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Modern Portfolio Theory + Website Foundations, Analysis, and New Developments

ISBN-10: 111837052X
ISBN-13: 9781118370520
Edition: 2012
List price: $95.00 Buy it from $41.15
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Description: Modern Portfolio Theory presents a comprehensive picture of modern portfolio theory in a manner that can be used by financial practitioners and students. The book provides a summary of the important findings from all of the financial research done  More...

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Book details

List price: $95.00
Copyright year: 2012
Publisher: John Wiley & Sons, Incorporated
Publication date: 1/22/2013
Binding: Hardcover
Pages: 576
Size: 7.25" wide x 10.50" long x 2.00" tall
Weight: 2.332
Language: English

Modern Portfolio Theory presents a comprehensive picture of modern portfolio theory in a manner that can be used by financial practitioners and students. The book provides a summary of the important findings from all of the financial research done since modern portfolio theory (MPT) was created and presents all the MPT formulas and models using one consistent set of mathematical symbols.  The first four chapters introduce the concept and explain probability theory and utility theory which are necessary to understand MPT.  The next several chapters discuss Markowitz's seminal work on the topic and include a thorough explanation of the underlying mathematics.   Finally, the authors describe logical extensions and developments to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution.  The final chapter considers stock market developments like decimalization, high frequency trading, algorithmic trading, and other recent developments and shows how they align with MPT.  The book analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of the voluminous the MPT literature.   An associated website provides five Excel spreadsheets that compute Markowitz efficient frontiers under various assumptions and circumstances.

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