Portfolio selection and asset pricing / Shouyang Wang, Yusen Xia.

Format:

Book

Author/Creator:

Wang, Shouyang, 1958-

Contributor:

Xia, Yusen.

Series:

Lecture notes in economics and mathematical systems ; 514.

Lecture notes in economics and mathematical systems ; 514

Language:

English

Subjects (All):

Investments--Mathematical models.

Investments.

Portfolio management--Mathematical models.

Portfolio management.

Physical Description:

xii, 200 pages : illustrations ; 24 cm.

Place of Publication:

Berlin ; New York : Springer, [2002]

Summary:

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.

Notes:

Includes bibliographical references (pages [177]-192) and indexes.

ISBN:

3540429158

OCLC:

49197306