Introduction to mathematical portfolio theory

MaRDI QIDQ2842206zbMATH OpenFDO

Authors Mark Joshi, Jane M. Paterson

Publication date 13 August 2013

Published in International Series on Actuarial Science (Search for Journal in Brave)

zbMATH Keywords

arbitrage pricing modelcapital asset pricing modelfactor modelsportfolio theoryrisk measuresutility theory

Mathematics Subject Classification ID

Brownian motion (60J65) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Portfolio theory (91G10)

Review text

This book provides an introduction to financial economics.NEWLINENEWLINEThe first 4 chapters give a rigorous mathematical treatment of the theme of modern portfolio theory (Markowitz's portfolio theory). In addition, the authors provide review questions which are essential for understanding. Chapters 5--6 deal with single- and multi-factor models. Chapters 7--12 give a detailed and clear treatment of utility theory.NEWLINENEWLINEThe chapters contain interesting exercises which help to understand the material. Other subjects that are included in the book are risk measures, the Capital Asset Pricing Model, the arbitrage pricing model, market efficiency and rationality.NEWLINENEWLINEAlthough the book mostly deals with discrete-time markets, it also deals in the last chapter with financial models in continuous time in a Brownian setting. Each topic is clearly explained with rigorous mathematical treatment and contains exercises with solutions. The book is suitable for mathematically trained students in actuarial studies and it can be used for self-study and as course text.

Recommendations

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Cited in

(13)

• Investment theory and risk management
• Mathematical models for financial optimization
• Mathematical foundation of the replicating portfolio approach
• Problems in portfolio theory and the fundamentals of financial decision making
• Asset pricing and portfolio choice theory.
• On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
• Portfolio theory and arbitrage. A course in mathematical finance
• Utility theory, capital asset allocation, and Markowitz portfolio-selection model
• scientific article; zbMATH DE number 5592322 (Why is no real title available?)
• The equilibrium of a financial model
• Financial markets theory. Equilibrium, efficiency and information
• Mathematical Portfolio Theory and Analysis
• Constant proportion performance participation

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