Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in InvestingAuthor :
Hardback
Published : Friday 30 September 2022
Description
This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricingInvestors like you typically have a choice to make when seeking guidance for portfolio selection either a book of practical, hands-on approaches to your craft or an academic tome of theories and mathematical formulas. From three top experts, Portfolio Selection and Asset Pricing strikes the right balance with an extensive discussion of mathematical foundations of portfolio choice and asset pricing models, and the practice of asset allocation. This thorough guide is conveniently organized into four sections:Mathematical Foundations normed vector spaces, optimization in discrete and continuous time, utility theory, and uncertaintyPortfolio Models single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocationAsset Pricing capital asset pricing models, factor models, option pricing, and expected returnsRobust Asset Allocation robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizersWhether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques.
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