Search results with tag "Portfolio theory"
Chapter 1 Introduction to Portfolio Theory
faculty.washington.eduAug 09, 2013 · Introduction to Portfolio Theory Updated: August 9, 2013. This chapter introduces modern portfolio theory in a simpli fied setting where there are only two risky assets and a single risk-free asset. 1.1 Portfolios of Two Risky Assets Consider the following investment problem. We can invest in two non-
Markowitz Mean-Variance Portfolio Theory
sites.math.washington.eduMarkowitz Mean-Variance Portfolio Theory 1. Portfolio Return Rates An investment instrument that can be bought and sold is often called an asset. Suppose we purchase an asset for x 0 dollars on one date and then later sell it for x 1 dollars. We call the ratio R = x 1 x 0 the return on the asset. The rate of return on the asset is given by r ...
FINANCE APPLICATIONS OF GAME THEORY
finance.wharton.upenn.eduSubsequent authors have made extensive contributions to portfolio theory. See Constantinides and Malliaris (1995). ... De Bondt and Thaler (1995) surveys behavioral explanations for this and other anomalies. Continuous Time Models. Perhaps the most significant advance in asset pricing theory since the early models were formulated was the ...