Developments in mean-variance efficient portfolio selection /

Developments in mean-variance efficient portfolio selection /

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Bibliographic Details
Author / Creator:Agarwal, Megha, 1982- author.
Imprint:Houndmills, Basingstoke, Hampshire ; New York, NY : Palgrave Macmillan, 2015.
Description:xvii, 242 pages ; 23 cm
Language:English
Subject:
Portfolio management -- Mathematical models.
Finance -- Mathematical models.
Finance -- Mathematical models.
Portfolio management -- Mathematical models.
Format: Print Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/10116853
Hidden Bibliographic Details
ISBN:9781137359919
1137359919
Notes:Includes bibliographical references and index.
Table of Contents:
  • List of Figures
  • List of Tables
  • Foreword
  • Preface
  • Acknowledgements
  • 1. Introduction
  • 1.1. Introduction
  • 1.2. Review of trends in the Indian economy and Indian capital markets
  • 1.3. Research gaps
  • 1.4. Raison d'être of the book
  • 1.5. Problem statement
  • 1.6. Research objectives
  • 1.7. Research hypotheses
  • 1.8. Research methodology
  • 1.9. Sources of data
  • 1.10. Chapter plan
  • 1.11. Limitations of the study
  • 2. Advances in Theories and Empirical Studies on Portfolio Management
  • 2.1. Literature on mean-variance efficient portfolio
  • 2.2. Literature on asset pricing theories
  • 2.3. Literature on diversification of portfolios
  • 2.4. Literature on portfolio optimisation and variance-covariance matrix
  • 2.5. Literature on the impact of behavioural and systemic factors on an investor's portfolio choice
  • 2.6. Literature on the lead-lag relationship between the stock and futures market
  • 2.7. Summary and conclusions
  • 3. Contributions to the Portfolio Theory
  • 3.1. The standard mean-variance portfolio selection model
  • 3.2. Advances in portfolio selection theories
  • 3.3. Emerging issues and challenges in Indian equity markets
  • 3.3.1. Risk management
  • 3.3.2. Disclosures and accounting standards
  • 3.3.3. Investor protection and education
  • 3.3.4. Wireless trading and co-location
  • 3.3.5. Algorithmic trading and high frequency trading
  • 3.3.6. Smart order routing
  • 3.3.7. Minimum public shareholding
  • 4. Mean-Variance Efficient Portfolio Selection: Model Development
  • 4.1. Multi-objective quadratic programming
  • 4.2. Model building and application
  • 4.2.1. The objective function
  • 4.2.2. Calculation of risk/variance of portfolio
  • 4.2.3. Evaluation criteria and constraint set
  • 4.2.4. Modelling constraints for an investor
  • 4.3. Multivariate regression: model formulation
  • 4.3.1. Multiple regression model 1
  • 4.3.2. Multiple regression model 2
  • 4.4. Granger causality tests
  • 4.5. A utility approach
  • 4.6. Performance measures for portfolios
  • 4.7. Tests for equality
  • 4.7.1. Mean equality test
  • 4.7.2. Variance equality tests
  • 4.8. To sum up
  • 5. Mean-Variance Quadratic Programming Portfolio Selection Model: An Empirical Investigation of India's National Stock Exchange
  • 5.1. Sample size and data collection
  • 5.2. Software used
  • 5.3. Mean-variance portfolio selection model: empirical testing
  • 5.4. Descriptive statistics - returns
  • 5.5. Data inputs
  • 5.6. Model formulations
  • 5.7. Mean-variance efficient portfolio selection model formulations: analysis and interpretations
  • 5.7.1. Diversifier's portfolio
  • 5.7.2. Satisficer's portfolio
  • 5.7.3. Plunger's portfolio
  • 5.7.4. Market trend portfolio
  • 5.7.5. Capital gain bias portfolio
  • 5.7.6. Dividend gain bias portfolio
  • 5.7.7. Equal priority portfolio
  • 5.7.8. Ideal portfolio
  • 5.7.9. Markowitz's portfolio selection model
  • 5.8. Comparison of alternate portfolio selection models
  • 5.9. Markowitz's efficient frontier and mean-variance efficient portfolios
  • 5.10. Multivariate regression analysis: estimating equations
  • 5.11. Granger causality analysis
  • 5.12. Utility analysis
  • 5.13. Performance evaluation of portfolios: ranking the model formulations
  • 5.14. Hypotheses testing: tests for equality
  • 5.15. To sum up
  • 6. Mean-Variance Portfolio Analysis Using Accounting, Financial and Corporate Governance Variables-Application on London Stock Exchange's FTSE 100
  • 6.1. Securities and evaluation criteria
  • 6.1.1. Data and software used
  • 6.1.2. Modelling constraints for an investor
  • 6.1.3. Alternative model formulations
  • 6.2. Results and discussion
  • 6.2.1. Formation of Pareto optimal portfolios
  • 6.2.2. Portfolio performance evaluation
  • 6.3. Out of the sample tests
  • 7. Summary, Conclusions and Suggestions for Future Research
  • 7.1. Model development
  • 7.1.1. A general model
  • 7.1.2. Alternate portfolio selection model formulations
  • 7.1.3. Multiple regression analysis
  • 7.1.4. Granger causality interpretations
  • 7.1.5. Portfolio utility analysis
  • 7.1.6. Performance evaluation of portfolios
  • 7.1.7. Tests for equality: main findings
  • 7.1.8. Out of the sample tests
  • 7.2. Conclusions
  • 7.3. Suggestions for future research
  • Annex
  • 1. Programming (or the multi-criteria portfolio selection Model
  • 2. Programming for Markowitz's portfolio selection model
  • Notes
  • References
  • Index
In Memory of Wesley J. Holland through the Holland Foundation bookplate

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