Pages: 260

Trade Paper: ISBN 9788885486089; $51.95

Pdf: ISBN 9788885486072; $38,99

Authors: Massimo Guidolin, Manuela Pedio

### Table of Contents

**Foreword**

** **

**List of Symbols and Acronyms**

** **

**1. Introduction to Portfolio Analysis: Key Notions**

1. Financial Securities

1.1 Definition of financial securities

1.2 Computing the return of financial securities

2. Choices under Risky Situations

2.1 Choices under uncertainty: a general framework

2.2 Complete and incomplete criteria of choice under uncertainty

3. Statistical Summaries of Portfolio Returns

3.1 Portfolio mean

3.2 Portfolio variance and standard deviation

References and Further Readings

** **

**2. Choice under Uncertainty and State-Preference Approach to Portfolio Decisions**

1. Representing Preferences and Risk Aversion Attitudes with Utility Functions

1.1 Choice under certainty: preference relations

1.2 The expected utility theorem

2. Measuring Risk Aversion and Its Economic Implications

2.1 Risk aversion and the concavity of the utility function

2.2 Measuring risk aversion

2.3 Absolute and relative risk aversion measures and acceptable odds of a bet

2.4 Absolute and relative risk aversion coefficients and the size of the risk premium

3. A Review of Commonly Used Utility of Wealth Functions

References and Further Readings

Appendix A

Appendix B

** **

**3. Introduction to Mean-Variance Analysis**

1. The Opportunity Set and the Efficient Frontier (No Riskless Borrowing and Lending)

1.1 The efficient frontier with two risky securities

1.2 The efficient frontier with N risky securities

2. The Opportunity Set and the Efficient Frontier (with Riskless Borrowing and Lending)

3. Efficient Frontier under Short-Selling Constraints.

References and Further Readings

Appendix A

Appendix B

A Worked-Out Excel Example

** **

**4. Optimal Portfolio Selection: A Few Analytical Results**

1. Risk Aversion and the Canonical Portfolio Problem

1.1 When will risky assets be demanded?

1.2 A few comparative statics results

1.3 A second two-fund separation result: Cass-Stiglitz’s theorem

2. Aversion to Risk and Optimal Portfolio Selection in the Mean-Variance Framework

2.1 Mean-variance preference representations: pros and cons

2.2 Indifference curves in mean-variance space

2.3 Optimal mean-variance portfolios

3. Increasing Risk and Stochastic Dominance Criteria

3.1 First-order stochastic dominance

3.2 Second-order stochastic dominance

References and Further Readings

A Worked-Out Excel Example