Portfolio Analysis

Peter Brusov, Tatiana Filatova and Natali Orekhova
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Peter Brusov: Financial University Moscow
Tatiana Filatova: Financial University Moscow
Natali Orekhova: Financial University Moscow

Chapter 4 in Financial Mathematics, 2024, pp 135-198 from Springer

Abstract: Abstract The chapter “Portfolio Analysis” is devoted to portfolio analysis. The necessary information from probability theory is presented. A significant part of the chapter is devoted to the study of a portfolio of two securities, which, despite the relative simplicity of description, has all the characteristic properties of a portfolio of n securities. The cases of complete correlation, complete anticorrelation, two independent securities and the case of an arbitrary correlation coefficient are considered. Portfolio of three independent securities as well as risk-free security are studied. Portfolios of n securities (Makowitz’s portfolios as well as Tobin’s) are studied in details.

Date: 2024
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DOI: 10.1007/978-3-031-74668-0_4

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