Modern Portfolio Theory + Ws

AthroughguidecoveringModernPortfolioTheoryaswellastherecentdevelopmentssurroundingitModernportfoliotheory(MPT),whichoriginatedwithHarryMarkowitz′sseminalpaper"PortfolioSelection"in1952,hasstoodthetestoftimeandcontinuestobetheintellectualfoundationforreal?Cworldportfoliomanagement.ThisbookpresentsacomprehensivepictureofMPTinamannerthatcanbeeffectivelyusedbyfinancialpractitionersandunderstoodbystudents.ModernPortfolioTheoryprovidesasummaryoftheimportantfindingsfromallofthefinancialresearchdonesinceMPTwascreatedandpresentsalltheMPTformulasandmodelsusingoneconsistentsetofmathematicalsymbols.Openingwithaninformativeintroductiontotheconceptsofprobabilityandutilitytheory,itquicklymovesontodiscussMarkowitz′sseminalworkonthetopicwithathoroughexplanationoftheunderlyingmathematics.Analyzesportfoliosofallsizesandtypes,showshowtheadvancedfindingsandformulasarederived,andoffersaconciseandcomprehensivereviewofMPTliteratureAddresseslogicalextensionstoMarkowitz′swork,includingtheCapitalAssetPricingModel,ArbitragePricingTheory,portfoliorankingmodels,andperformanceattributionConsidersstockmarketdevelopmentslikedecimalization,highfrequencytrading,andalgorithmictrading,andrevealshowtheyalignwithMPTCompanionWebsitecontainsExcelspreadsheetsthatallowyoutocomputeandgraphMarkowitzefficientfrontierswithrisklessandriskyassetsIfyouwanttogainacompleteunderstandingofmodernportfoliotheorythisisthebookyouneedtoread.