Portfolio Selection and Asset Pricing: Models of Financial Economics and Their Applications in Investing

Baz, Jamil, Guo, Helen, Hakanoglu, Erol

  • 出版商: McGraw-Hill Education
  • 出版日期: 2022-09-01
  • 售價: $2,680
  • 貴賓價: 9.5$2,546
  • 語言: 英文
  • 頁數: 432
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1264270151
  • ISBN-13: 9781264270156
  • 相關分類: 經濟學 Economy
  • 海外代購書籍(需單獨結帳)

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商品描述

This uniquely comprehensive guide provides expert insights into everything from financial mathematics to the practical realities of asset allocation and pricing

Investors 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 uncertainty
  • Portfolio Models―single-period and continuous-time portfolio choice, analogies, asset allocation for a sovereign as an example, and liability-driven allocation
  • Asset Pricing―capital asset pricing models, factor models, option pricing, and expected returns
  • Robust Asset Allocation―robust estimation of optimization inputs, such as the Black-Litterman Model and shrinkage, and robust optimizers

 

Whether you are a sophisticated investor or advanced graduate student, this high-level title combines rigorous mathematical theory with an emphasis on practical implementation techniques.

 

商品描述(中文翻譯)

這本獨特而全面的指南提供了從金融數學到資產配置和定價的專業見解。對於像您這樣的投資者,在尋求投資組合選擇指導時,通常需要在實踐方法的書籍和理論和數學公式的學術著作之間做出選擇。

《投資組合選擇與資產定價》由三位頂尖專家撰寫,平衡了投資組合選擇和資產定價模型的數學基礎以及資產配置的實踐。這本詳盡的指南方便地分為四個部分:

1. 數學基礎 - 規範向量空間、離散和連續時間的優化、效用理論和不確定性。
2. 投資組合模型 - 單期和連續時間的投資組合選擇、類比、以主權國家為例的資產配置和負債驅動的配置。
3. 資產定價 - 資本資產定價模型、因子模型、期權定價和預期收益。
4. 強健的資產配置 - 強健的優化輸入估計,例如Black-Litterman模型和收縮,以及強健的優化器。

無論您是一位精明的投資者還是一位高級研究生,這本高級書籍將嚴謹的數學理論與實踐實施技巧相結合。