Portfolio theory and risk management:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge
Cambridge Univ. Press
2014
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| Series: | Mastering mathematical finance
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| Subjects: | |
| Online Access: | http://assets.cambridge.org/97811070/03675/cover/9781107003675.jpg Inhaltsverzeichnis |
| Physical Description: | X, 160 S. graph. Darst. |
| ISBN: | 9780521177146 9781107003675 |
Staff View
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Record in the Search Index
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| adam_text |
Titel: Portfolio theory and risk management
Autor: Capiński, Maciej
Jahr: 2014
Contents
Preface page ix
1 Risk and return 1
1.1 Expected return 2
1.2 Variance as a risk measure 5
1.3 Semi-variance 9
2 Portfolios consisting of two assets 11
2.1 Return 12
2.2 Attainable set 15
2.3 Special cases 20
2.4 Minimum variance portfolio 23
2.5 Adding a risk-free security 25
2.6 Indifference curves 28
2.7 Proofs 31
3 Lagrange multipliers 35
3.1 Motivating examples 35
3.2 Constrained extrema 40
3.3 Proofs 44
4 Portfolios of multiple assets 48
4.1 Risk and return 48
4.2 Three risky securities 52
4.3 Minimum variance portfolio 54
4.4 Minimum variance line 57
4.5 Market portfolio 62
5 The Capital Asset Pricing Model 67
5.1 Derivation of CAPM 68
5.2 Security market line 71
5.3 Characteristic line 73
6 Utility functions 76
6.1 Basic notions and axioms 76
6.2 Utility maximisation 80
6.3 Utilities and CAPM 92
6.4 Risk aversion 95
7 Value at Risk 98
7.1 Quantiles 99
7.2 Measuring downside risk 102
7.3 Computing VaR: examples 104
7.4 VaR in the Black-Scholes model 109
7.5 Proofs 120
8 Coherent measures of risk 124
8.1 Average Value at Risk 125
8.2 Quantiles and representations of AVaR 127
8.3 AVaR in the Black-Scholes model 136
8.4 Coherence 146
8.5 Proofs 154
Index 159 |
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| author | Capiński, Maciej 1976- Kopp, Peter E. 1944- |
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| discipline | Mathematik Wirtschaftswissenschaften |
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| isbn | 9780521177146 9781107003675 |
| language | English |
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| spelling | Capiński, Maciej 1976- Verfasser (DE-588)1029443971 aut Portfolio theory and risk management Maciej J. Capinski ; Ekkehard Kopp Cambridge Cambridge Univ. Press 2014 X, 160 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Mastering mathematical finance Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Investitionsanalyse (DE-588)4273190-2 gnd rswk-swf Investitionsanalyse (DE-588)4273190-2 s Portfoliomanagement (DE-588)4115601-8 s Risikomanagement (DE-588)4121590-4 s b DE-604 Kopp, Peter E. 1944- Verfasser (DE-588)120339889 aut http://assets.cambridge.org/97811070/03675/cover/9781107003675.jpg HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027483361&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Capiński, Maciej 1976- Kopp, Peter E. 1944- Portfolio theory and risk management Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd Investitionsanalyse (DE-588)4273190-2 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4121590-4 (DE-588)4273190-2 |
| title | Portfolio theory and risk management |
| title_auth | Portfolio theory and risk management |
| title_exact_search | Portfolio theory and risk management |
| title_full | Portfolio theory and risk management Maciej J. Capinski ; Ekkehard Kopp |
| title_fullStr | Portfolio theory and risk management Maciej J. Capinski ; Ekkehard Kopp |
| title_full_unstemmed | Portfolio theory and risk management Maciej J. Capinski ; Ekkehard Kopp |
| title_short | Portfolio theory and risk management |
| title_sort | portfolio theory and risk management |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Risikomanagement (DE-588)4121590-4 gnd Investitionsanalyse (DE-588)4273190-2 gnd |
| topic_facet | Portfoliomanagement Risikomanagement Investitionsanalyse |
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