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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 selfstudy 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.
Hardcover: 325 pages Publisher: Cambridge University Press (11 July 2013) Language: English ISBN-10: 1107042313 ISBN-13: 978-1107042315 Product Dimensions: 17.4 x 1.9 x 24.7 cm Average Customer Review:
2 customer reviews
Amazon Bestsellers Rank: 172,598 in Books (See Top 100 in Books) #65 in Books > Business, Finance & Law > Personal Finance > Insurance #340 in Books > Science & Nature > Mathematics > Probability & Statistics #748 in Books > Business, Finance & Law > Professional Finance > Investments & Securities Would you like to tell us about a lower price? If you are a seller for this product, would you like to suggest updates through seller support? See Complete Table of Contents
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