Portfolio Selection and Asset Pricing. Lecture Notes in Economics and Mathematical Systems, Band 514

Seitenzahl:

200

Gewicht:

339 g

Erschienen bei:

Springer

Kurzbeschreibung

This monograph consists of two parts. One part is portfolio selection theory and the other part is capital asset pricing theory. For each part, a comprehensive review of the original theory, efforts to improve the theory afterwards and future works to be done are presented. Some innovative models and empirical research works are given in subsequent chapters following the review. For example, a model for portfolio selection with order of expected returns is presented in Chapter 2, the model addresses the inaccuracy in the estimation the expected returns of securities by putting the expected returns of securities as variables rather than known constant. Readers will see some new results which are very practical and interesting. TOC:Criteria, Models and Strategies in Portfolio Selection.- A Model for Portfolio Selection with Order of Expected Returns.- A Compromise Solution to Mutual Funds Portfolio Selection with Transaction Cost.- Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales.- Portfolio Frontier with Different Rates for Borrowing and Lending.- Multi-period Investment.- Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs.- Capital Asset Pricing Theory.- Empirical Tests of CAPM for China's Stock Markets.- References.- Subject Index.- Author Index.

Mehr über...

Mehr über:  Bank - Bankgeschäft , Management / Portfoliomanagement, Portfoliomanagement, Bankgeschäft ( Bank ), Portfolio, Capital Asset Pricing, Empirical Test, Financial Optimization, Portfolio Selection

Mehr von: 

Mehr von:  Shouyang Wang, Yusen Xia, Springer