Portfolio Analysis

Peter Brusov, Tatiana Filatova and Natali Orekhova
Additional contact information
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
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-74668-0_4

Ordering information: This item can be ordered from
http://www.springer.com/9783031746680

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

Access Statistics for this chapter

More chapters in Springer Texts in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().