Modern Portfolio Theory, + Website: Foundations, Analysis, and New Developments Jack Clark Francis and Dongcheol Kim is an English-language textbook aimed at professionals in the financial sector. This reference work covers the core principles and recent developments in modern portfolio theory.
The book provides an in-depth analysis of modern portfolio theory (MPT), including the foundational concepts of probability theory and utility theory, along with a detailed discussion of Markowitz' pioneering work. It also covers extensions such as the Capital Asset Pricing Model and Arbitrage Pricing Theory. Current topics such as decimal quotation, high-frequency trading, and algorithmic trading are discussed in relation to MPT as well. The accompanying website includes Excel files to efficiently calculate and graph Markowitz portfolios with risk-free and risky assets.
The content aligns with fields such as investment and securities and finance & accounting. An essential book for anyone who wants to delve into portfolio theory and the new developments in it.
Series: Wiley Finance