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Portfolio Optimization Model: The Case of Uganda Securities Exchange

Autor Fredrick Mayanja, Sure Mataramvura, Wilson Mahera
en Limba Engleză Paperback – 24 mai 2012
Our focus in this book is on portfolio optimization as a core concept under investment: We discuss portfolio optimization based on the modern portfolio theory by Harry Markowitz. We take you through all the literature of portfolio optimization, and the theoretical foundations of the modern portfolio theory, we go a step further and explicitly take you through all the mathematics behind the mean-variance model, and finally, we discuss the entire process of developing the model and how to calculate the model parameters plus the actual application of the model; how to produce the frontier, the effect of including constraints or restrictions to the model as shown and discussed from the two resulting frontiers. Moreover special about this book is that; we test the applicability and validity of the mean-variance model to a young (developing) Securities Exchange like the Uganda Securities Exchange. Also we provide you with the VBA codes for developing the model and producing the efficient frontier. If you are a Financial Mathematics student, a CFA student, and any other persons interested in understanding the concept of portfolio optimization very well, this is the right book for you.
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Specificații

ISBN-13: 9783848449163
ISBN-10: 3848449161
Pagini: 84
Dimensiuni: 152 x 229 x 5 mm
Greutate: 0.14 kg
Editura: LAP LAMBERT ACADEMIC PUBLISHING AG & CO KG
Colecția LAP Lambert Academic Publishing

Notă biografică

Mr Fredrick Mayanja holds a B Sc. with Education Degree (Mathematics & Physics). He also has an MSc. Degree in Mathematical Modelling, with speciality in Financial Mathematics & Statistics. Presently, working as a Statistician at Vision Group, a part-time Lecturer of Mathematics. He is also a member of the Uganda Society of Investment Professionals