by C. Kenneth Jones
The hardcover book derives the theory of portfolio networks from first principles and presents for the first time the revolutionary new Digital Portfolio Theory model.
Use the methodology detailed in this unique, new book and you’ll be equipped to dissect and solve most of the practical investment problems you encounter in today’s complex and uncertain environment…
The network representation of financial decisions and the use of digital signal processing to describe uncertainty combine to make the PSS software package and the book PORTFOLIO MANAGEMENT essential tools for every investment professional.
Digital Portfolio Theory is derived by applying digital technology to Modern Portfolio Theory.’
C. Kenneth Jones
AMOCO Professor of Management
The application of network models to portfolio planning is an area with exciting possibilities and this book fills a current void.
Journal of Finance
PORTFOLIO MANAGEMENT is an innovative book, giving new in-depth treatment of the concepts and ideas behind the modeling of complex financial decision. In two parts, this authoritative book first explores the theory of deterministic portfolio networks. The second part presents stochastic portfolio networks, offering new and previously undocumented theory. Special emphasis is placed on defining risk consistent with the periodic nature of the markets. PORTFOLIO MANAGEMENT comprehensively applies the portfolio network model to everyday portfolio and financial management situations. It introduces stochastic portfolio networks using digital signal processing and adds a time dimension to capital market theory. Calendar based risk is defined for the first time and used in a market equilibrium pricing model.
This pioneering text:
- derives a general quantitative theory of financial modeling or financial systems theory.
- uses digital signal processing concepts for the first time to formulate the portfolio decision problem under uncertainty.
- achieves portfolio optimization and efficiency in uncertain environments using a Linear Programming solution.
- models arbitrage, hedging and risk management decisions using stochastic portfolio networks.
PORTFOLIO MANAGEMENT can be used in a course in portfolio theory, financial modeling, or financial management and trading systems. The presentation is oriented to students and investors with only a basic exposure to statistics, linear programming and finance. No prior knowledge of statistical signal processing is assumed. Simple examples are used throughout to illustrate the practical application of the theory.
PORTFOLIO MANAGEMENT is written to give the reader the edge in making the creation of effective decision-making processes a practical reality.
Increase your skill in:
- formulating and building formal models of complex financial decisions
- perceiving the critical issues to be resolved in these decisions
- isolating the key elements and their interrelationship
PORTFOLIO NETWORKS UNDER CERTAINTY
- Pure portfolio networks
- Generalized portfolio networks
- The optimization problem for portfolio networks\
- Capital budgeting
- Discrete portfolio networks
- Portfolio management
- Foreign exchange management
STOCHASTIC PORTFOLIO NETWORK FUNDAMENTALS
- Periodic returns
- Return phasors and portfolio networks
- Risk and stochastic processes
- Stochastic portfolio networks
- Diversification in stochastic portfolio networks using a market index
- Arbitrage pricing theory
- The capital asset pricing model
- Overview of portfolio modeling