Portfolio Analysis and CAPM Model

  • Tomas CipraEmail author


Chapter 13 deals with portfolio analysis including the CAPM theory: 13.1. Construction of Portfolio, 13.2. Portfolio with a Risk-Free Asset, 13.3. CAPM Model.


Efficient Frontier Indifference Curve Capital Asset Price Model Negative Weight Market Portfolio 
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Further Reading

  1. Brealey, R.A., Myers, S.C.: Principles of Corporate Finance. McGraw-Hill, New York (1988)Google Scholar
  2. Dupacova, J., Hurt, J., Stepan, J.: Stochastic Modeling in Economics and Finance. Kluwer, Dordrecht (2002)zbMATHGoogle Scholar
  3. Elton, E.J., Gruber, M.J.: Modern Portfolio Theory and Investment Analysis. Wiley, New York (1991)Google Scholar
  4. Ingersoll, J.E.: Theory of Financial Decision Making. Rowman & Littlefield, Savage (1987)Google Scholar
  5. Markowitz, H.M.: Portfolio selection. Journal of Finance 6, 77–91 (1952)Google Scholar
  6. Sharpe, W.F., Alexander, G.J.: Investments. Prentice Hall, Englewood Cliffs, NJ (1990)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.Dept. of Statistics, Faculty of Mathematics and PhysicsCharles University of PraguePragueCzech Republic

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