Portfolio Theory: With Application to Bank Asset Management (ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS)

Portfolio Theory: With Application to Bank Asset Management provides information pertinent to the fundamental aspects of the management of bank assets and liabilities. This book presents the mean-variance approach to obtain many analytical results and a complete insight into the portfolio selection problem. Organized into 16 chapters, this book begins with an overview of the formalization of decision-making under uncertainty. This text then presents the construction and complete analysis of a Markowitz-type portfolio selection model. Other chapters consider the problems of portfolio selection in an inflationary or multicurrency environment. This book discusses as well an approximate technique for constructing a diagonal model at the cost of increasing by one the number of investments and the number of constraints. The final chapter deals with the study of the portfolio selection problem and to the analysis of the properties of the efficient set of the mean variance criterion. This book is a valuable resource for economists. Content: Front Matter, Page iii Copyright, Page iv Dedication, Page v PREFACE, Pages xi-xii NOTATION, Pages xiii-xiv CHAPTER 1 - INVESTMENT DECISIONS UNDER UNCERTAINTY, Pages 1-20 CHAPTER 2 - PROPERTIES OF THE EFFICIENT FRONTIER: THE NONSINGULAR CASE, Pages 21-34 CHAPTER 3 - PROPERTIES OF THE BOUNDARY PORTFOLIOS, Pages 35-47 CHAPTER 4 - ORTHOGONAL PORTFOLIOS AND COVARIANCE AMONG BOUNDARY PORTFOLIOS, Pages 48-62 CHAPTER 5 - ENLARGING THE SET OF INVESTMENTS: PROPERTIES OF EQUIVALENCE AND DOMINANCE, Pages 63-70 CHAPTER 6 - ENLARGING THE SET OF INVESTMENTS WITH A RISKLESS ASSET, Pages 71-83 CHAPTER 7 - PROPERTIES OF THE EFFICIENT FRONTIER WITH ONE RISKLESS ASSET, Pages 84-92 CHAPTER 8 - ENLARGING THE SET OF INVESTMENTS: THE GENERAL SINGULAR CASE, Pages 93-103 CHAPTER 9 - PROPERTIES OF THE EFFICIENT FRONTIER IN THE GENERAL SINGULAR CASE, Pages 104-111 CHAPTER 10 - MUTUAL FUNDS AND GENERALIZED SEPARATION, Pages 112-119 CHAPTER 11 - MULTIPLE SINGULARITIES AND MULTIPLE DOMINANCE, Pages 120-129 CHAPTER 12 - THE PORTFOLIO PROBLEM WITH NONNEGATIVITY CONSTRAINTS, Pages 130-142 CHAPTER 13 - DIAGONAL AND LINEAR MODELS, Pages 143-152 CHAPTER 14 - THE CAPITAL ASSET PRICING MODEL, Pages 153-161 CHAPTER 15 - PORTFOLIO SELECTION IN AN INFLATIONARY OR MULTICURRENCY ENVIRONMENT, Pages 162-170 CHAPTER 16 - BANK ASSETS AND PORTFOLIO MANAGEMENT, Pages 171-183 APPENDIX A - THE STRUCTURE OF THE VARIANCE–COVARIANCE MATRIX, Pages 185-186 APPENDIX B - PROOF THAT αγ – β2 > 0, Pages 187-188 APPENDIX C - PROOF OF PROPERTY (2.15), Pages 189-190 APPENDIX D - THE EXISTENCE OF AN ORTHONORMAL BASIS, Pages 191-192 APPENDIX E - THE INVERSE OF A PARTITIONED MATRIX, Pages 193-196 APPENDIX F - PROOF OF CONDITION (6.17), Pages 197-198 APPENDIX G - CONSTRUCTION OF THE TRANSFORMATION MATRIX K, Pages 199-200 APPENDIX H - PROOF OF CONDITION (8.49), Pages 201-202 APPENDIX I - ON THE NUMERICAL CONSTRUCTION OF THE BEST FIT INDEX, Pages 203-206 REFERENCES, Pages 207-210 INDEX, Pages 211-215 ECONOMIC THEORY, ECONOMETRICS, AND MATHEMATICAL ECONOMICS, Pages ibc1-ibc2 Giorgio P. Szegö. Includes Index. Bibliography: P. 207-210.