Econophysics WS99/00: Portfolios (Lemm)
Lecture notes 11.1.2000
Some supplementing material
Example of portfolios with nonlinear constraints:
Some introductory remarks on the Capital Asset Pricing Model (CAPM)
Risk measures, alternative to variance or value at risk:
References:
-
J.-P. Bouchaud, M. Potters:
Theory of Financial Risk.
Draft version available from
http://www.science-finance.fr,
1999.
-
E.J. Elton, M.J. Gruber:
Modern Portfolio Theory and Investment Analysis.
John Wiley and Sons, New York, 1995.
-
H. Markowitz:
Portfolio Selection: Efficient Diversification of Investments.
John Wiley and Sons, 1959;
Yale University Press, 1970;
Basil Blackwell, 1991.
Joerg_Lemm
Last modified: Tue Feb 1 17:49:43 CET 2000