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Introduction to Mathematical Portfolio Theory (Hardcover, New)
Loot Price: R1,769
Discovery Miles 17 690
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Introduction to Mathematical Portfolio Theory (Hardcover, New)
Series: International Series on Actuarial Science
Expected to ship within 12 - 19 working days
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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. Each topic is clearly explained with
assumptions, mathematics, limitations, problems and solutions
presented in turn. Joshi's trademark style of clarity and
practicality is here brought to classical financial mathematics.
The book is suitable for mathematically trained students in
actuarial studies, business and economics as well as mathematics
and finance, and it can be used for both self-study and as a course
text. The authors' experience as both academics and practitioners
brings clarity and relevance to the book, whilst ensuring that the
limitations of models are highlighted.
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