Portfolio Analysis

The chapter “Portfolio Analysis” is devoted to portfolio analysis. The necessary information from probability theory is presented. A significant part of the chapter is devoted to the study of a portfolio of two securities, which, despite the relative simplicity of description, has all the characteristic properties of a portfolio of n securities. The cases of complete correlation, complete anticorrelation, two independent securities and the case of an arbitrary correlation coefficient are considered. Portfolio of three independent securities as well as risk-free security are studied. Portfolios of n securities (Makowitz’s portfolios as well as Tobin’s) are studied in details.