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 literature Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT Companion 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.
Based on the Nobel Prize winning strategies of Modern Portfolio Theory and the thrift and sensible savings ethic that made America great - finally, an easy-to-read book on investments and retirement that cuts through all the noise and provides simple answers to the questions you need to be asking.
In the era of globalization, uncertainty plays an important role in various disciplines of Science and Technology. The present book highlights the developments concerned with the removal of uncertainty and the applications of various uncertain measures to a variety of disciplines dealing with Coding Theory, Marketing, Queueing Theory, Portfolio Analysis, Statistical Analysis and Optimization Theory. It aims at addressing the key issues pertaining to these topics and will be helpful to Information Theoreticians, Software Engineers, Biologists, Statisticians and Operational Researchers. The book presents new findings which will add to the knowledge of the scientific community for furtherance of research.
This is a comprehensive introduction to the brand new theory of conic finance, also referred to as the two-price theory, which determines bid and ask prices in a consistent and fundamentally motivated manner. Whilst theories of one price classically eliminate all risk, the concept of acceptable risks is critical to the foundations of the two-price theory which sees risk elimination as typically unattainable in a modern financial economy. Practical examples and case studies provide the reader with a comprehensive introduction to the fundamentals of the theory, a variety of advanced quantitative models, and numerous real-world applications, including portfolio theory, option positioning, hedging, and trading contexts. This book offers a quantitative and practical approach for readers familiar with the basics of mathematical finance to allow them to boldly go where no quant has gone before.
Foundations of Risk Analysis presents the issues core to risk analysis – understanding what risk means, expressing risk, building risk models, addressing uncertainty, and applying probability models to real problems. The author provides the readers with the knowledge and basic thinking they require to successfully manage risk and uncertainty to support decision making. This updated edition reflects recent developments on risk and uncertainty concepts, representations and treatment. New material in Foundations of Risk Analysis includes: An up to date presentation of how to understand, define and describe risk based on research carried out in recent years. A new definition of the concept of vulnerability consistent with the understanding of risk. Reflections on the need for seeing beyond probabilities to measure/describe uncertainties. A presentation and discussion of a method for assessing the importance of assumptions (uncertainty factors) in the background knowledge that the subjective probabilities are based on A brief introduction to approaches that produce interval (imprecise) probabilities instead of exact probabilities. In addition the new version provides a number of other improvements, for example, concerning the use of cost-benefit analyses and the As Low As Reasonably Practicable (ALARP) principle. Foundations of Risk Analysis provides a framework for understanding, conducting and using risk analysis suitable for advanced undergraduates, graduates, analysts and researchers from statistics, engineering, finance, medicine and the physical sciences, as well as for managers facing decision making problems involving risk and uncertainty.
The third edition of Quantum Non-Locality and Relativity has been carefully updated to reflect significant developments, including a new chapter covering important recent work in the foundations of physics. A new edition of the premier philosophical study of Bell’s Theorem and its implication for the relativistic account of space and time Discusses Roderich Tumiulka’s explicit, relativistic theory that can reproduce the quantum mechanical violation of Bell’s inequality. Discusses the «Free Will Theorem» of John Conway and Simon Kochen Introduces philosophers to the relevant physics and demonstrates how philosophical analysis can help inform physics
Our focus in this book is on portfolio optimization as a core concept under investment: We discuss portfolio optimization based on the modern portfolio theory by Harry Markowitz. We take you through all the literature of portfolio optimization, and the theoretical foundations of the modern portfolio theory, we go a step further and explicitly take you through all the mathematics behind the mean-variance model, and finally, we discuss the entire process of developing the model and how to calculate the model parameters plus the actual application of the model; how to produce the frontier, the effect of including constraints or restrictions to the model as shown and discussed from the two resulting frontiers. Moreover special about this book is that; we test the applicability and validity of the mean-variance model to a young (developing) Securities Exchange like the Uganda Securities Exchange. Also we provide you with the VBA codes for developing the model and producing the efficient frontier. If you are a Financial Mathematics student, a CFA student, and any other persons interested in understanding the concept of portfolio optimization very well, this is the right book for you.
Over the twentieth century monetary theory played a crucial role in the evolution of the international monetary system. The severe shocks and monetary gyrations of the interwar years interacted with theoretical developments that superseded the rigid rules of commodity standards and led to the full-fledged conception of monetary policy. The definitive demise of the gold standard then paved the way for monetary reconstruction. Monetary theory was a decisive factor in the design of the reform proposals, in the Bretton Woods negotiations, and in forging the new monetary order. The Bretton Woods system - successful but nevertheless short-lived - suffered from latent inconsistencies, both analytical and institutional, which fatally undermined the foundations of the postwar monetary architecture and brought about the epochal transition from commodity money to fiat money.
An updated approach to classic security analysis The principles of value investing outlined by Graham and Dodd in the 1940s continues to be used today by individuals and companies who face challenging investment decisions. A Modern Approach to Graham and Dodd Investing examines the classic Graham and Dodd approach to valuation and updates it for the twenty-first century. Thomas Au, a credentialed analyst with a leading insurance company and an ex-Value Line analyst, reworks the basics of value investing from net present value, financial statement analysis, and return on capital to return and leverage, asset allocation, and diversification. Through case studies and real-time analysis, A Modern Approach to Graham and Dodd Investing presents readers with examples that will make analysis and portfolio theory more relevant and powerful. Thomas P. Au (Hartford, CT) is a Vice President and Portfolio Manager for the investment arm of a large insurance and healthcare provider. His specialty is emerging and international markets. He received his BA, cum laude, with a double major in economics and history, from Yale University, and an MBA in finance from New York University.
This book is well organized, lucidly written text deals with the basic concepts of investment in securities such as bonds and stocks ,and management of such assets. To guide how to make your investment with a minimum risk for gaining of more returns. It is for retail investors how make their investment by a profit motive. And it is useful to those who are learning about investments. Besides explaining the theory of portfolio management that comprises fundamental and technical analyses,shares and bond valuation, capital pricing models,the book also provides a detailed analysis of the latest developments in security trading. This concise yet comprehensive book is intended as a text for students(both BBA and MBA, M.COM).
In the current era of globalization, probability theory plays an important role in various disciplines of Mathematical Sciences. The present book highlights the developments concerned with the probability theory and its applications to various disciplines dealing with Statistical Analysis. It aims at addressing the key issues pertaining to these topics and will be helpful to Biologists, Statisticians and Operational Researchers.
An authoritative and quantitative approach to modern game theory with applications from economics, political science, military science, and finance Mathematical Game Theory combines both the theoretical and mathematical foundations of game theory with a series of complex applications along with topics presented in a logical progression to achieve a unified presentation of research results. This book covers topics such as two-person games in strategic form, zero-sum games, N-person non-cooperative games in strategic form, two-person games in extensive form, parlor and sport games, bargaining theory, best-choice games, cooperative games and dynamic games. Several classical models used in economics are presented which include Cournot, Bertrand, Hotelling, and Stackelberg as well as coverage of modern branches of game theory such as negotiation models, potential games, parlor games, and best choice games. Mathematical Game Theory: • Presents a good balance of both theoretical foundations and complex applications of game theory. • Features an in-depth analysis of parlor and sport games, networking games, and bargaining models. • Provides fundamental results in new branches of game theory, best choice games, network games, and dynamic games. • Presents numerous examples and exercises along with detailed solutions at the end of each chapter. • Is supported by an accompanying website featuring course slides and lecture content. Covering a host of important topics, this book provides a research springboard for graduate students and a reference for researchers who might be working in the areas of applied mathematics, operations research, computer science, or economical cybernetics.
The approximation theory is a scope of mathematical analysis, which at its essence, is interested with the approximation of functions by simpler and more easily calculated functions. This theory has widely influenced such other areas of mathematics as orthogonal polynomials, partial differential equations, harmonic analysis, and wavelet analysis. Some modern applications include computer graphics, signal processing, economic forecasting, and pattern recognition.