## Portfolio AnalysisRisk estimates; Portfolio analysis; Portfolio theory; Utility analysis; Asset and liability management by means of portfolio analysis; Nonsystematic distribution of returns. |

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### Contents

Preface XV | 7 |

RISK ESTIMATES | 13 |

Risk Efficiency and Diversification | 34 |

Copyright | |

13 other sections not shown

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### Common terms and phrases

assets assume assumptions average bank beta Business calculated capital market theory Chapter coefficient Consider constant constraints contain correlation costs covariance decisions defined denoted derived discussed diversification dominance economic efficient frontier efficient portfolios empirical equal equation equilibrium estimates example expected return expected utility explained Figure Financial formula given graphed graphically implies increase interest investment investors Journal Journal of Financial liabilities linear marginal Markowitz mathematical matrix maximize mean measure mutual funds negative objective obtain opportunity percent performance period portfolio analysis Portfolio Selection positive possible preferences probability distribution problem programming quadratic random rate of return regression represents requires result risk securities Selection semivariance Sharpe shown shows simplified skewness solution solved space statistics suggested Table theory tion utility function variables variance wealth weights yields zero