Mathematical Models in Portfolio Analysis
Publisher: Bookboon.com
Published: 2013
ISBN-13: 9788740303704
Table of contents: title: Content; title: Preface; title: Part 1: Mathematical Introduction; title: 1. Matrices and Applications; title: 1.1. Terminology; title: 1.2. Matrix Operations; title: 1.3. Determinants; title: 1.4. Systems of Linear Equations; title: 1.5. Positive Definite Matrices; title: 1.6. Hyperbola; title: 2. Orthogonal Projection; title: 2.1. Orthogonal Projection onto a Subspace; title: 2.2. Orthogonal Projection onto a Vector; title: 2.3. Minimal Property of Orthogonal Projection; title: 3. Random Variables; title: 3.1. Numerical Characteristics of a Random Variable; title: 3.2. Covariance and Correlation Coefficient; title: 3.3. Covariance Matrix; title: 4. Regression; title: 4.1. Euclidean Space of Random Variables; title: 4.2. Regression; title: 4.3. Regression to a Constant; title: 4.4. Simple Linear Regression; title: Part 2: Portfolio Analysis; title: 5. Portfolio Modelling; title: 5.1. Terminology; title: 5.2. Short Sales; title: 5.3. Minimizing Risk; title: 5.4. Statistical Parameters of an N-Asset Portfolio; title: 5.5. Envelope of Financial Assets; title: 6. Mean-Variance Analysis; title: 6.1. Principle of Two Fund Separation; title: 6.2. Efficient Frontier; title: 6.3. Mean-Variance Relation; title: 6.4. Mean-Variance Relation for 2-Asset Portfolios; title: 7. Capital Market Theory; title: 7.1. Risk-Free Asset; title: 7.2. Tangency Portfolio; title: 7.3. Market Portfolio. Capital Market Line; title: 7.4. Finding Market Portfolio and CML Equation; title: 7.5. Regression in Finance. Beta Coefficient; title: 7.6. Capital Asset Pricing Model and Security Market Line; title: 8. Bibliography