Skip navigation Download free eBooks and textbooks

Choose a category

Mathematical Models in Portfolio Analysis

Mathematical Models in Portfolio Analysis
Not enough reviews yet
ISBN: 978-87-403-0370-4
1 edition
Pages : 110
Price: Free

Download for FREE in 4 easy steps...

We are terribly sorry, but in order to download our books or watch our videos, you will need a browser that allows JavaScript.
Please enter your work email address.
After entering your email address, a confirmation email will be sent to your inbox. Please approve this email to receive our weekly eBook update. We will not share your personal information with any third party.

This is a Premium eBook

Bookboon Premium - Get access to over 800 eBooks - without ads

You can get free access for a month to this - and 800 other books with the Premium Subscription. You can also buy the book below

  • Start a 30-day free trial. After trial: 39.99 kr p/m
  • Start a 30-day free trial. After trial: €5.99 p/m
  • Start a 30-day free trial. After trial: £4.99 p/m
  • Start a 30-day free trial. After trial: ₹299 p/m
  • Start a 30-day free trial. After trial: $3.99 p/m
  • Start a 30-day free trial. After trial: 39.99 kr p/m
  • Start a 30-day free trial. After trial: 39.99 kr p/m
You can also get a companywide e-learning solution - click here

About the book

  1. Description
  2. Content
  3. About the Author


This book explains portfolio modelling in financial mathematics as a consistent mathematical theory with all steps justified. The topics include mean-variance portfolio analysis and capital market theory. The book contains many examples with solutions. Linear algebra rather than calculus is used as foundation for portfolio analysis; this approach is more conceptual and helps to avoid tedious calculations. The reader does not need much previous mathematical knowledge, only interest in mathematics and its financial applications because the book provides a general mathematical introduction.



Part 1: Mathematical Introduction

  1. Matrices and Applications
    1. Terminology
    2. Matrix Operations
    3. Determinants
    4. Systems of Linear Equations
    5. Positive Definite Matrices
    6. Hyperbola
  2. Orthogonal Projection
    1. Orthogonal Projection onto a Subspace
    2. Orthogonal Projection onto a Vector
    3. Minimal Property of Orthogonal Projection
  3. Random Variables
    1. Numerical Characteristics of a Random Variable
    2. Covariance and Correlation Coefficient
    3. Covariance Matrix
  4. Regression
    1. Euclidean Space of Random Variables
    2. Regression
    3. Regression to a Constant
    4. Simple Linear Regression
  5. Part 2: Portfolio Analysis

  6. Portfolio Modelling
    1. Terminology
    2. Short Sales
    3. Minimizing Risk
    4. Statistical Parameters of an N-Asset Portfolio
    5. Envelope of Financial Assets
  7. Mean-Variance Analysis
    1. Principle of Two Fund Separation
    2. Efficient Frontier
    3. Mean-Variance Relation
    4. Mean-Variance Relation for 2-Asset Portfolios
  8. Capital Market Theory
    1. Risk-Free Asset
    2. Tangency Portfolio
    3. Market Portfolio. Capital Market Line
    4. Finding Market Portfolio and CML Equation
    5. Regression in Finance. Beta Coefficient
    6. Capital Asset Pricing Model and Security Market Line
  9. Bibliography

About the Author

Farida Kachapova graduated from the Moscow State University, Russia, with a Master Degree in mathematics with distinction and completed a PhD in mathematical logic in the same university in 1987. She also has a Graduate Diploma in Teaching from the University of Auckland, New Zealand.

Farida has industry experience from Russia and New Zealand and over 20 years of experience in tertiary education. She was a mathematics lecturer in the Moscow Institute of Steel and Alloys, Russia, for 9 years. She moved to New Zealand in 1999. Since 2001 Farida is a mathematics lecturer in the Auckland University of Technology where she teaches courses in financial mathematics, calculus, differential equations, linear and general algebra, probability, stochastic processes and statistics.

Farida is the author of over 50 research publications in the areas of mathematical logic, probability theory and mathematics education.

This website uses cookies to improve user experience. By using our website you consent to all cookies in accordance with EU regulation.