Mathematical Portfolio Theory and Analysis
Birkhauser (Verlag)
978-981-19-8543-0 (ISBN)
The increase in volume and diversity of banking activities has resulted in a concurrent enhanced importance of portfolio theory, both in terms of management perspective (including risk management) and the resulting mathematical sophistication required. Most books on portfolio theory are written either from the management perspective, or are aimed at advanced graduate students and academicians. This book bridges the gap between these two levels of learning. With many useful solved examples and exercises with solutions as well as a rigorous mathematical approach of portfolio theory, the book is useful to undergraduate students of mathematical finance, business and financial management.
Siddhartha Pratim Chakrabarty is Professor at the Department of Mathematics, Indian Institute of Technology Guwahati, Assam, India. With a long and varied experience of teaching and undertaking research work in a wide spectrum of subareas of finance, including financial engineering, mathematical finance, computational finance, Monte–Carlo simulation, portfolio theory and financial risk management, he has offered two Massive Online Open Course (MOOC) courses through the National Program for Technology Enhanced Learning (NPTEL), on mathematical finance and mathematical portfolio theory. Professor Chakrabarty is very passionate about undergraduate research, which has led to several publications with his undergraduate students, many of whom have gone on to secure prestigious positions in academia, data science, entrepreneurship and investment banking. In 2020, he was a recipient of the Scholarship Scheme for Faculty Members from Academic Institutions 2020 by the Reserve Bank of India. A very active in professional services and outreach activities, Prof. Chakrabarty has supervised four Ph.D. students and published 46 research articles. Ankur Kanaujiya is Assistant Professor at the Department of Mathematics, National Institute of Technology Rourkela, Odisha, India. After completing his Ph.D. in the area of computational finance, he joined Birla Institute of Technology Mesra, Ranchi, Jharkhand, India, under the Technical Education Quality Improvement Programme (TEQIP) III before he moved to his current position. Dr. Kanaujiya has worked extensively in the areas of computational and applied mathematics with an emphasis on finance.
Chapter 1. Mechanisms of Financial Markets.- Chapter 2. Fundamentals of Probability Theory.- Chapter 3. Asset Pricing Models.- Chapter 4. Mean-Variance Portfolio Theory.- Chapter 5. Utility Theory.- Chapter 6. Non-Mean-Variance Portfolio Theory.- Chapter 7. Optimal Portfolio Strategies.- Chapter 8. Bond Portfolio Optimization.- Chapter 9. Risk Management of Portfolios.
“The book provides a holistic insight into mathematical portfolio theory and analysis at an undergraduate level. … This useful textbook provides students and teachers with new perspectives and novel approaches.” (Pavel Stoynov, zbMATH 1519.91001, 2023)
| Erscheinungsdatum | 23.02.2023 |
|---|---|
| Reihe/Serie | Compact Textbooks in Mathematics |
| Zusatzinfo | 10 Illustrations, color; 1 Illustrations, black and white; XIII, 150 p. 11 illus., 10 illus. in color. |
| Verlagsort | Singapore |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Angewandte Mathematik |
| Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik | |
| Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
| Schlagworte | bond portfolio optimization • mean-variance portfolio theory • non-mean-variance portfolio theory • optimal portfolio strategies • risk management of portfolios |
| ISBN-10 | 981-19-8543-X / 981198543X |
| ISBN-13 | 978-981-19-8543-0 / 9789811985430 |
| Zustand | Neuware |
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