出版社: Oxford University Press
出版年: 199773
页数: 512
定价: USD 149.95
装帧: Hardcover
ISBN: 9780195108095
内容简介 · · · · · ·
Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how ...
Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how they can be used in actual investment practice. The book also examines where the field might be headed in the future, and goes much further in terms of mathematical content, featuring varying levels of mathematical sophistication throughout. Endofchapter exercises are also included to help individuals get a better grasp on investment science.
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QueSara (occasionally sober)
1.Proof: Portfolio diagram lemma: The curve in a meanvariance diagram defined by nonnegative mixtures of two assets 1 and 2 lies within the triangular region defined by the two original assets and the point on the vertical axis of height A. Let p=1, find the upper boundary; let p=1, find the lower boundary 2.Solution of the Markowitz problem **Application of lagrangian**. this formula...20111004 04:12
1.Proof:Portfolio diagram lemma:The curve in a meanvariance diagram defined by nonnegative mixtures of two assets 1 and 2 lies within the triangular region defined by the two original assets and the point on the vertical axis of height A.Let p=1, find the upper boundary; let p=1, find the lower boundary2.Solution of the Markowitz problem**Application of lagrangian**. this formular is very useful in asset pricing model.2 assets, 3 assets and then practice on n assets. at this current stage, all assets are risky.回应 20111004 04:12 
QueSara (occasionally sober)
Basic/Starting Point 1. Total return=amount received/amount invested 2. Rate of return=(amount receivedamount invested)/amount invested 3. r=(X1X0)/X0 (shorter expression of rate of return). Actually they are just the same. 4. R=1+r (Middle school knowledge) 5. X1=(1+r)*X0 (it shows that rate of return acts much like an interest rate) Short Sales 1. The opposite to long sales. to s...20111004 02:19
Basic/Starting Point1. Total return=amount received/amount invested2. Rate of return=(amount receivedamount invested)/amount invested3. r=(X1X0)/X0 (shorter expression of rate of return). Actually they are just the same.4. R=1+r (Middle school knowledge)5. X1=(1+r)*X0 (it shows that rate of return acts much like an interest rate)Short Sales1. The opposite to long sales. to sell an asset that you do not current own. Borrow the asset from someone else, and sel it, then repay the loan by purchasing the asset, and then return the asset to lender.2. Quite risky. 2.1 potential loss is unlimited. it depends on the future price of the asset you borrowed. since you have to purchase it back and return it to the lender, and if you are on a shortposition, you simply assume that the price of that asset is gonna go down in the forseeable future.3. Interesting point from the book When short selling a stock, you are essentially duplicating the role of the issuing corporation. sell the stock to raise immediate capital. ** if the stock pays dividens during the period (you have borrowed it), you too must pay the same dividend to the person from whom you borrow the stock.To illustrate: receive X0 initially and pay X1 later.so R=X1/(X0)=X1/X0thereforem X1=X0R=Xo(1+r)shorting coverts a negative rate of return into a profit, since the original investment is also negative.A little complicated stuff is on.Portfolio Returnmaster asset=portfolio1. W1+w2+Wn=1. if w<0, then short selling is allowed. negative weights mean borrowing money to buy assets.2. ∑Wi=1. ∑wiri=1Also some review on mean （expected rate of return), variance, SD (Standard Deviation).formular, experssion, and properties.For example, 1. Expected return (Properties) expected return of a certain value (obviously it is not a radom variable), is itself linearity. (selfexplanatory) nonnegativity==if there are more than one variable, then we come across the topic " several random variables".1. There relationships: independent or dependent How to define: see their covariance. if it does not equal to zero, then they are dependent. vice versa.2. more advanced: correlation coefficient of 2 variables. the absolute value should not be bigger than 1. if it is 1, that means the two variables are perfectly correlated (positively or negatively).To be continued回应 20111004 02:19

QueSara (occasionally sober)
1.Proof: Portfolio diagram lemma: The curve in a meanvariance diagram defined by nonnegative mixtures of two assets 1 and 2 lies within the triangular region defined by the two original assets and the point on the vertical axis of height A. Let p=1, find the upper boundary; let p=1, find the lower boundary 2.Solution of the Markowitz problem **Application of lagrangian**. this formula...20111004 04:12
1.Proof:Portfolio diagram lemma:The curve in a meanvariance diagram defined by nonnegative mixtures of two assets 1 and 2 lies within the triangular region defined by the two original assets and the point on the vertical axis of height A.Let p=1, find the upper boundary; let p=1, find the lower boundary2.Solution of the Markowitz problem**Application of lagrangian**. this formular is very useful in asset pricing model.2 assets, 3 assets and then practice on n assets. at this current stage, all assets are risky.回应 20111004 04:12 
QueSara (occasionally sober)
Basic/Starting Point 1. Total return=amount received/amount invested 2. Rate of return=(amount receivedamount invested)/amount invested 3. r=(X1X0)/X0 (shorter expression of rate of return). Actually they are just the same. 4. R=1+r (Middle school knowledge) 5. X1=(1+r)*X0 (it shows that rate of return acts much like an interest rate) Short Sales 1. The opposite to long sales. to s...20111004 02:19
Basic/Starting Point1. Total return=amount received/amount invested2. Rate of return=(amount receivedamount invested)/amount invested3. r=(X1X0)/X0 (shorter expression of rate of return). Actually they are just the same.4. R=1+r (Middle school knowledge)5. X1=(1+r)*X0 (it shows that rate of return acts much like an interest rate)Short Sales1. The opposite to long sales. to sell an asset that you do not current own. Borrow the asset from someone else, and sel it, then repay the loan by purchasing the asset, and then return the asset to lender.2. Quite risky. 2.1 potential loss is unlimited. it depends on the future price of the asset you borrowed. since you have to purchase it back and return it to the lender, and if you are on a shortposition, you simply assume that the price of that asset is gonna go down in the forseeable future.3. Interesting point from the book When short selling a stock, you are essentially duplicating the role of the issuing corporation. sell the stock to raise immediate capital. ** if the stock pays dividens during the period (you have borrowed it), you too must pay the same dividend to the person from whom you borrow the stock.To illustrate: receive X0 initially and pay X1 later.so R=X1/(X0)=X1/X0thereforem X1=X0R=Xo(1+r)shorting coverts a negative rate of return into a profit, since the original investment is also negative.A little complicated stuff is on.Portfolio Returnmaster asset=portfolio1. W1+w2+Wn=1. if w<0, then short selling is allowed. negative weights mean borrowing money to buy assets.2. ∑Wi=1. ∑wiri=1Also some review on mean （expected rate of return), variance, SD (Standard Deviation).formular, experssion, and properties.For example, 1. Expected return (Properties) expected return of a certain value (obviously it is not a radom variable), is itself linearity. (selfexplanatory) nonnegativity==if there are more than one variable, then we come across the topic " several random variables".1. There relationships: independent or dependent How to define: see their covariance. if it does not equal to zero, then they are dependent. vice versa.2. more advanced: correlation coefficient of 2 variables. the absolute value should not be bigger than 1. if it is 1, that means the two variables are perfectly correlated (positively or negatively).To be continued回应 20111004 02:19

QueSara (occasionally sober)
1.Proof: Portfolio diagram lemma: The curve in a meanvariance diagram defined by nonnegative mixtures of two assets 1 and 2 lies within the triangular region defined by the two original assets and the point on the vertical axis of height A. Let p=1, find the upper boundary; let p=1, find the lower boundary 2.Solution of the Markowitz problem **Application of lagrangian**. this formula...20111004 04:12
1.Proof:Portfolio diagram lemma:The curve in a meanvariance diagram defined by nonnegative mixtures of two assets 1 and 2 lies within the triangular region defined by the two original assets and the point on the vertical axis of height A.Let p=1, find the upper boundary; let p=1, find the lower boundary2.Solution of the Markowitz problem**Application of lagrangian**. this formular is very useful in asset pricing model.2 assets, 3 assets and then practice on n assets. at this current stage, all assets are risky.回应 20111004 04:12 
QueSara (occasionally sober)
Basic/Starting Point 1. Total return=amount received/amount invested 2. Rate of return=(amount receivedamount invested)/amount invested 3. r=(X1X0)/X0 (shorter expression of rate of return). Actually they are just the same. 4. R=1+r (Middle school knowledge) 5. X1=(1+r)*X0 (it shows that rate of return acts much like an interest rate) Short Sales 1. The opposite to long sales. to s...20111004 02:19
Basic/Starting Point1. Total return=amount received/amount invested2. Rate of return=(amount receivedamount invested)/amount invested3. r=(X1X0)/X0 (shorter expression of rate of return). Actually they are just the same.4. R=1+r (Middle school knowledge)5. X1=(1+r)*X0 (it shows that rate of return acts much like an interest rate)Short Sales1. The opposite to long sales. to sell an asset that you do not current own. Borrow the asset from someone else, and sel it, then repay the loan by purchasing the asset, and then return the asset to lender.2. Quite risky. 2.1 potential loss is unlimited. it depends on the future price of the asset you borrowed. since you have to purchase it back and return it to the lender, and if you are on a shortposition, you simply assume that the price of that asset is gonna go down in the forseeable future.3. Interesting point from the book When short selling a stock, you are essentially duplicating the role of the issuing corporation. sell the stock to raise immediate capital. ** if the stock pays dividens during the period (you have borrowed it), you too must pay the same dividend to the person from whom you borrow the stock.To illustrate: receive X0 initially and pay X1 later.so R=X1/(X0)=X1/X0thereforem X1=X0R=Xo(1+r)shorting coverts a negative rate of return into a profit, since the original investment is also negative.A little complicated stuff is on.Portfolio Returnmaster asset=portfolio1. W1+w2+Wn=1. if w<0, then short selling is allowed. negative weights mean borrowing money to buy assets.2. ∑Wi=1. ∑wiri=1Also some review on mean （expected rate of return), variance, SD (Standard Deviation).formular, experssion, and properties.For example, 1. Expected return (Properties) expected return of a certain value (obviously it is not a radom variable), is itself linearity. (selfexplanatory) nonnegativity==if there are more than one variable, then we come across the topic " several random variables".1. There relationships: independent or dependent How to define: see their covariance. if it does not equal to zero, then they are dependent. vice versa.2. more advanced: correlation coefficient of 2 variables. the absolute value should not be bigger than 1. if it is 1, that means the two variables are perfectly correlated (positively or negatively).To be continued回应 20111004 02:19
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David G. Luenberger横跨数个领域，我给他跪了  来自alfa  20131029  
...  来自3r_  20071228 
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这本书的其他版本 · · · · · · ( 全部6 )
 中国人民大学出版社版 201111 / 11人读过 / 有售
 人民大学版 20051 / 30人读过
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订阅关于Investment Science的评论:
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0 有用 李斌 20110710
读了第15章《Optimal Portfolio Growth》
0 有用 3r_ 20071128
a good introduction, not requiring a lot of math
0 有用 湛 20091125
还好还好，总算没有asset pricing那么BT
0 有用 runningblue 20080803
只是在学校图书馆借出来看过的
0 有用 BombasticAsh 20130910
难
0 有用 redefining 20131212
formulas and charts are well articulated
0 有用 cheerzzh 20140626
RMSC4003
0 有用 SuSo 20131104
简单明了.. 很好的入门... 这本书的缺点也在于入门  数学深度和严谨性... 有能力 直接读 Campbell & Lo & MacKinlay吧.. 好了 我从此与金融经济无关了（?maybe...）...
0 有用 夜夜流光相皎洁 20130415
Great textbook!
0 有用 BombasticAsh 20130910
难