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Introduction to Mathematical Portfolio Theory Hardcover – 11 July 2013

by Mark S. Joshi (Author), Jane M. Paterson (Author)

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Edition: 1^st

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In this concise yet comprehensive guide to the mathematics of modern portfolio theory the authors discuss mean-variance analysis, factor models, utility theory, stochastic dominance, very long term investing, the capital asset pricing model, risk measures including VAR, coherence, market efficiency, rationality and the modelling of actuarial liabilities. Each topic is clearly explained with assumptions, mathematics, limitations, problems and solutions presented in turn. Joshi's trademark style of clarity and practicality is here brought to classical financial mathematics. The book is suitable for mathematically trained students in actuarial studies, business and economics as well as mathematics and finance, and it can be used for both self-study and as a course text. The authors' experience as both academics and practitioners brings clarity and relevance to the book, whilst ensuring that the limitations of models are highlighted.

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ISBN-10

1107042313
ISBN-13

978-1107042315
Edition

1st
Publisher

Cambridge University Press
Publication date

11 July 2013
Language

English
Dimensions

15.24 x 1.91 x 22.86 cm
Print length

325 pages
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Product description

Book Description

This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.

About the Author

Mark S. Joshi is a researcher and consultant in mathematical finance, and a Professor at the University of Melbourne. His research focuses on derivatives pricing and interest rate derivatives in particular. He is the author of numerous research articles on quantitative finance and four books.

Jane M. Paterson obtained a PhD in pure mathematics from the University of Melbourne. She furthered her academic experience with a postdoctoral fellowship at the Mathematical Sciences Research Institute, Berkeley and a research fellowship at the University of Cambridge. More recently she has worked in both the UK and Australia as a director in a variety of specialist and generalist banking roles, including structured finance and economic capital, with organisations including National Australia Bank and ANZ.

Product details

Publisher ‏ : ‎ Cambridge University Press; 1st edition (11 July 2013)
Language ‏ : ‎ English
Hardcover ‏ : ‎ 325 pages
ISBN-10 ‏ : ‎ 1107042313
ISBN-13 ‏ : ‎ 978-1107042315
Dimensions ‏ : ‎ 15.24 x 1.91 x 22.86 cm

Best Sellers Rank: 471,789 in Books (See Top 100 in Books)
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- 337 in Statistics Textbooks

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Jane M. Paterson
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M. S. Joshi
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Mark Joshi obtained a B.A. in mathematics (top of year) from the University of Oxford in 1990, and a Ph.D. in pure mathematics from the Massachusetts Institute of Technology in 1994. He was an assistant lecturer in the department of pure mathematics and mathematical statistics at Cambridge University from 1994 to 1999. Following which he worked for the Royal Bank of Scotland from 1999 to 2005 as a quantitative analyst at a variety of levels, finishing as the Head of Quantitative Research for Group Risk Management. He joined the Centre for Actuarial Studies at the University of Melbourne in November 2005 as an associate professor and is now a full professor.
"More mathematical finance" was published in September 2011.
In 2013, the second edition of "Quant Job Interview Questions and Answers"
appeared in May and a new book on portfolio theory joint with Jane Paterson came out in July: "Introduction to Mathematical Portfolio Theory."
In a return to pure mathematics, "Proof patterns" was published in March 2015.
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An ideal textbook for IFoA's CT8 subject

Reviewed in the United Kingdom on 29 July 2016

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This is an ideal textbook for both teaching and preparing for the CT8 Financial Economics subject of the Institute and Faculty of Actuaries (IFoA).
The book maps directly to CT8 syllabus objectives ( (i) - (vii) ) with many problems and worked solutions.
If you are preparing for or intend to prepare for the CT8 exam, this is a must-have text book.

This is also a very useful book for research students who are interested in Modern Portfolio Theory and Asset Pricing.

One person found this helpful

Vinicius

Good Book

Reviewed in the United States on 26 December 2013

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This book is very good, but your chapters are short. Then, the reader must have prior knowlegde about some topics.

2 people found this helpful

Goi Enrico

Ottima introduzione al tema

Reviewed in Italy on 28 February 2015

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Il libro presenta in modo conciso i principali argomenti introduttivi della teoria moderna del portfolio (MPT). La presentazione è precisa e ben organizzata, con un uso rigoroso della matematica senza però sfociare in eccessivi tecnicismi; il libro risulta quindi accessibile anche a chi ha un livello di conoscenza matematica medio-basso. Ho in generale apprezzato l'approccio scientifico che caratterizza l'intera opera e il pregevole sforzo di mettere sempre in luce i limiti degli modelli presentati. Ogni capitolo ha una sezione finale con numerosi esercizi di non grande complessità dei quali sono fornite le soluzioni in coda al libro, si potrebbe forse ridurre una certa ridondanza negli stessi sostituendone alcuni con altri di un livello di difficoltà maggiore.

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D. Winn

If you like Joshi, you'll like this

Reviewed in the United Kingdom on 29 January 2014

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If you like Joshi's other books then you'll probably like this. I personally find his style and formatting rather irritating - with poor choice of notation and equations without a LHS for example.

Having said that, like his other books, the content is good. I was looking for an introduction on CAPM and MPT in general and this book serves that purpose very well. If you're from a Mathematical background, then you won't find the going too hard. A second year undergraduate in Physics, for example, could easily read this and get a lot out of it.

Sure you can probably find a lot of the content online in free course notes, but this book really brings it all together in a good package for reference or self-teaching.

3 people found this helpful

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Introduction to Mathematical Portfolio Theory Hardcover – 11 July 2013

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