Mathematical portfolio theory and analysis / Siddhartha Pratim Chakrabarty, Ankur Kanaujiya.
Chakrabarty, Siddhartha Pratim, author.; Kanaujiya, Ankur, author.
2023
QA279
Available Online

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Title Mathematical portfolio theory and analysis / Siddhartha Pratim Chakrabarty, Ankur Kanaujiya.
Author Chakrabarty, Siddhartha Pratim, author.
ISBN 9789811985447 (electronic bk.)
9811985448 (electronic bk.)
9789811985430
DOI https://doi.org/10.1007/978-981-19-8544-7
Published Singapore : Birkhäuser, 2023.
Language English
Description 1 online resource (xiii, 150 pages) : illustrations (some color).
Other Standard Identifiers 10.1007/978-981-19-8544-7 doi
Call Number QA279
Dewey Decimal Classification 519.5/38
Summary Designed as a self-contained text, this book covers a wide spectrum of topics on portfolio theory. It covers both the classical-mean-variance portfolio theory as well as non-mean-variance portfolio theory. The book covers topics such as optimal portfolio strategies, bond portfolio optimization and risk management of portfolios. In order to ensure that the book is self-contained and not dependent on any pre-requisites, the book includes three chapters on basics of financial markets, probability theory and asset pricing models, which have resulted in a holistic narrative of the topic. Retaining the spirit of the classical works of stalwarts like Markowitz, Black, Sharpe, etc., this book includes various other aspects of portfolio theory, such as discrete and continuous time optimal portfolios, bond portfolios and risk management. The increase in volume and diversity of banking activities has resulted in a concurrent enhanced importance of portfolio theory, both in terms of management perspective (including risk management) and the resulting mathematical sophistication required. Most books on portfolio theory are written either from the management perspective, or are aimed at advanced graduate students and academicians. This book bridges the gap between these two levels of learning. With many useful solved examples and exercises with solutions as well as a rigorous mathematical approach of portfolio theory, the book is useful to undergraduate students of mathematical finance, business and financial management.
Access Note Access limited to authorized users.
Source of Description Online resource; title from PDF title page (SpringerLink, viewed February 22, 2023).
Added Author Kanaujiya, Ankur, author.
Series Compact textbooks in mathematics, 2296-455X
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Record Appears in Online Resources > Ebooks
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Chapter 1. Mechanisms of Financial Markets
Chapter 2. Fundamentals of Probability Theory
Chapter 3. Asset Pricing Models
Chapter 4. Mean-Variance Portfolio Theory
Chapter 5. Utility Theory
Chapter 6. Non-Mean-Variance Portfolio Theory
Chapter 7. Optimal Portfolio Strategies
Chapter 8. Bond Portfolio Optimization
Chapter 9. Risk Management of Portfolios.

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