Introduction to Mathematical Portfolio Theory

Language: English

Published by Cambridge University Press, GB, 2013

1107042313 / 9781107042315

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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.

Seller Inventory # LU-9781107042315

Title
Introduction to Mathematical Portfolio Theory
Author
Mark S. Joshi, Jane M. Paterson
Publisher
Cambridge University Press, GB
Publication year
2013
Condition
New
Binding
Hardback
Language
English
ISBN 10
1107042313
ISBN 13
9781107042315
Item weight
640 grams
Dimensions
14.73 x 2.03 x 22.86 cm

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