Book description
A through guide covering Modern Portfolio Theory as well as the
recent developments surrounding it
Modern portfolio theory (MPT), which originated with Harry
Markowitz's seminal paper "Portfolio Selection" in 1952, has
stood the test of time and continues to be the intellectual foundation
for real-world portfolio management. This book presents a
comprehensive picture of MPT in a manner that can be effectively used
by financial practitioners and understood by students.
Modern Portfolio Theory provides a summary of the important
findings from all of the financial research done since MPT was created
and presents all the MPT formulas and models using one consistent set
of mathematical symbols. Opening with an informative introduction to
the concepts of probability and utility theory, it quickly moves on to
discuss Markowitz's seminal work on the topic with a thorough
explanation of the underlying mathematics.
- Analyzes portfolios of all sizes and types, shows how the
advanced findings and formulas are derived, and offers a concise
and comprehensive review of MPT literature
- Addresses logical extensions to Markowitz's work, including the
Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio
ranking models, and performance attribution
- Considers stock market developments like decimalization, high
frequency trading, and algorithmic trading, and reveals how they
align with MPT
- Companion Website contains Excel spreadsheets that allow you to
compute and graph Markowitz efficient frontiers with riskless and
risky assets
If you want to gain a complete understanding of modern portfolio
theory this is the book you need to read.
JACK CLARK FRANCIS is Professor of Economics and Finance at
Bernard M. Baruch College in New York City. His research focuses on
investments, banking, and monetary economics, and he has had dozens of
articles published in many refereed academic, business, and government
journals. Dr. Francis was an assistant professor of finance at the
University of Pennsylvania's Wharton School of Finance for five years
and was a Federal Reserve economist for two years. He received his
bachelor's and MBA from Indiana University and earned his PhD in
finance from the University of Washington in Seattle.
Dongcheol Kim is a Professor of Finance at Korea University in
Seoul. He served as president of the Korea Securities Association and
editor-in-chief of the Asia-Pacific Journal of Financial
Studies. Previously, he was a finance professor at Rutgers
University. Kim has published articles in Financial Management,
the Accounting Review, Journal of Financial and Quantitative
Analysis, Journal of Economic Research, Journal of Finance, and
Journal of the Futures Market.
