Portfolio selection and asset pricing:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Berlin [u.a.]
Springer
2002
|
| Series: | Lecture notes in economics and mathematical systems
514 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 200 S. graph. Darst. |
| ISBN: | 3540429158 |
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MARC
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| 245 | 1 | 0 | |a Portfolio selection and asset pricing |c Shouyang Wang ; Yusen Xia |
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Record in the Search Index
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| adam_text | Contents
1. Criteria, Models and Strategies in Portfolio Selection 1
1.1 Introduction 1
1.2 Mean and Variance as Return and Risk 2
1.2.1 Markowitz formulation of portfolio optimization 2
1.2.2 Supporting evidence for Markowitz model 4
1.2.3 Index models 5
1.2.4 Mean semivariance model 6
1.2.5 Mean absolute deviation model 7
1.2.6 Mean target model 8
1.2.7 Mean variance skewness model 8
1.2.8 Multi objective optimization methods 9
1.3 Different Criteria for Risk and Return 10
1.3.1 Baumol s confidence limit criterion 11
1.3.2 Minimizing probability of specified risk 11
1.3.3 Three stochastic dominance criteria 12
1.3.4 Entropy as a measure of risk 13
1.3.5 Maximizing the geometric mean return 14
1.4 Best in the Worst Case or in the Average 15
1.4.1 Competitive analysis 15
1.4.2 Scenario analysis 16
1.4.3 Tracking models 17
1.4.4 Two person game models 18
1.5 Multiple Stage Models 18
1.5.1 Capital growth theory 19
x Contents |
1.5.2 Flip flop across time 19
1.5.3 Optimal portfolios with asymptotic criteria 20
1.5.4 Multi stage stochastic linear portfolio selection model 20
1.5.5 Consumption investment optimization 21 j
1.5.6 Universal portfolio 21 I
1.6 Remarks and Discussions 22 j
2. A Model for Portfolio Selection with Order of Expected Returns 23
2.1 Introduction 23
2.2 Model 24
2.3 Order of Expected Returns 27
2.4 Genetic Algorithm 28
2.5 A Numerical Example 31
2.6 Portfolio Selection with Transaction Costs 34
2.7 Conclusions 37
3. A Compromise Solution to Mutual Funds Portfolio Selection
with Transaction Costs 39
3.1 Introduction 39
3.2 Structure of Returns and Transaction Costs 40
3.3 Compromise Solution 43
3.4 Extension of the Compromise Solution 48
3.5 Properties of the Compromise Solution 48
3.6 A Numerical Example 49
3.7 Conclusions 54
4. Optimal Portfolio Selection of Assets with Transaction Costs
and No Short Sales 55
4.1 Introduction 55
4.2 General Model Framework 56
4.3 Solution Properties ,59
4.4 An Interactive Method .67
4.5 Conclusions 72
5. Portfolio Frontier with Different Interest Rates for
Borrowing and Lending 73
5.1 Introduction 73
5.2 Preliminaries ....75
Contents xi
5.2.1 Portfolio frontier without riskless asset 75
5.2.2 General model 77
5.2.3 Case of the same interest rate 78
5.3 Portfolio Frontier with Different Interest Rates 81
| 5.3.1 Solution to (QP1) ...82
I 5.3.2 Solution to (QP 2) 92
[ 5.3.3 Case of rb rl 95
; 5.4 Conclusions 103
6. Multi period Investment 105
¦ 6.1 Introduction 105
6.2 Multi period Investment Models 106
6.2.1. Multi period consumption and portfolio models 106
6.2.1.1 Discrete time multi period portfolio selection 106
6.2.1.2 Continuous time case 107
6.2.2. Multi period portfolio selection models 108
6.2.3. Multi period asset and liability management 108
6.3 Empirical Results for Multi period Stochastic Programming Models 109
6.3.1. Discrete multi period asset allocation problem 109
6.3.1.1 Risk averseness behavior results 115
6.3.1.2 Risk seeking behavior results 117
6.3.2.Continuous multi period asset allocation problem 119
6.3.2.1 Piece wise linear utility function 120
6.3.2.2 Quadratic utility function 123
6.3.2.3 Cubic utility function 124
6.3.2.4 Exponential utility function 125
6.4 Conclusions 127
7. Mean Variance Skewness Model for Portfolio Selection
with Transaction Costs 129
7.1 Introduction 129
7.2 Mean Variance Skewness Model 131
7.3 An Approximate Model 134
7.4 A Numerical Example 141
7.5 Conclusions 144
8. Capital Asset Pricing: Theory and Methodologies 145
xii Contents
8.1 Introduction 145
8.2 The Capital Asset Pricing Model 146
8.3 Nonstandard Forms of Capital Asset Pricing Models 149
8.3.1 Modifications of riskless lending and borrowing 149
8.3.1.1 No riskless lending or borrowing 149
8.3.1.2 Riskless lending but no riskless borrowing 150
8.3.2 Different holding periods I50
8.3.3 Personal taxes I50
8.3.4 Non marketable assets 151
8.3.5 Heterogeneous expectations 152
8.3.6 Non price taking behavior 153
8.3.7 Market frictions 154
8.4 Tests of CAPM 155
8.5 An Intertemporal Capital Asset Pricing Model 156
8.6 Consumption Based Capital Asset Pricing Model 15g
8.7 Arbitrage Pricing Model 159
8.8 Intertemporal Arbitrage Pricing Theory I60
8.9 Comparison of CAPM and APT 161
8.10 Conclusions 161
9. Empirical Tests of CAPM for China s Stock Markets 163
9.1 Introduction 163
9.2 Models 164
9.2.1 Two parameter model of CAPM 165
9.2.2 CAPM with taxes on dividends 165
9.3 Data and Methodology 166
9.4 Empirical Results and Discussions 168
9.5 Conclusions 175
References 177
Subject Index 193
Author Index 197
|
| any_adam_object | 1 |
| author | Wang, Shouyang 1958- Xia, Yusen 1974- |
| author_GND | (DE-588)123314542 (DE-588)123314569 |
| author_facet | Wang, Shouyang 1958- Xia, Yusen 1974- |
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| bvnumber | BV014014114 |
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| callnumber-search | HG4515.2.W36 2002 |
| callnumber-sort | HG 44515.2 W36 42002 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 810 SI 853 |
| ctrlnum | (OCoLC)49197306 (DE-599)BVBBV014014114 |
| dewey-full | 332.6 332.621 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6 332.6 21 |
| dewey-search | 332.6 332.6 21 |
| dewey-sort | 3332.6 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
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| geographic_facet | China |
| id | DE-604.BV014014114 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:56:08Z |
| institution | BVB |
| isbn | 3540429158 |
| language | English |
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| spelling | Wang, Shouyang 1958- Verfasser (DE-588)123314542 aut Portfolio selection and asset pricing Shouyang Wang ; Yusen Xia Berlin [u.a.] Springer 2002 XII, 200 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 514 Optimaliseren gtt Portfolio-analyse gtt Wiskundige modellen gtt Mathematisches Modell Investments -- Mathematical models Portfolio management -- Mathematical models Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf China (DE-588)4009937-4 gnd rswk-swf China (DE-588)4009937-4 g Aktienmarkt (DE-588)4130931-5 s Portfolio Selection (DE-588)4046834-3 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 Xia, Yusen 1974- Verfasser (DE-588)123314569 aut Lecture notes in economics and mathematical systems 514 (DE-604)BV000000036 514 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009595547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wang, Shouyang 1958- Xia, Yusen 1974- Portfolio selection and asset pricing Lecture notes in economics and mathematical systems Optimaliseren gtt Portfolio-analyse gtt Wiskundige modellen gtt Mathematisches Modell Investments -- Mathematical models Portfolio management -- Mathematical models Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4046834-3 (DE-588)4130931-5 (DE-588)4009937-4 |
| title | Portfolio selection and asset pricing |
| title_auth | Portfolio selection and asset pricing |
| title_exact_search | Portfolio selection and asset pricing |
| title_full | Portfolio selection and asset pricing Shouyang Wang ; Yusen Xia |
| title_fullStr | Portfolio selection and asset pricing Shouyang Wang ; Yusen Xia |
| title_full_unstemmed | Portfolio selection and asset pricing Shouyang Wang ; Yusen Xia |
| title_short | Portfolio selection and asset pricing |
| title_sort | portfolio selection and asset pricing |
| topic | Optimaliseren gtt Portfolio-analyse gtt Wiskundige modellen gtt Mathematisches Modell Investments -- Mathematical models Portfolio management -- Mathematical models Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Aktienmarkt (DE-588)4130931-5 gnd |
| topic_facet | Optimaliseren Portfolio-analyse Wiskundige modellen Mathematisches Modell Investments -- Mathematical models Portfolio management -- Mathematical models Capital-Asset-Pricing-Modell Portfolio Selection Aktienmarkt China |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009595547&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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