Portfolio Selection and Asset Pricing
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Portfolio Selection and Asset Pricing: (514 Lecture Notes in Economics and Mathematical Systems)

Portfolio Selection and Asset Pricing: (514 Lecture Notes in Economics and Mathematical Systems)


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About the Book

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.

Table of Contents:
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 Costs.- Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales.- Portfolio Frontier with Different Interest Rates for Borrowing and Lending.- Multi-period Investment.- Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs.- Capital Asset Pricing: Theory and Methodologies.- Empirical Tests of CAPM for China’s Stock Markets.


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Product Details
  • ISBN-13: 9783540429159
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Publisher Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Height: 235 mm
  • No of Pages: 200
  • Returnable: N
  • Width: 155 mm
  • ISBN-10: 3540429158
  • Publisher Date: 25 Feb 2002
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Series Title: 514 Lecture Notes in Economics and Mathematical Systems


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