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The Resource Developments in mean-variance efficient portfolio selection, Megha Agarwal

Developments in mean-variance efficient portfolio selection, Megha Agarwal

Label
Developments in mean-variance efficient portfolio selection
Title
Developments in mean-variance efficient portfolio selection
Statement of responsibility
Megha Agarwal
Creator
Subject
Language
eng
Summary
"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."--
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorDate
1982-
http://library.link/vocab/creatorName
Agarwal, Megha
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/subjectName
  • Portfolio management
  • Finance
Label
Developments in mean-variance efficient portfolio selection, Megha Agarwal
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 229-239) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. Advances in Theories and Empirical Studies on Portfolio Management -- 3. Contributions to the Portfolio Theory -- 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
Control code
FIEb17646893
Dimensions
23 cm.
Extent
xvii, 242 pages
Isbn
9781137359919
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)881655812
Label
Developments in mean-variance efficient portfolio selection, Megha Agarwal
Publication
Bibliography note
Includes bibliographical references (pages 229-239) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. Advances in Theories and Empirical Studies on Portfolio Management -- 3. Contributions to the Portfolio Theory -- 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
Control code
FIEb17646893
Dimensions
23 cm.
Extent
xvii, 242 pages
Isbn
9781137359919
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
System control number
(OCoLC)881655812

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