Portfolio Selection and Asset Pricing

ISBN-13: 9783540429159 / Angielski / Miękka / 2002 / 200 str.

Shouyang Wang;Yusen Xia

Opis

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.

Spis treści

Criteria, Models and Strategies in Portfolio Selection.- A Model for Portfolio Selection with Order of Expected Returns.- A Compromise Solution to Mutual Funds Portfolio Selection with Transaction Costs.- Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales.- Portfolio Frontier with Different Interest Rates for Borrowing and Lending.- Multi-period Investment.- Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs.- Capital Asset Pricing: Theory and Methodologies.- Empirical Tests of CAPM for China’s Stock Markets.