Portfolio Theory - 1st Edition - ISBN: 9780126807806, 9781483273525

Portfolio Theory

1st Edition

With Application to Bank Asset Management

Authors: Giorgio P. Szegö
Editors: Karl Shell
eBook ISBN: 9781483273525
Imprint: Academic Press
Published Date: 28th December 1980
Page Count: 234
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Description

Portfolio Theory: With Application to Bank Asset Management provides information pertinent to the fundamental aspects of the management of bank assets and liabilities. This book presents the mean-variance approach to obtain many analytical results and a complete insight into the portfolio selection problem.

Organized into 16 chapters, this book begins with an overview of the formalization of decision-making under uncertainty. This text then presents the construction and complete analysis of a Markowitz-type portfolio selection model. Other chapters consider the problems of portfolio selection in an inflationary or multicurrency environment. This book discusses as well an approximate technique for constructing a diagonal model at the cost of increasing by one the number of investments and the number of constraints. The final chapter deals with the study of the portfolio selection problem and to the analysis of the properties of the efficient set of the mean variance criterion.

This book is a valuable resource for economists.

Table of Contents


Preface

Notation

Chapter 1 Investment Decisions under Uncertainty

Notes

References

Chapter 2 Properties of the Efficient Frontier: The Nonsingular Case

Examples

Notes

References

Chapter 3 Properties of the Boundary Portfolios

Examples

Notes

References

Chapter 4 Orthogonal Portfolios and Covariance Among Boundary Portfolios

Notes

References

Chapter 5 Enlarging the Set of Investments: Properties of Equivalence and Dominance

Examples

Notes

References

Chapter 6 Enlarging the Set of Investments with a Riskless Asset

Examples

Notes

References

Chapter 7 Properties of the Efficient Frontier with One Riskless Asset

Examples

Notes

References

Chapter 8 Enlarging the Set of Investments: The General Singular Case

Examples

Notes

References

Chapter 9 Properties of the Efficient Frontier in the General Singular Case

Examples

Notes

References

Chapter 10 Mutual Funds and Generalized Separation

Examples

Notes

References

Chapter 11 Multiple Singularities and Multiple Dominance

Examples

Notes

References

Chapter 12 The Portfolio Problem with Nonnegativity Constraints

Examples

Notes

References

Chapter 13 Diagonal and Linear Models

Chapter 14 The Capital Asset Pricing Model

Examples

Notes

References

Chapter 15 Portfolio Selection in an Inflationary or Multicurrency Environment

Notes

References

Chapter 16 Bank Assets and Portfolio Management

Notes

References

Appendix A The Structure of the Variance-Covariance Matrix

Appendix B Proof That αγ-β2 > 0

Appendix c Proof of Property (2.15)

Appendix D The Existence of an Orthonormal Basis

Appendix E The Inverse of a Partitioned Matrix

Appendix F Proof of Condition (6.17)

Appendix G Construction of the Transformation Matrix K

Appendix H Proof of Condition (8.49)

Appendix I On the Numerical Construction of the Best Fit Index

References

Index

Details

No. of pages:
234
Language:
English
Copyright:
© Academic Press 1980
Published:
Imprint:
Academic Press
eBook ISBN:
9781483273525

About the Author

Giorgio P. Szegö

About the Editor

Karl Shell

Affiliations and Expertise

Cornell University