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Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students.
Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics.
* Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature
* Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution
* Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT
* Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets
If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students.
Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics.
* Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature
* Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution
* Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT
* Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets
If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.
JACK CLARK FRANCIS is Professor of Economics and Finance at Bernard M. Baruch College in New York City. His research focuses on investments, banking, and monetary economics, and he has had dozens of articles published in many refereed academic, business, and government journals. Dr. Francis was an assistant professor of finance at the University of Pennsylvania's Wharton School of Finance for five years and was a Federal Reserve economist for two years. He received his bachelor's and MBA from Indiana University and earned his PhD in finance from the University of Washington in Seattle.
DONGCHEOL KIM is a Professor of Finance at Korea University in Seoul. He served as president of the Korea Securities Association and editor-in-chief of the Asia-Pacific Journal of Financial Studies. Previously, he was a finance professor at Rutgers University. Kim has published articles in Financial Management, the Accounting Review, Journal of Financial and Quantitative Analysis, Journal of Economic Research, Journal of Finance, and Journal of the Futures Market.
Preface xvii
CHAPTER 1 Introduction 1
1.1 The Portfolio Management Process 1
1.2 The Security Analyst's Job 1
1.3 Portfolio Analysis 2
1.3.1 Basic Assumptions 3
1.3.2 Reconsidering the Assumptions 3
1.4 Portfolio Selection 5
1.5 The Mathematics is Segregated 6
1.6 Topics to be Discussed 6
Appendix: Various Rates of Return 7
A1.1 Calculating the Holding Period Return 7
A1.2 After-Tax Returns 8
A1.3 Discrete and Continuously Compounded Returns 8
PART ONE Probability Foundations
CHAPTER 2 Assessing Risk 13
2.1 Mathematical Expectation 13
2.2 What Is Risk? 15
2.3 Expected Return 16
2.4 Risk of a Security 17
2.5 Covariance of Returns 18
2.6 Correlation of Returns 19
2.7 Using Historical Returns 20
2.8 Data Input Requirements 22
2.9 Portfolio Weights 22
2.10 A Portfolio's Expected Return 23
2.11 Portfolio Risk 23
2.12 Summary of Notations and Formulas 27
CHAPTER 3 Risk and Diversi¿cation 29
3.1 Reconsidering Risk 29
3.1.1 Symmetric Probability Distributions 31
3.1.2 Fundamental Security Analysis 32
3.2 Utility Theory 32
3.2.1 Numerical Example 33
3.2.2 Indifference Curves 35
3.3 Risk-Return Space 36
3.4 Diversi¿cation 38
3.4.1 Diversi¿cation Illustrated 38
3.4.2 Risky A + Risky B = Riskless Portfolio 39
3.4.3 Graphical Analysis 40
3.5 Conclusions 41
PART TWO Utility Foundations
CHAPTER 4 Single-Period Utility Analysis 45
4.1 Basic Utility Axioms 46
4.2 The Utility of Wealth Function 47
4.3 Utility of Wealth and Returns 47
4.4 Expected Utility of Returns 48
4.5 Risk Attitudes 52
4.5.1 Risk Aversion 52
4.5.2 Risk-Loving Behavior 56
4.5.3 Risk-Neutral Behavior 57
4.6 Absolute Risk Aversion 59
4.7 Relative Risk Aversion 60
4.8 Measuring Risk Aversion 62
4.8.1 Assumptions 62
4.8.2 Power, Logarithmic, and Quadratic Utility 62
4.8.3 Isoelastic Utility Functions 64
4.8.4 Myopic, but Optimal 65
4.9 Portfolio Analysis 66
4.9.1 Quadratic Utility Functions 67
4.9.2 Using Quadratic Approximations to Delineate Max[E(Utility)] Portfolios 68
4.9.3 Normally Distributed Returns 69
4.10 Indifference Curves 69
4.10.1 Selecting Investments 71
4.10.2 Risk-Aversion Measures 73
4.11 Summary and Conclusions 74
Appendix: Risk Aversion and Indifference Curves 75
A4.1 Absolute Risk Aversion (ARA) 75
A4.2 Relative Risk Aversion (RRA) 76
A4.3 Expected Utility of Wealth 77
A4.4 Slopes of Indifference Curves 77
A4.5 Indifference Curves for Quadratic Utility 79
PART THREE Mean-Variance Portfolio Analysis
CHAPTER 5 Graphical Portfolio Analysis 85
5.1 Delineating Ef¿cient Portfolios 85
5.2 Portfolio Analysis Inputs 86
5.3 Two-Asset Isomean Lines 87
5.4 Two-Asset Isovariance Ellipses 90
5.5 Three-Asset Portfolio Analysis 92
5.5.1 Solving for One Variable Implicitly 93
5.5.2 Isomean Lines 96
5.5.3 Isovariance Ellipses 97
5.5.4 The Critical Line 99
5.5.5 Inef¿cient Portfolios 101
5.6 Legitimate Portfolios 102
5.7 ''Unusual'' Graphical Solutions Don't Exist 103
5.8 Representing Constraints Graphically 103
5.9 The Interior Decorator Fallacy 103
5.10 Summary 104
Appendix: Quadratic Equations 105
A5.1 Quadratic Equations 105
A5.2 Analysis of Quadratics in Two Unknowns 106
A5.3 Analysis of Quadratics in One Unknown 107
A5.4 Solving an Ellipse 108
A5.5 Solving for Lines Tangent to a Set of Ellipses 110
CHAPTER 6 Ef¿cient Portfolios 113
6.1 Risk and Return for Two-Asset Portfolios 113
6.2 The Opportunity Set 114
6.2.1 The Two-Security Case 114
6.2.2 Minimizing Risk in the Two-Security Case 116
6.2.3 The Three-Security Case 117
6.2.4 The n-Security Case 119
6.3 Markowitz Diversi¿cation 120
6.4 Ef¿cient Frontier without the Risk-Free Asset 123
6.5 Introducing a Risk-Free Asset 126
6.6 Summary and Conclusions 131
Appendix: Equations for a Relationship between E(rp) and ¿p 131
CHAPTER 7 Advanced Mathematical Portfolio Analysis 135
7.1 Ef¿cient Portfolios without a Risk-Free Asset 135
7.1.1 A General Formulation 135
7.1.2 Formulating with Concise Matrix Notation 140
7.1.3 The Two-Fund Separation Theorem 145
7.1.4 Caveat about Negative Weights 146
7.2 Ef¿cient Portfolios with a Risk-Free Asset 146
7.3 Identifying the Tangency Portfolio 150
7.4 Summary and Conclusions 152
Appendix: Mathematical Derivation of the Ef¿cient Frontier 152
A7.1 No Risk-Free Asset 152
A7.2 With a Risk-Free Asset 156
CHAPTER 8 Index Models and Return-Generating Process 165
8.1 Single-Index Models 165
8.1.1 Return-Generating Functions 165
8.1.2 Estimating the Parameters 168
8.1.3 The Single-Index Model Using Excess Returns 171
8.1.4 The Riskless Rate Can Fluctuate 173
8.1.5 Diversi¿cation 176
8.1.6 About the Single-Index Model 177
8.2 Ef¿cient Frontier and the Single-Index Model 178
8.3 Two-Index Models 186
8.3.1 Generating Inputs 187
8.3.2 Diversi¿cation 188
8.4 Multi-Index Models 189
8.5 Conclusions 190
Appendix: Index Models 191
A8.1 Solving for Ef¿cient Portfolios with the Single-Index Model 191
A8.2 Variance Decomposition 196
A8.3 Orthogonalizing Multiple Indexes 196
PART FOUR Non-Mean-Variance Portfolios
CHAPTER 9 Non-Normal Distributions of Returns 201
9.1 Stable Paretian Distributions 201
9.2 The Student's t-Distribution 204
9.3 Mixtures of Normal Distributions 204
9.3.1 Discrete Mixtures of Normal Distributions 204
9.3.2 Sequential Mixtures of Normal Distributions 205
9.4 Poisson Jump-Diffusion Process 206
9.5 Lognormal Distributions 206
9.5.1 Speci¿cations of Lognormal Distributions 207
9.5.2 Portfolio Analysis under Lognormality 208
9.6 Conclusions 213
CHAPTER 10 Non-Mean-Variance Investment Decisions 215
10.1 Geometric Mean Return Criterion 215
10.1.1 Maximizing the Terminal Wealth 216
10.1.2 Log Utility and the GMR Criterion 216
10.1.3 Diversi¿cation and the GMR 217
10.2 The Safety-First Criterion 218
10.2.1 Roy's Safety-First Criterion 218
10.2.2 Kataoka's Safety-First Criterion 222
10.2.3 Telser's Safety-First Criterion 225
10.3 Semivariance Analysis 228
10.3.1 De¿nition of Semivariance 228
10.3.2 Utility Theory 230
10.3.3 Portfolio Analysis with the Semivariance 231
10.3.4 Capital Market Theory with the Semivariance 234
10.3.5 Summary about Semivariance 236
10.4 Stochastic Dominance Criterion 236
10.4.1 First-Order Stochastic Dominance 236
10.4.2 Second-Order Stochastic Dominance 241
10.4.3 Third-Order Stochastic Dominance 244
10.4.4 Summary of Stochastic Dominance Criterion 245
10.5 Mean-Variance-Skewness Analysis 246
10.5.1 Only Two Moments Can Be Inadequate 246
10.5.2 Portfolio Analysis in Three Moments 247
10.5.3 Ef¿cient Frontier in Three-Dimensional Space 249
10.5.4 Undiversi¿able Risk and Undiversi¿able Skewness 252
10.6 Summary and Conclusions 254
Appendix A: Stochastic Dominance 254
A10.1 Proof for First-Order Stochastic Dominance 254
A10.2 Proof That FA(r) ¿ FB(r) Is Equivalent to EA(r) ¿ EB(r) for Positive r 255
Appendix B: Expected Utility as a Function of Three Moments 257
CHAPTER 11 Risk Management: Value at Risk 261
11.1 VaR of a Single Asset 261
11.2 Portfolio VaR 263
11.3 Decomposition of a Portfolio's VaR 265
11.3.1 Marginal VaR 265
11.3.2 Incremental VaR 266
11.3.3 Component VaR 267
11.4 Other VaRs 269
11.4.1 Modi¿ed VaR (MVaR) 269
11.4.2 Conditional VaR (CVaR) 270
11.5 Methods of Measuring VaR 270
11.5.1 Variance-Covariance (Delta-Normal) Method 270
11.5.2 Historical Simulation Method 274
11.5.3 Monte Carlo Simulation Method 276
11.6 Estimation of Volatilities 277
11.6.1 Unconditional Variance 277
11.6.2 Simple Moving Average 277
11.6.3 Exponentially Weighted Moving Average 278
11.6.4 GARCH-Based Volatility 278
11.6.5 Volatility Measures Using Price Range 279
11.6.6 Implied Volatility 281
11.7 The Accuracy of VaR Models 282
11.7.1 Back-Testing 283
11.7.2 Stress Testing 284
11.8 Summary and Conclusions 285
Appendix: The Delta-Gamma Method 285
PART FIVE Asset Pricing Models
CHAPTER 12 The Capital Asset Pricing Model 291
12.1 Underlying Assumptions 291
12.2 The Capital Market Line 292
12.2.1 The Market Portfolio 292
12.2.2 The Separation Theorem 293
12.2.3 Ef¿cient Frontier Equation 294
12.2.4 Portfolio Selection 294
12.3 The Capital Asset Pricing Model 295
12.3.1 Background 295
12.3.2 Derivation of the CAPM 296
12.4 Over- and Under-priced Securities 299
12.5 The Market Model and the CAPM 300
12.6 Summary and Conclusions 301
Appendix: Derivations of the CAPM 301
A12.1 Other Approaches 301
A12.2 Tangency Portfolio Research 305
CHAPTER 13 Extensions of the Standard CAPM...
| Erscheinungsjahr: | 2013 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 576 S. |
| ISBN-13: | 9781118370520 |
| ISBN-10: | 111837052X |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: |
Francis, Jack Clark
Kim, Dongcheol |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 260 x 183 x 35 mm |
| Von/Mit: | Jack Clark Francis (u. a.) |
| Erscheinungsdatum: | 22.01.2013 |
| Gewicht: | 1,266 kg |
JACK CLARK FRANCIS is Professor of Economics and Finance at Bernard M. Baruch College in New York City. His research focuses on investments, banking, and monetary economics, and he has had dozens of articles published in many refereed academic, business, and government journals. Dr. Francis was an assistant professor of finance at the University of Pennsylvania's Wharton School of Finance for five years and was a Federal Reserve economist for two years. He received his bachelor's and MBA from Indiana University and earned his PhD in finance from the University of Washington in Seattle.
DONGCHEOL KIM is a Professor of Finance at Korea University in Seoul. He served as president of the Korea Securities Association and editor-in-chief of the Asia-Pacific Journal of Financial Studies. Previously, he was a finance professor at Rutgers University. Kim has published articles in Financial Management, the Accounting Review, Journal of Financial and Quantitative Analysis, Journal of Economic Research, Journal of Finance, and Journal of the Futures Market.
Preface xvii
CHAPTER 1 Introduction 1
1.1 The Portfolio Management Process 1
1.2 The Security Analyst's Job 1
1.3 Portfolio Analysis 2
1.3.1 Basic Assumptions 3
1.3.2 Reconsidering the Assumptions 3
1.4 Portfolio Selection 5
1.5 The Mathematics is Segregated 6
1.6 Topics to be Discussed 6
Appendix: Various Rates of Return 7
A1.1 Calculating the Holding Period Return 7
A1.2 After-Tax Returns 8
A1.3 Discrete and Continuously Compounded Returns 8
PART ONE Probability Foundations
CHAPTER 2 Assessing Risk 13
2.1 Mathematical Expectation 13
2.2 What Is Risk? 15
2.3 Expected Return 16
2.4 Risk of a Security 17
2.5 Covariance of Returns 18
2.6 Correlation of Returns 19
2.7 Using Historical Returns 20
2.8 Data Input Requirements 22
2.9 Portfolio Weights 22
2.10 A Portfolio's Expected Return 23
2.11 Portfolio Risk 23
2.12 Summary of Notations and Formulas 27
CHAPTER 3 Risk and Diversi¿cation 29
3.1 Reconsidering Risk 29
3.1.1 Symmetric Probability Distributions 31
3.1.2 Fundamental Security Analysis 32
3.2 Utility Theory 32
3.2.1 Numerical Example 33
3.2.2 Indifference Curves 35
3.3 Risk-Return Space 36
3.4 Diversi¿cation 38
3.4.1 Diversi¿cation Illustrated 38
3.4.2 Risky A + Risky B = Riskless Portfolio 39
3.4.3 Graphical Analysis 40
3.5 Conclusions 41
PART TWO Utility Foundations
CHAPTER 4 Single-Period Utility Analysis 45
4.1 Basic Utility Axioms 46
4.2 The Utility of Wealth Function 47
4.3 Utility of Wealth and Returns 47
4.4 Expected Utility of Returns 48
4.5 Risk Attitudes 52
4.5.1 Risk Aversion 52
4.5.2 Risk-Loving Behavior 56
4.5.3 Risk-Neutral Behavior 57
4.6 Absolute Risk Aversion 59
4.7 Relative Risk Aversion 60
4.8 Measuring Risk Aversion 62
4.8.1 Assumptions 62
4.8.2 Power, Logarithmic, and Quadratic Utility 62
4.8.3 Isoelastic Utility Functions 64
4.8.4 Myopic, but Optimal 65
4.9 Portfolio Analysis 66
4.9.1 Quadratic Utility Functions 67
4.9.2 Using Quadratic Approximations to Delineate Max[E(Utility)] Portfolios 68
4.9.3 Normally Distributed Returns 69
4.10 Indifference Curves 69
4.10.1 Selecting Investments 71
4.10.2 Risk-Aversion Measures 73
4.11 Summary and Conclusions 74
Appendix: Risk Aversion and Indifference Curves 75
A4.1 Absolute Risk Aversion (ARA) 75
A4.2 Relative Risk Aversion (RRA) 76
A4.3 Expected Utility of Wealth 77
A4.4 Slopes of Indifference Curves 77
A4.5 Indifference Curves for Quadratic Utility 79
PART THREE Mean-Variance Portfolio Analysis
CHAPTER 5 Graphical Portfolio Analysis 85
5.1 Delineating Ef¿cient Portfolios 85
5.2 Portfolio Analysis Inputs 86
5.3 Two-Asset Isomean Lines 87
5.4 Two-Asset Isovariance Ellipses 90
5.5 Three-Asset Portfolio Analysis 92
5.5.1 Solving for One Variable Implicitly 93
5.5.2 Isomean Lines 96
5.5.3 Isovariance Ellipses 97
5.5.4 The Critical Line 99
5.5.5 Inef¿cient Portfolios 101
5.6 Legitimate Portfolios 102
5.7 ''Unusual'' Graphical Solutions Don't Exist 103
5.8 Representing Constraints Graphically 103
5.9 The Interior Decorator Fallacy 103
5.10 Summary 104
Appendix: Quadratic Equations 105
A5.1 Quadratic Equations 105
A5.2 Analysis of Quadratics in Two Unknowns 106
A5.3 Analysis of Quadratics in One Unknown 107
A5.4 Solving an Ellipse 108
A5.5 Solving for Lines Tangent to a Set of Ellipses 110
CHAPTER 6 Ef¿cient Portfolios 113
6.1 Risk and Return for Two-Asset Portfolios 113
6.2 The Opportunity Set 114
6.2.1 The Two-Security Case 114
6.2.2 Minimizing Risk in the Two-Security Case 116
6.2.3 The Three-Security Case 117
6.2.4 The n-Security Case 119
6.3 Markowitz Diversi¿cation 120
6.4 Ef¿cient Frontier without the Risk-Free Asset 123
6.5 Introducing a Risk-Free Asset 126
6.6 Summary and Conclusions 131
Appendix: Equations for a Relationship between E(rp) and ¿p 131
CHAPTER 7 Advanced Mathematical Portfolio Analysis 135
7.1 Ef¿cient Portfolios without a Risk-Free Asset 135
7.1.1 A General Formulation 135
7.1.2 Formulating with Concise Matrix Notation 140
7.1.3 The Two-Fund Separation Theorem 145
7.1.4 Caveat about Negative Weights 146
7.2 Ef¿cient Portfolios with a Risk-Free Asset 146
7.3 Identifying the Tangency Portfolio 150
7.4 Summary and Conclusions 152
Appendix: Mathematical Derivation of the Ef¿cient Frontier 152
A7.1 No Risk-Free Asset 152
A7.2 With a Risk-Free Asset 156
CHAPTER 8 Index Models and Return-Generating Process 165
8.1 Single-Index Models 165
8.1.1 Return-Generating Functions 165
8.1.2 Estimating the Parameters 168
8.1.3 The Single-Index Model Using Excess Returns 171
8.1.4 The Riskless Rate Can Fluctuate 173
8.1.5 Diversi¿cation 176
8.1.6 About the Single-Index Model 177
8.2 Ef¿cient Frontier and the Single-Index Model 178
8.3 Two-Index Models 186
8.3.1 Generating Inputs 187
8.3.2 Diversi¿cation 188
8.4 Multi-Index Models 189
8.5 Conclusions 190
Appendix: Index Models 191
A8.1 Solving for Ef¿cient Portfolios with the Single-Index Model 191
A8.2 Variance Decomposition 196
A8.3 Orthogonalizing Multiple Indexes 196
PART FOUR Non-Mean-Variance Portfolios
CHAPTER 9 Non-Normal Distributions of Returns 201
9.1 Stable Paretian Distributions 201
9.2 The Student's t-Distribution 204
9.3 Mixtures of Normal Distributions 204
9.3.1 Discrete Mixtures of Normal Distributions 204
9.3.2 Sequential Mixtures of Normal Distributions 205
9.4 Poisson Jump-Diffusion Process 206
9.5 Lognormal Distributions 206
9.5.1 Speci¿cations of Lognormal Distributions 207
9.5.2 Portfolio Analysis under Lognormality 208
9.6 Conclusions 213
CHAPTER 10 Non-Mean-Variance Investment Decisions 215
10.1 Geometric Mean Return Criterion 215
10.1.1 Maximizing the Terminal Wealth 216
10.1.2 Log Utility and the GMR Criterion 216
10.1.3 Diversi¿cation and the GMR 217
10.2 The Safety-First Criterion 218
10.2.1 Roy's Safety-First Criterion 218
10.2.2 Kataoka's Safety-First Criterion 222
10.2.3 Telser's Safety-First Criterion 225
10.3 Semivariance Analysis 228
10.3.1 De¿nition of Semivariance 228
10.3.2 Utility Theory 230
10.3.3 Portfolio Analysis with the Semivariance 231
10.3.4 Capital Market Theory with the Semivariance 234
10.3.5 Summary about Semivariance 236
10.4 Stochastic Dominance Criterion 236
10.4.1 First-Order Stochastic Dominance 236
10.4.2 Second-Order Stochastic Dominance 241
10.4.3 Third-Order Stochastic Dominance 244
10.4.4 Summary of Stochastic Dominance Criterion 245
10.5 Mean-Variance-Skewness Analysis 246
10.5.1 Only Two Moments Can Be Inadequate 246
10.5.2 Portfolio Analysis in Three Moments 247
10.5.3 Ef¿cient Frontier in Three-Dimensional Space 249
10.5.4 Undiversi¿able Risk and Undiversi¿able Skewness 252
10.6 Summary and Conclusions 254
Appendix A: Stochastic Dominance 254
A10.1 Proof for First-Order Stochastic Dominance 254
A10.2 Proof That FA(r) ¿ FB(r) Is Equivalent to EA(r) ¿ EB(r) for Positive r 255
Appendix B: Expected Utility as a Function of Three Moments 257
CHAPTER 11 Risk Management: Value at Risk 261
11.1 VaR of a Single Asset 261
11.2 Portfolio VaR 263
11.3 Decomposition of a Portfolio's VaR 265
11.3.1 Marginal VaR 265
11.3.2 Incremental VaR 266
11.3.3 Component VaR 267
11.4 Other VaRs 269
11.4.1 Modi¿ed VaR (MVaR) 269
11.4.2 Conditional VaR (CVaR) 270
11.5 Methods of Measuring VaR 270
11.5.1 Variance-Covariance (Delta-Normal) Method 270
11.5.2 Historical Simulation Method 274
11.5.3 Monte Carlo Simulation Method 276
11.6 Estimation of Volatilities 277
11.6.1 Unconditional Variance 277
11.6.2 Simple Moving Average 277
11.6.3 Exponentially Weighted Moving Average 278
11.6.4 GARCH-Based Volatility 278
11.6.5 Volatility Measures Using Price Range 279
11.6.6 Implied Volatility 281
11.7 The Accuracy of VaR Models 282
11.7.1 Back-Testing 283
11.7.2 Stress Testing 284
11.8 Summary and Conclusions 285
Appendix: The Delta-Gamma Method 285
PART FIVE Asset Pricing Models
CHAPTER 12 The Capital Asset Pricing Model 291
12.1 Underlying Assumptions 291
12.2 The Capital Market Line 292
12.2.1 The Market Portfolio 292
12.2.2 The Separation Theorem 293
12.2.3 Ef¿cient Frontier Equation 294
12.2.4 Portfolio Selection 294
12.3 The Capital Asset Pricing Model 295
12.3.1 Background 295
12.3.2 Derivation of the CAPM 296
12.4 Over- and Under-priced Securities 299
12.5 The Market Model and the CAPM 300
12.6 Summary and Conclusions 301
Appendix: Derivations of the CAPM 301
A12.1 Other Approaches 301
A12.2 Tangency Portfolio Research 305
CHAPTER 13 Extensions of the Standard CAPM...
| Erscheinungsjahr: | 2013 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 576 S. |
| ISBN-13: | 9781118370520 |
| ISBN-10: | 111837052X |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: |
Francis, Jack Clark
Kim, Dongcheol |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 260 x 183 x 35 mm |
| Von/Mit: | Jack Clark Francis (u. a.) |
| Erscheinungsdatum: | 22.01.2013 |
| Gewicht: | 1,266 kg |
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