Quantitative Methods for Portfolio Analysis

MTV Model Approach

Häftad, Engelska, 2012

719 kr

Beställningsvara. Skickas inom 7-10 vardagar

Fri frakt för medlemmar vid köp för minst 249 kr.

Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for:(1) `Quants' (quantitatively-inclined analysts) in financial industries;(2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems;(3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and(4) investors who are interested in Japanese financial markets.Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, with practical analysis, models for Japanese financial markets.

Produktinformation

Utgivningsdatum2012-10-23
Mått160 x 240 x 18 mm
Vikt520 g
FormatHäftad
SpråkEngelska
SerieTheory and Decision Library B
Antal sidor310
FörlagSpringer
ISBN9789401047548

Tillhör följande kategorier

Matematisk statistik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och ledarskap
Nationalekonomi inom Ekonomi och ledarskap
Mikroekonomi inom Ekonomi och ledarskap

I Quantitative Models for Portfolio Analysis.- 1 Quantitative Approach to Asset Allocation.- 2 Empirical Features of Financial Returns.- 3 Univariate Financial Time Series Models.- 4 Multivariate Financial Time Series Models.- 5 MTV Model and Its Applications.- II Quantitative Asset Allocation Systems.- 6 Quantitative Portfolio Construction Procedures.- 7 Multifactor Models and their Applications.- 8 B. Rosenberg Models and their Applications.- 9 Selection of Port folio Population.- 10 Optimal MTV Market Portfolio.- 11 Index Portfolio and Canonical Correlation Portfolio.- III Statistical Approach To Option Pricing And Bond Pricing.- 12 Black-Scholes Option Theory and Its Applications.- 13 Practical Option Pricing and Related Topics.- 14 Statistical Bond Pricing Models.- References.