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Modern portfolio theory : foundations, analysis, and new developments + website /
A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper ""Portfolio Selection"" in 1952, has stood the test of time and continues to be the intelle...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley,
©2013.
|
| Temas: | |
| Acceso en línea: | Texto completo Texto completo |
MARC
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| 100 | 1 | |a Francis, Jack Clark. | |
| 245 | 1 | 0 | |a Modern portfolio theory : |b foundations, analysis, and new developments + website / |c Jack Clark Francis, Dongcheol Kim. |
| 260 | |a Hoboken, N.J. : |b Wiley, |c ©2013. | ||
| 300 | |a 1 online resource | ||
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| 500 | |a Includes index. | ||
| 588 | 0 | |a Print version record and CIP data provided by publisher. | |
| 504 | |a Includes bibliographical references and indexes. | ||
| 505 | 0 | |a pt. 1. Probability foundations -- pt. 2. Utility foundations -- pt. 3. Mean-variance portfolio analysis -- pt. 4. Non-mean-variance portfolios -- pt. 5. Asset pricing models -- pt. 6. Implementing the theory. | |
| 520 | |a A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper ""Portfolio Selection"" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students. Modern Portfolio Theory provides a summary of the important findings from all of the financial research don | ||
| 542 | |f Copyright © John Wiley & Sons |g 2013 | ||
| 590 | |a O'Reilly |b O'Reilly Online Learning: Academic/Public Library Edition | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Portfolio management. | |
| 650 | 0 | |a Risk management. | |
| 650 | 0 | |a Investment analysis. | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Gestion de portefeuille. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Analyse financière. | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Investment analysis |2 fast | |
| 650 | 7 | |a Portfolio management |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 700 | 1 | |a Kim, Dongcheol, |d 1955- |1 https://id.oclc.org/worldcat/entity/E39PCjKcPRHXXTPwgvqRJFPd43 | |
| 758 | |i has work: |a Modern portfolio theory (Text) |1 https://id.oclc.org/worldcat/entity/E39PCFQdjHjVh4VxJDRqCFh8Yd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Francis, Jack Clark. |t Modern portfolio theory. |d Hoboken, N.J. : Wiley, ©2013 |z 9781118370520 |w (DLC) 2012032323 |
| 856 | 4 | 0 | |u https://learning.oreilly.com/library/view/~/9781118417201/?ar |z Texto completo |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=1113504 |z Texto completo |
| 880 | 0 | 0 | |6 505-00/(S |g Machine generated contents note: |g ch. 1 |t Introduction -- |g 1.1. |t Portfolio Management Process -- |g 1.2. |t Security Analyst's Job -- |g 1.3. |t Portfolio Analysis -- |g 1.3.1. |t Basic Assumptions -- |g 1.3.2. |t Reconsidering the Assumptions -- |g 1.4. |t Portfolio Selection -- |g 1.5. |t Mathematics is Segregated -- |g 1.6. |t Topics to be Discussed -- |t Appendix: Various Rates of Return -- |g A1.1. |t Calculating the Holding Period Return -- |g A1.2. |t After-Tax Returns -- |g A1.3. |t Discrete and Continuously Compounded Returns -- |g ch. 2 |t Assessing Risk -- |g 2.1. |t Mathematical Expectation -- |g 2.2. |t What Is Risk-- |g 2.3. |t Expected Return -- |g 2.4. |t Risk of a Security -- |g 2.5. |t Covariance of Returns -- |g 2.6. |t Correlation of Returns -- |g 2.7. |t Using Historical Returns -- |g 2.8. |t Data Input Requirements -- |g 2.9. |t Portfolio Weights -- |g 2.10. |t Portfolio's Expected Return -- |g 2.11. |t Portfolio Risk -- |g 2.12. |t Summary of Notations and Formulas -- |g ch. 3 |t Risk and Diversification -- |g 3.1. |t Reconsidering Risk -- |g 3.1.1. |t Symmetric Probability Distributions -- |g 3.1.2. |t Fundamental Security Analysis -- |g 3.2. |t Utility Theory -- |g 3.2.1. |t Numerical Example -- |g 3.2.2. |t Indifference Curves -- |g 3.3. |t Risk-Return Space -- |g 3.4. |t Diversification -- |g 3.4.1. |t Diversification Illustrated -- |g 3.4.2. |t Risky A + Risky B = Riskless Portfolio -- |g 3.4.3. |t Graphical Analysis -- |g 3.5. |t Conclusions -- |g ch. 4 |t Singe-Period Utility Analysis -- |g 4.1. |t Basic Utility Axioms -- |g 4.2. |t Utility of Wealth Function -- |g 4.3. |t Utility of Wealth and Returns -- |g 4.4. |t Expected Utility of Returns -- |g 4.5. |t Risk Attitudes -- |g 4.5.1. |t Risk Aversion -- |g 4.5.2. |t Risk-Loving Behavior -- |g 4.5.3. |t Risk-Neutral Behavior -- |g 4.6. |t Absolute Risk Aversion -- |g 4.7. |t Relative Risk Aversion -- |g 4.8. |t Measuring Risk Aversion -- |g 4.8.1. |t Assumptions -- |g 4.8.2. |t Power, Logarithmic, and Quadratic Utility -- |g 4.8.3. |t Isoelastic Utility Functions -- |g 4.8.4. |t Myopic, but Optimal -- |g 4.9. |t Portfolio Analysis -- |g 4.9.1. |t Quadratic Utility Functions -- |g 4.9.2. |t Using Quadratic Approximations to Delineate Max[E(Utility)] Portfolios -- |g 4.9.3. |t Normally Distributed Returns -- |g 4.10. |t Indifference Curves -- |g 4.10.1. |t Selecting Investments -- |g 4.10.2. |t Risk-Aversion Measures -- |g 4.11. |t Summary and Conclusions -- |t Appendix: Risk Aversion and Indifference Curves -- |g A4.1. |t Absolute Risk Aversion (ARA) -- |g A4.2. |t Relative Risk Aversion (RRA) -- |g A4.3. |t Expected Utility of Wealth -- |g A4.4. |t Slopes of Indifference Curves -- |g A4.5. |t Indifference Curves for Quadratic Utility -- |g ch. 5 |t Graphical Portfolio Analysis -- |g 5.1. |t Delineating Efficient Portfolios -- |g 5.2. |t Portfolio Analysis Inputs -- |g 5.3. |t Two-Asset Isomean Lines -- |g 5.4. |t Two-Asset Isovariance Ellipses -- |g 5.5. |t Three-Asset Portfolio Analysis -- |g 5.5.1. |t Solving for One Variable Implicitly -- |g 5.5.2. |t Isomean Lines -- |g 5.5.3. |t Isovariance Ellipses -- |g 5.5.4. |t Critical Line -- |g 5.5.5. |t Inefficient Portfolios -- |g 5.6. |t Legitimate Portfolios -- |g 5.7. |t "Unusual" Graphical Solutions Don't Exist -- |g 5.8. |t Representing Constraints Graphically -- |g 5.9. |t Interior Decorator Fallacy -- |g 5.10. |t Summary -- |t Appendix: Quadratic Equations -- |g A5.1. |t Quadratic Equations -- |g AS.2. |t Analysis of Quadratics in Two Unknowns -- |g A5.3. |t Analysis of Quadratics in One Unknown -- |g A5.4. |t Solving an Ellipse -- |g A5.5. |t Solving for Lines Tangent to a Set of Ellipses -- |g ch. 6 |t Efficient Portfolios -- |g 6.1. |t Risk and Return for Two-Asset Portfolios -- |g 6.2. |t Opportunity Set -- |g 6.2.1. |t Two-Security Case -- |g 6.2.2. |t Minimizing Risk in the Two-Security Case -- |g 6.2.3. |t Three-Security Case -- |g 6.2.4. |t n-Security Case -- |g 6.3. |t Markowitz Diversification -- |g 6.4. |t Efficient Frontier without the Risk-Free Asset -- |g 6.5. |t Introducing a Risk-Free Asset -- |g 6.6. |t Summary and Conclusions -- |t Appendix: Equations for a Relationship between E(rp) and σp -- |g ch. 7 |t Advanced Mathematical Porttollo Analysis -- |g 7.1. |t Efficient Portfolios without a Risk-Free Asset -- |g 7.1.1. |t General Formulation -- |g 7.1.2. |t Formulating with Concise Matrix Notation -- |g 7.1.3. |t Two-Fund Separation Theorem -- |g 7.1.4. |t Caveat about Negative Weights -- |g 7.2. |t Efficient Portfolios with a Risk-Free Asset -- |g 7.3. |t Identifying the Tangency Portfolio -- |g 7.4. |t Summary and Conclusions -- |t Appendix: Mathematical Derivation of the Efficient Frontier -- |g A7.1. |t No Risk-Free Asset -- |g A7.2. |t With a Risk-Free Asset -- |g ch. 8 |t Index Models and Return-Generating Process -- |g 8.1. |t Single-Index Models -- |g 8.1.1. |t Return-Generating Functions -- |g 8.1.2. |t Estimating the Parameters -- |g 8.1.3. |t Single-Index Model Using Excess Returns -- |g 8.1.4. |t Riskless Rate Can Fluctuate -- |g 8.1.5. |t Diversification -- |g 8.1.6. |t About the Single-Index Model -- |g 8.2. |t Efficient Frontier and the Single-Index Model -- |g 8.3. |t Two-Index Models -- |g 8.3.1. |t Generating Inputs -- |g 8.3.2. |t Diversification -- |g 8.4. |t Multi-Index Models -- |g 8.5. |t Conclusions -- |t Appendix: Index Models -- |g A8.1. |t Solving for Efficient Portfolios with the Single-Index Model -- |g A8.2. |t Variance Decomposition -- |g A8.3. |t Orthogonalizing Multiple Indexes -- |g ch. 9 |t Non-Normal Distributions of Returns -- |g 9.1. |t Stable Paretian Distributions -- |g 9.2. |t Student's t-Distribution -- |g 9.3. |t Mixtures of Normal Distributions -- |g 9.3.1. |t Discrete Mixtures of Normal Distributions -- |g 9.3.2. |t Sequential Mixtures of Normal Distributions -- |g 9.4. |t Poisson Jump-Diffusion Process -- |g 9.5. |t Lognormal Distributions -- |g 9.5.1. |t Specifications of Lognormal Distributions -- |g 9.5.2. |t Portfolio Analysis under Lognormality -- |g 9.6. |t Conclusions -- |g ch. 10 |t Non-Mean-Variance Investment Decisions -- |g 10.1. |t Geometric Mean Return Criterion -- |g 10.1.1. |t Maximizing the Terminal Wealth -- |g 10.1.2. |t Log Utility and the GMR Criterion -- |g 10.1.3. |t Diversification and the GMR -- |g 10.2. |t Safety-First Criterion -- |g 10.2.1. |t Roy's Safety-First Criterion -- |g 10.2.2. |t Kataoka's Safety-First Criterion -- |g 10.2.3. |t Telser's Safety-First Criterion -- |g 10.3. |t Semivariance Analysis -- |g 10.3.1. |t Definition of Semivariance -- |g 10.3.2. |t Utility Theory -- |g 10.3.3. |t Portfolio Analysis with the Semivariance -- |g 10.3.4. |t Capital Market Theory with the Semivariance -- |g 10.3.5. |t Summary about Semivariance -- |g 10.4. |t Stochastic Dominance Criterion -- |g 10.4.1. |t First-Order Stochastic Dominance -- |g 10.4.2. |t Second-Order Stochastic Dominance -- |g 10.4.3. |t Third-Order Stochastic Dominance -- |g 10.4.4. |t Summary of Stochastic Dominance Criterion -- |g 10.5. |t Mean-Variance-Skewness Analysis -- |g 10.5.1. |t Only Two Moments Can Be Inadequate -- |g 10.5.2. |t Portfolio Analysis in Three Moments -- |g 10.5.3. |t Efficient Frontier in Three-Dimensional Space -- |g 10.5.4. |t Undiversifiable Risk and Undiversifiable Skewness -- |g 10.6. |t Summary and Conclusions -- |t Appendix A: Stochastic Dominance -- |g A10.1. |t Proof for First-Order Stochastic Dominance -- |g A10.2. |t Proof That FA(r) <or = to FB(r) Is Equivalent to EA(r)> or = to EB(r) for Positive r -- |g A10.3. |t Proof for Second-Order Stochastic Dominance -- |g A10.4. |t Proof for Third-Order Stochastic Dominance -- |t Appendix B: Expected Utility as a Function of Three Moments -- |g ch. |
| 880 | 0 | 0 | |6 505-00/(S |g Contents note continued: |g 14.3.2. |t Sensitivity of Beta to the Return Measurement Intervals -- |g 14.4. |t Multivariate Tests -- |g 14.4.1. |t Gibbons's (1982) Test -- |g 14.4.2. |t Stambaugh's (1982) Test -- |g 14.4.3. |t Jobson and Korkie's (1982) Test -- |g 14.4.4. |t Shanken's (1985) Test -- |g 14.4.5. |t Generalized Method of Moment (GMM) Tests -- |g 14.5. |t Is the CAPM Testable-- |g 14.6. |t Summary and Conclusions -- |g ch. 15 |t Continuous-Time Asset Pricing Models -- |g 15.1. |t Intertemporal CAPM (ICAPM) -- |g 15.2. |t Consumption-Based CAPM (CCAPM) -- |g 15.2.1. |t Derivation -- |g 15.2.2. |t Consumption-Based CAPM with a Power Utility Function -- |g 15.3. |t Conclusions -- |t Appendix: Lognormality and the Consumption-Based CAPM -- |g A15.1. |t Lognormality -- |g A15.2. |t Consumption-Based CAPM with Lognormality -- |g ch. 16 |t Arbitrage Pricing Theory -- |g 16.1. |t Arbitrage Concepts -- |g 16.2. |t Index Arbitrage -- |g 16.2.1. |t Basic Ideas of Index Arbitrage -- |g 16.2.2. |t Index Arbitrage and Program Trading -- |g 16.2.3. |t Use of ETFs for Index Arbitrage -- |g 16.3. |t Asset Pricing Equation -- |g 16.3.1. |t One Single Factor with No Residual Risk -- |g 16.3.2. |t Two Factors with No Residual Risk -- |g 16.3.3. |t K Factors with No Residual Risk -- |g 16.3.4. |t K Factors with Residual Risk -- |g 16.4. |t Asset Pricing on a Security Market Plane -- |g 16.5. |t Contrasting APT with CAPM -- |g 16.6. |t Empirical Evidence -- |g 16.7. |t Comparing the APT and CAPM Empirically -- |g 16.8. |t Conclusions -- |g ch. 17 |t Portfolio Construction and Selection -- |g 17.1. |t Efficient Markets -- |g 17.1.1. |t Fama's Classifications -- |g 17.1.2. |t Formal Models -- |g 17.2. |t Using Portfolio Theories to Construct and Select Portfolios -- |g 17.3. |t Security Analysis -- |g 17.4. |t Market Timing -- |g 17.4.1. |t Forecasting Beta -- |g 17.4.2. |t Nonstationarity of Beta -- |g 17.4.3. |t Determinants of Beta -- |g 17.5. |t Diversification -- |g 17.5.1. |t Simple Diversification -- |g 17.5.2. |t Timing and Diversification -- |g 17.5.3. |t International Diversification -- |g 17.6. |t Constructing an Active Portfolio -- |g 17.7. |t Portfolio Revision -- |g 17.7.1. |t Portfolio Revision Costs -- |g 17.7.2. |t Controlled Transition -- |g 17.7.3. |t Attainable Efficient Frontier -- |g 17.7.4. |t Turnover-Constrained Approach -- |g 17.8. |t Summary and Conclusions -- |t Appendix: Proofs for Some Ratios from Active Portfolios -- |g A17.1. |t Proof for αA/σ2epsilonA = ΣKi=1 (αi/σ2epsiloni) -- |g A17.2. |t Proof for (αAβA/σ2epsilonA) = ΣKi=1 (αiβi/σ2epsiloni) -- |g A17.3. |t Proof for (αA2/σ2epsilonA) = ΣKi=1 (αi2/σ2epsiloni) -- |g ch. 18 |t Portfolio Performance Evaluation -- |g 18.1. |t Mutual Fund Returns -- |g 18.2. |t Portfolio Performance Analysis in the Good Old Days -- |g 18.3. |t Capital Market Theory Assumptions -- |g 18.4. |t Single-Parameter Portfolio Performance Measures -- |g 18.4.1. |t Sharpe's Reward-to-Variability Ratio -- |g 18.4.2. |t Treynor's Reward-to-Risk Ratio -- |g 18.4.3. |t Jensen's Measure -- |g 18.4.4. |t Information Ratio (or Appraisal Ratio) -- |g 18.4.5. |t M2 Measure -- |g 18.5. |t Market Timing -- |g 18.5.1. |t Interpreting the Market Timing Coefficient -- |g 18.5.2. |t Henriksson and Merton's Model -- |g 18.5.3. |t Descriptive Comments -- |g 18.6. |t Comparing Single-Parameter Portfolio Performance Measures -- |g 18.6.1. |t Ranking Undiversified Investments -- |g 18.6.2. |t Contrasting the Three Models -- |g 18.6.3. |t Survivorship Bias -- |g 18.7. |t Index of Total Portfolio Risk (ITPR) and the Portfolio Beta -- |g 18.8. |t Measurement Problems -- |g 18.8.1. |t Measurement of the Market Portfolio's Returns -- |g 18.8.2. |t Nonstationarity of Portfolio Return Distributions -- |g 18.9. |t Do Winners or Losers Repeat-- |g 18.10. |t Summary about Investment Performance Evaluation -- |t Appendix: Sharpe Ratio of an Active Portfolio -- |g A18.1. |t Proof that S2q = S2m + [αA/σ(epsilonA)]2 -- |g ch. 19 |t Performance Attribution -- |g 19.1. |t Factor Model Analysis -- |g 19.2. |t Return-Based Style Analysis -- |g 19.3. |t Return Decomposition-Based Analysis -- |g 19.4. |t Conclusions -- |g 19.4.1. |t Detrimental Uses of Portfolio Performance Attribution -- |g 19.4.2. |t Symbiotic Possibilities -- |t Appendix: Regression Coefficients Estimation with Constraints -- |g A19.1. |t With No Constraints -- |g A19.2. |t With the Constraint of ΣKk=1βik = 1 -- |g ch. 20 |t Stock Market Developments -- |g 20.1. |t Recent NYSE Consolidations -- |g 20.1.1. |t Archipelago -- |g 20.1.2. |t Pacific Stock Exchange (PSE) -- |g 20.1.3. |t ArcaEx -- |g 20.1.4. |t New York Stock Exchange (NYSE) -- |g 20.1.5. |t NYSE Group -- |g 20.1.6. |t NYSE Diversifies Internationally -- |g 20.1.7. |t NYSE Alliances -- |g 20.2. |t International Securities Exchange (ISE) -- |g 20.3. |t Nasdaq -- |g 20.3.1. |t London Stock Exchange (LSE) -- |g 20.3.2. |t OMX Group -- |g 20.3.3. |t Bourse Dubai -- |g 20.3.4. |t Boston Stock Exchange (BSE) -- |g 20.3.5. |t Philadelphia Stock Exchange (PHLX) -- |g 20.4. |t Downward Pressures on Transactions Costs -- |g 20.4.1. |t National Market System (NMS) -- |g 20.4.2. |t SEC's Reg ATS -- |g 20.4.3. |t Reg FD -- |g 20.4.4. |t Decimalization of Stock Prices -- |g 20.4.5. |t Technological Advances -- |g 20.5. |t Venerable Limit Order -- |g 20.5.1. |t What Are Limit Orders-- |g 20.5.2. |t Creating Market Liquidity -- |g 20.6. |t Market Microstructure -- |g 20.6.1. |t Inventory Management -- |g 20.6.2. |t Brokers -- |g 20.7. |t High-Frequency Trading -- |g 20.8. |t Alternative Trading Systems (ATSs) -- |g 20.8.1. |t Crossing Networks -- |g 20.8.2. |t Dark Pools -- |g 20.9. |t Algorithmic Trading -- |g 20.9.1. |t Some Algorithmic Trading Applications -- |g 20.9.2. |t Trading Curbs -- |g 20.9.3. |t Conclusions about Algorithmic Trading -- |g 20.10. |t Symbiotic Stock Market Developments -- |g 20.11. |t Detrimental Stock Market Developments -- |g 20.12. |t Summary and Conclusions. |
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