Mathematical Models in Portfolio Analysis

Mathematical Models in Portfolio Analysis Download free books at... Farida Kachapova Mathematical Models in Portfolio Analysis Download free eBooks at bookboon.com... Mathematical Model

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Mathematical Models in Portfolio Analysis

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Farida Kachapova

Mathematical Models in Portfolio

Analysis

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Mathematical Models in Portfolio Analysis

1st edition

ISBN 978-87-403-0370-4

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4

Contents

Contents

Part 1: Mathematical Introduction 8

1 Matrices and Applications 9

1.4 Systems of Linear Equations 13

1.5 Positive Deinite Matrices 14

2 Orthogonal Projection 19

2.1 Orthogonal Projection onto a Subspace 19

2.2 Orthogonal Projection onto a Vector 20

2.3 Minimal Property of Orthogonal Projection 21

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Contents

3 Random Variables 22

3.1 Numerical Characteristics of a Random Variable 22

3.2 Covariance and Correlation Coeicient 27

4.1 Euclidean Space of Random Variables 31

4.3 Regression to a Constant 37

4.4 Simple Linear Regression 38

Part 2: Portfolio Analysis 40

5 Portfolio Modelling 41

5.4 Statistical Parameters of an N-Asset Portfolio 48

5.5 Envelope of Financial Assets 49

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