Mathematical Models in Portfolio Analysis
Publisher: Bookboon
Published: 2013
ISBN-13: 9788740303704
Table of contents: title: Preface; title: Part 1: Mathematical Introduction; title: Matrices and Applications; title: Terminology; title: Matrix Operations; title: Determinants; title: Systems of Linear Equations; title: Positive Definite Matrices; title: Hyperbola; title: Orthogonal Projection; title: Orthogonal Projection onto a Subspace; title: Orthogonal Projection onto a Vector; title: Minimal Property of Orthogonal Projection; title: Random Variables; title: Numerical Characteristics of a Random Variable; title: Covariance and Correlation Coefficient; title: Covariance Matrix; title: Regression; title: Euclidean Space of Random Variables; title: Regression; title: Regression to a Constant; title: Simple Linear Regression; title: Part 2: Portfolio Analysis; title: Portfolio Modelling; title: Terminology; title: Short Sales; title: Minimizing Risk; title: Statistical Parameters of an N-Asset Portfolio; title: Envelope of Financial Assets; title: Mean-Variance Analysis; title: Principle of Two Fund Separation; title: Efficient Frontier; title: Mean-Variance Relation; title: Mean-Variance Relation for 2-Asset Portfolios; title: Capital Market Theory; title: Risk-Free Asset; title: Tangency Portfolio; title: Market Portfolio. Capital Market Line; title: Finding Market Portfolio and CML Equation; title: Regression in Finance. Beta Coefficient; title: Capital Asset Pricing Model and Security Market Line; title: Bibliography