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 done since MPT was
created and presents all the MPT formulas and models using one
consistent set of mathematical symbols. Opening with an informative
introduction to the concepts of probability and utility theory, it
quickly moves on to discuss Markowitz's seminal work on the topic
with a thorough explanation of the underlying mathematics.Analyzes
portfolios of all sizes and types, shows how the advanced findings
and formulas are derived, and offers a concise and comprehensive
review of MPT literatureAddresses logical extensions to Markowitz's
work, including the Capital Asset Pricing Model, Arbitrage Pricing
Theory, portfolio ranking models, and performance
attributionConsiders stock market developments like decimalization,
high frequency trading, and algorithmic trading, and reveals how
they align with MPTCompanion Website contains Excel spreadsheets
that allow you to compute and graph Markowitz efficient frontiers
with riskless and risky assets
If you want to gain a complete understanding of modern portfolio
theory this is the book you need to read.
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