Introduction to mathematical portfolio theory (Q2842206)

This book provides an introduction to financial economics.NEWLINENEWLINEThe first 4 chapters give a rigorous mathematical treatment of the theme of modern portfolio theory (Markowitz's portfolio theory). In addition, the authors provide review questions which are essential for understanding. Chapters 5--6 deal with single- and multi-factor models. Chapters 7--12 give a detailed and clear treatment of utility theory.NEWLINENEWLINEThe chapters contain interesting exercises which help to understand the material. Other subjects that are included in the book are risk measures, the Capital Asset Pricing Model, the arbitrage pricing model, market efficiency and rationality.NEWLINENEWLINEAlthough the book mostly deals with discrete-time markets, it also deals in the last chapter with financial models in continuous time in a Brownian setting. Each topic is clearly explained with rigorous mathematical treatment and contains exercises with solutions. The book is suitable for mathematically trained students in actuarial studies and it can be used for self-study and as course text.