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Developments in mean-variance efficient portfolio selection[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.632042
書名/作者:	Developments in mean-variance efficient portfolio selection/ Megha Agarwal.
作者:	Agarwal, Megha.
出版者:	Basingstoke : : Palgrave Macmillan,, 2014.
面頁冊數:	264 p. : : 23 figures, 45.
附註:	Electronic book text.
標題:	Finance - Mathematical models.
標題:	Portfolio management - Mathematical models.
標題:	Finance and Accounting.
標題:	Investment & securities.
ISBN:	1137359927 (electronic bk.) :
ISBN:	9781137359919
ISBN:	9781137359926 (electronic bk.) :
內容註:	1. Introduction 2. Advances in Theories and Empirical Studies on Portfolio Management 3. Developments in Mean-Variance Efficient Portfolio Selection 4. Mean-Variance Efficient Portfolio Selection: Model Development 5. Mean-Variance Quadratic Programming Portfolio Selection Model: An Empirical Investigation on the National Stock Exchange 6. Mean-Variance Portfolio Analysis using Accounting, Financial and Corporate Governance Variables: Application on London Stock Exchange's FTSE 100 7. Summary, Conclusions and Suggestions for Future Research.
摘要、提要註:	This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.
電子資源:	Online journal 'available contents' page

Developments in mean-variance efficient portfolio selection[electronic resource] /
Agarwal, Megha.

Developments in mean-variance efficient portfolio selection[electronic resource] /Megha Agarwal. - 1st ed. - Basingstoke :Palgrave Macmillan,2014. - 264 p. :23 figures, 45.

Electronic book text.

1. Introduction 2. Advances in Theories and Empirical Studies on Portfolio Management 3. Developments in Mean-Variance Efficient Portfolio Selection 4. Mean-Variance Efficient Portfolio Selection: Model Development 5. Mean-Variance Quadratic Programming Portfolio Selection Model: An Empirical Investigation on the National Stock Exchange 6. Mean-Variance Portfolio Analysis using Accounting, Financial and Corporate Governance Variables: Application on London Stock Exchange's FTSE 100 7. Summary, Conclusions and Suggestions for Future Research.

Document

This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.Mean-variance efficient portfolio selection was originally identified by Nobel Laureate Harry Markowitz (1952) and to this day remains one of the most popular approaches to portfolio selection. However the turmoil suffered by stock exchanges as a result of the financial crises in the United States and later in Europe has evoked new interest across the globe for better portfolio management within the existing mean variance framework. Substantial improvements in the availability of large data sets, real time information and software capable of performing complex computations contributes towards improved research work in portfolio selection. Better understanding of the markets and evolving economic models provide the means to add further to modern portfolio theory. This book discusses a variety of new determinants for optimal portfolio selection. It reviews the existing modelling framework for portfolio selection developed by Markowitz, Sharpe, Fama and French and Ross and creates mean-variance efficient portfolios from the available pool of securities companies listed on the National Stock Exchange (NSE). The crucial role of portfolio attributes such as expected return, variance, the responsiveness of stock's index returns, market capitalisation, book-to-equity ratio and other such factors are identified in the creation of efficient portfolios. The resulting portfolios created using alternate portfolio selection model formulations are compared using the Sharpe and Treynor ratios. Quantitative and qualitative comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market. The mean-variance analysis undertaken in this book will be of immense use to individual and institutional investors, brokerage houses, mutual fund managers, banks, high net worth individuals, portfolio management service providers, financial advisors, regulators, stock exchanges and research scholars in the area of portfolio selection.

PDF.

Megha Agarwal is an Assistant Professor at the University of Delhi, India. She gained her education from Kings College, London, Delhi School of Economics, Shri Ram College of Commerce and Delhi Public School in India. She is extensively engaged in research and teaching at the university and has published articles in a number of indexed/peer reviewed journals.

ISBN: 1137359927 (electronic bk.) :£65.00Subjects--Topical Terms:

342179
Finance
--Mathematical models.

LC Class. No.: HG4529.5 / .A36 2014

Dewey Class. No.: 332.632042

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