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Introduction to Mathematical Portfolio Theory

Publisher: 
Cambridge University Press
Number of Pages: 
314
Price: 
70.00
ISBN: 
9781107042315
Date Received: 
Thursday, September 12, 2013
Reviewable: 
No
Include In BLL Rating: 
No
Mark S. Joshi and Jane M. Paterson
Series: 
International Series on Actuarial Science
Publication Date: 
2013
Format: 
Hardcover
Category: 
Textbook

Preface
1. Definitions of risk and return
2. Efficient portfolios: the two-asset case
3. Portfolios with a risk-free asset
4. Finding the efficient frontier – the multi-asset case
5. Single-factor models
6. Multi-factor models
7. Introducing utility
8. Utility and risk aversion
9. Foundations of utility theory
10. Maximising long-term growth
11. Stochastic dominance
12. Risk measures
13. The Capital Asset Pricing Model
14. The arbitrage pricing model
15. Market efficiency and rationality
16. Brownian motion and stock price models across time
Appendix A. Matrix algebra
Appendix B. Solutions
References
Index.

Publish Book: 
Modify Date: 
Thursday, September 12, 2013

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