Essentials
of Applied
Portfolio
Management
Massimo Guidolin
Manuela Pedio
Frontespizio Essentials Applied.indd 128/07/16 11:48
.
Copyright2016Bocconi University Press
EGEA S.p.A.
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First Edition: September 2016
Corrected Reprint Edition: March 2017
ISBN International Edition 978-88-85486-08-9
ISBN Domestic Edition 978-88-99902-05-6
ISBN Pdf Edition 978-88-85486-07-2
Print
: Digital Print Service, Segrate (Milan)
00470999020001_VOLAUK@0001-0184#.indb 417/01/17 14:19
Contents
ForewordIX
List of Symbols and Acronyms XI
1.Introduction to Portfolio Analysis: Key Notions1
1.Financial Securities1
1.1 Definition of financial securities1
1.2 Computing the return of financial securities 3
2.Choices under Risky Situations5
2.1 Choices under uncertainty: a general framework 5
2.2 Complete and incomplete criteria of choice under uncertainty 8
3.Statistical Summaries of Portfolio Returns11
3.1 Portfolio mean 14
3.2 Portfolio variance and standard deviation 15
References and Further Readings21
2 Choice under Uncertainty
and State-Preference Approach to Portfolio Decisions23
1 Representing Preferences and Risk Aversion Attitudes with
Utility Functions 23
1.1 Choice under certainty: preference relations 23
1.2 The expected utility theorem 27
2 Measuring Risk Aversion and Its Economic Implications35
2.1 Risk aversion and the concavity of the utility function 35
2.2 Measuring risk aversion39
2.3 Absolute and relative risk aversion measures
and acceptable odds of a bet41。