Portfolio selection and asset pricing (Q5960176)

This book is concerned with models and approaches for portfolio selection and asset pricing in a one-period framework. Its main goal is to go beyond the classical Markowitz theory based on mean-variance analysis. Chapter 1 gives a short overview of criteria, models and strategies in portfolio selection, discussing both probabilistic and non-probabilistic approaches. Chapters 2--5 and 7 all present different extensions or variants of the basic problem. These include transaction costs and/or taxes, different interest rates for borrowing and lending, and a mean-variance-skewness model for portfolio selection with transaction costs. In most cases, the analysis contains theoretical results as well as a numerical example. Chapter 6 briefly looks at multiperiod investment problems; its main contribution is an empirical comparison of the results from a one-period model against those obtained via stochastic programming from a multiperiod model. Finally, Chapter 8 contains an overview of asset pricing theories, including the CAPM and several of its variants as well as the APT, and Chapter 9 presents some empirical tests of the CAPM for Chinese stock markets. With its goal of going beyond classical Markowitz theory, this book will primarily appeal to people who look for ideas to extend the scope of portfolio selection in one-period models towards more realistic approaches than simple mean-variance analysis. However, one should not expect too much. The book does contain a collection of ideas in that direction, but it does not really give a systematic approach or overview, and there are no innovations on the methodological or mathematical side.