Essays in Portfolio Management:  

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Eliezer  Z. Prisman  


Copyright (c) 2007  Eliezer  Z. Prisman 


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Chapter 1: Introduction 

1.1   Review time value of money Certainty vs. Uncertainty 

1.2   Modeling the consumer / investor decision process 

1.2.1  The Constraints 

1.2.2  The Consumer's Preferences 

1.2.3 The Consumer's Decision 

1.3   Introduction to Utility Analysis 

1.3.1 Utility and Uncertainty 

1.4   Saving vs. Investment 

1.5   A rigorous formulation of agents' decision 

1.6   Determining the equilibrium rate of interest in a simple economy 

1.7   Concluding Remarks 

1.8   Questions and Problems 

1.9   Appendix 


Chapter 2: Portfolio Choice under Uncertainty: The mean variance framework 

2.1   Preliminaries 

2.2   The Feasible Set in an Uncertain Environment: A First Look 

2.3   Review: Variance, Covariance, VarCov Matrix and Correlation Coefficient 

2.4   The Feasible Set with Two Assets 

2.5   The Feasible Set: A General Formulation 

2.5.1   Short sales allowed without a risk free asset 

2.5.2   Short sales allowed with a risk free asset. 

2.5.3 Short sales not allowed with and without a risk free asset. 

2.6   Concluding Remarks 

2.7   Questions and Problems 


Chapter 3: The Capital Asset Pricing Model (CAPM) 

3.1 Introduction 

3.2 Mean Variance and Utility representation 

3.3 Choosing The Optimal Portfolio 

3.4 The CAPM as an equilibrium model  

3.5 The Security Market Line (SML) 

3.6 Concluding Remarks 

3.7 Questions and Problems 



Chapter 4: Single and Multi-Index Models 

4.1   Introduction 

4.2   The Single Index (SIM) 

4.3   The Market Model 

4.4   SIM, Constant Correlation and the Efficient Frontier 

4.5   Multi-Index Model (MIM) 

4.6   Concluding Remarks 

4.7   Questions and Problems  


Chapter 5: Arbitrage Pricing Theory (APT) 

5.1  Introduction 

5.2   The APT Model 

5.3   The Intuition behind the APT 

5.4  Linear Programming and Arbitrage 

5.5   An Example 

5.6  Concluding Remarks 

5.7 Questions and Problems 


Chapter 6: Safety First Models 

6.1 Roy's Criterion 

6.2  Kataoka's Criterion 

6.3 Tesler's Criterion 

6.4  The Geometric mean Criterion 

6.5  Concluding Remarks 

6.6  Questions and Problems 

6.7 Appendix