Modern Portfolio Theory: Foundations, Analysis, and New Developments (Wiley Finance)

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A through guide covering Modern Portfolio Theory as well as the recent developments surrounding it

Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal paper "Portfolio Selection" in 1952, has stood the test of time and continues to be the intellectual foundation for real-world portfolio management. This book presents a comprehensive picture of MPT in a manner that can be effectively used by financial practitioners and understood by students.

Modern Portfolio Theory provides a summary of the important findings from all of the financial research done since MPT was created and presents all the MPT formulas and models using one consistent set of mathematical symbols. Opening with an informative introduction to the concepts of probability and utility theory, it quickly moves on to discuss Markowitz's seminal work on the topic with a thorough explanation of the underlying mathematics.

• Analyzes portfolios of all sizes and types, shows how the advanced findings and formulas are derived, and offers a concise and comprehensive review of MPT literature
• Addresses logical extensions to Markowitz's work, including the Capital Asset Pricing Model, Arbitrage Pricing Theory, portfolio ranking models, and performance attribution
• Considers stock market developments like decimalization, high frequency trading, and algorithmic trading, and reveals how they align with MPT
• Companion Website contains Excel spreadsheets that allow you to compute and graph Markowitz efficient frontiers with riskless and risky assets

If you want to gain a complete understanding of modern portfolio theory this is the book you need to read.

Modern Portfolio Theory: Foundations, Analysis, and New Developments (Wiley Finance) Review

This is a book about the foundations of modern portfolio theory, but it goes further. It also delves into unexpected areas, like the VaR model of risk management, which rests on Markowitz's variance-covariance model. The material is written for readers with either practical or academic interest in financial economics. The choice of the material discussed cannot get closer to what is really important. And, the organization and reading ease make it accessible. Rigor is not sacrificed for accessibility and a lot of quite advanced material is presented in its full glory--sometimes in an advanced chapter (eg, Chapter 7) or in an end of chapter appendix. The book will be useful for both economics and finance students, and quantitative practitioners.
The book has no competition. It reviews numerous successes and limitations of portfolio models that have been developed during the decades since Markozitz's original contributions. Many numerical examples are placed throughout the book. Detailed references are plentiful. I think its structure can be helpful in carving out classes in portfolio theory, investments, and the economics of uncertainty-- from introductory to advanced levels.
A companion website contains downloadable Excel spreadsheets that perform quadratic programming to compute Markowitz efficient frontiers with nice graphs.
A high quality Instructors Manual with quantitative Q&A on each chapter is available from John Wiley & Sons.

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