Introduction to mathematical portfolio theory - Joshi, Mark S.; Paterson, Jane M. (Cambridge, UK Cambridge University Press, 2013)
Definitions of risk and return -- Efficient portfolios: the two-asset case -- Portfolios with a risk-free asset -- Finding the efficient frontier- the multi-asset case -- Single-factor models -- Multi-factor models -- Introducing utility -- Utility and risk aversion -- Foundations of utility theory -- Maximizing long-term growth -- Stochastic dominance -- Risk measures -- The capital asset pricing model -- The arbitrage pricing model -- Market efficiency and rationality -- Brownian motion and stock price models across time -- Appendix A. Matrix algebra -- Appendix B. Solutions.
Includes bibliographical references (pages 309-310) and index.
Keywords: Portfolio management -- Mathematical models