Modern portfolio theory and investment analysis

  title={Modern portfolio theory and investment analysis},
  author={Edwin J. Elton},
An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios. It stresses the economic intuition behind the subject matter while presenting advanced concepts of investment analysis and portfolio management. Readers will also discover the strengths and weaknesses of modern portfolio theory as well as the latest breakthroughs. 

Foundation of Portfolio Theory

In this chapter, we first define the basic concepts of risk and risk measurement. Using the relationship of risk and return, we introduce the efficient-portfolio concept and its implementation. Then

Portfolio Credit Risk Modeling

Portfolio credit risk analysis is a relatively new field of study. In the early nineties, analysts developed a wide range of models to extend the market practice of using value at risk (VAR) as a

Portfolio Construction and Risk Management: Practical Issues and Examples

This thesis describes some of the practical issues faced by a portfolio manager in analyzing the risk associated with a portfolio of assets. The main tools used are the mean-variance optimization

Assessment of Capital Asset Pricing Model in Indian stock market

As an extension of Harry Markowitz diversification and modern portfolio theory, William Sharpe, Jack Treynor, John Lintner and Jan Mossin introduced the CAPM. This exploratory research throws light

The Rationality of Asset Allocation Recommendations

The popular finance literature describes the asset allocation decision as one of the most important factors in determining investment performance. This article reviews the implications of modern

Capital Asset Pricing Model and Beta Forecasting

In this chapter, using the concepts of portfolio analysis and the dominance principle, we derive the capital asset pricing model (CAPM). Then we show how total risk can be decomposed into systematic

Emerging and Frontier Markets for Risk Averse Investors? : A study on equity risk premium and correlation in 96 markets.

Introduction: The portfolio theory states that an investor has to take into consideration expected return and variance to construct an optimal portfolio along the efficient frontier. The equity ris