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Portfolio Selection and Asset Pricing

  • Book
  • © 2002

Overview

Authors:
  1. Shouyang Wang

    1. Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing, China

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    You can also search for this author in PubMed   Google Scholar

  2. Yusen Xia

    1. McCombs School of Business, University of Texas at Austin, Austin, USA

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 514)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xii
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  2. Criteria, Models and Strategies in Portfolio Selection

    • Shouyang Wang, Yusen Xia
    Pages 1-22

  3. A Model for Portfolio Selection with Order of Expected Returns

    • Shouyang Wang, Yusen Xia
    Pages 23-38

  4. A Compromise Solution to Mutual Funds Portfolio Selection with Transaction Costs

    • Shouyang Wang, Yusen Xia
    Pages 39-54

  5. Optimal Portfolio Selection of Assets with Transaction Costs and No Short Sales

    • Shouyang Wang, Yusen Xia
    Pages 55-72

  6. Portfolio Frontier with Different Interest Rates for Borrowing and Lending

    • Shouyang Wang, Yusen Xia
    Pages 73-104

  7. Multi-period Investment

    • Shouyang Wang, Yusen Xia
    Pages 105-127

  8. Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs

    • Shouyang Wang, Yusen Xia
    Pages 129-144

  9. Capital Asset Pricing: Theory and Methodologies

    • Shouyang Wang, Yusen Xia
    Pages 145-162

  10. Empirical Tests of CAPM for China’s Stock Markets

    • Shouyang Wang, Yusen Xia
    Pages 163-175

  11. Back Matter

    Pages 177-200
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Keywords

About this book

In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

Authors and Affiliations

  • Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing, China

    Shouyang Wang

  • McCombs School of Business, University of Texas at Austin, Austin, USA

    Yusen Xia

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