Title Statements
- Full title :Portfolio Selection and Asset Pricing
Edition Statements
- Publication Date:2022.
Publication Statements
- Publisher(s):McGraw-Hill Education
- Place of Publication:New York
- Language:eng
- Publication Date:2022.
Notes
Description based upon print version of record.
The Physical Object
- Description:1 online resource (395 p.)
Edition Identifiers
- ISBN:9781264270163, 126427016X
- oclc:on1337943713
- Dewey Decimal:332.632
Table of Contents
Cover -- Title Page -- Copyright Page -- Dedication -- Contents -- Introduction -- Acknowledgments -- PART I Mathematical Foundations -- 1 Functional Analysis in Real Vector Spaces -- 2 Optimization in Discrete Time -- 3 Optimization in Continuous Time -- 4 Utility Theory -- 5 Uncertainty: Basics of Probability and Statistics -- 6 Uncertainty: Stochastic Processes and Calculus -- PART II Portfolio Models -- 7 Single-Period and Continuous-Time Portfolio Choice -- 8 An Example of Asset Allocation for a Sovereign -- 9 Liability-Driven Asset Allocation -- PART III Asset Pricing
10 Equilibrium Asset Pricing -- 11 Factor Models -- 12 Derivatives Pricing -- 13 Interest Rate Models -- 14 Risk Premia -- PART IV Asset Allocation in Practice -- 15 Motivations for Robust Asset Allocation -- 16 Risk Budgeting Approach to Asset Allocation -- 17 Black-Litterman Model -- 18 Shrinkage -- 19 Robust Optimizers -- Appendix -- Bibliography -- Index
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