Risk-return analysis Volume 1 : the theory and practice of rational investing Volume 1 :
The Nobel Prize-winning Father of Modern Portfolio Theory re-introduces his theories for the current world of investing Legendary economist Harry M. Markowitz provides the insight and methods you need to build a portfolio that generates strong returns for the long run In Risk-Return Analysis , Marko...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
New York :
McGraw-Hill Education
[2014]
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627579106719 |
Tabla de Contenidos:
- Cover
- Title Page
- Copyright Page
- Contents
- Foreword
- Preface
- Acknowledgments
- Outline of Plans for Volumes II, III, and IV
- 1. The Expected Utility Maxim
- Introduction
- Definitions
- Uniqueness
- Characteristics of Expected Utility Maximization
- RDMs Versus HDMs
- Allais's Paradox
- Weber's Law and the Allais Paradox
- The Axioms
- Axiom I
- Axiom II
- Axioms III and III'
- Bounded Versus Unbounded Utility of Returns
- Postscript
- 2. Mean-Variance Approximations to Expected Utility
- Introduction
- Why Not Just Maximize Expected Utility?
- Utility of Return Versus Utility of Wealth
- Loistl's Erroneous Analysis
- Levy and Markowitz (1979)
- Highly Risk-Averse Investors
- Highly Risk-Averse Investors and a Risk-Free Asset
- Portfolios of Call Options
- Ederington's Quadratic and Gaussian Approximations to Expected Utility
- Other Pioneers
- Conclusion
- 3. Mean-Variance Approximations to the Geometric Mean
- Introduction
- Why Inputs to a Mean-Variance Analysis Must Be Arithmetic Means
- Six Mean-Variance Approximations to g
- Observed Approximation Errors for Asset Classes
- Relationships Among Approximation Methods
- Twentieth-Century Real Equity Returns
- Choice of Approximation
- Recap
- Technical Note: Selecting a Weighted Average of Approximations
- 4. Alternative Measures of Risk
- Introduction
- The Asset-Class Database
- Comparisons
- The DMS Database
- Caveat and Conclusion
- 5. The Likelihood of Various Return Distributions (With Anthony Tessitore, Ansel Tessitore, and Nilufer Usmen)
- Introduction
- Bayes Factors
- Transformed Variables
- Compound Hypotheses
- The Pearson Family
- The DMS Database
- Practically Normal Distributions
- Illustrative Histograms
- Near LH-Maximizing Distributions for the Ensemble
- Transformed Country Distributions
- Observations.
- Recommendation
- Notes
- References
- Index.
