: THE EXISTENCE OF AN ORTHONORMAL BASIS;208
24.5;APPENDIX E: THE INVERSE OF A PARTITIONED MATRIX;210
24.6;APPENDIX F: PROOF OF CONDITION (6.17);214
24.7;APPENDIX G: CONSTRUCTION OF THE TRANSFORMATION MATRIX K;216
24.8;APPENDIX H: PROOF OF CONDITION (8.49);218
24.9;APPENDIX I: ON THE NUMERICAL CONSTRUCTION OF THE BEST FIT INDEX;220
25;REFERENCES;224
26;INDEX;228
27;ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS;233