INTRODUCTION TO MATHEMATICAL PORTFOLIO THEORY

• Main Author: Joshi, Mark S. (Author)
• Format: Book
• Language: English
• Published: Cambridge Cambridge University Press 2013
• Edition: Print Book, English, 2013
• Series: International series on actuarial science
• Subjects: Portfolio management > Mathematical models; Portfolio > Management
• Online Access: Click Here to View Status and Holdings.
• Physical Description: xii, 314 pages illustrations 24 cm
• Bibliography: Includes bibliographical references and index
• ISBN: 1107042313; 9781107042315

In this concise yet comprehensive guide to the mathematics of modern portfolio theory the authors discuss mean-variance analysis, factor models, utility theory, stochastic dominance, very long term investing, the capital asset pricing model, risk measures including VAR, coherence, market efficiency, rationality and the modelling of actuarial liabilities