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Author: T. Kariya Publisher: Springer Science & Business Media ISBN: 9401117217 Category : Business & Economics Languages : en Pages : 321
Book Description
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.
Author: T. Kariya Publisher: Springer Science & Business Media ISBN: 9401117217 Category : Business & Economics Languages : en Pages : 321
Book Description
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.
Author: Ludwig B Chincarini Publisher: McGraw Hill Professional ISBN: 9780071492386 Category : Business & Economics Languages : en Pages : 658
Book Description
Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.
Author: Richard A. DeFusco Publisher: John Wiley & Sons ISBN: 1119104602 Category : Business & Economics Languages : en Pages : 635
Book Description
Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use of statistics within the context of finance and investment. With equal focus on theoretical concepts and their practical applications, this approachable resource offers features, such as learning outcome statements, that are targeted at helping you understand, retain, and apply the information you have learned. Throughout the text's chapters, you explore a wide range of topics, such as the time value of money, discounted cash flow applications, common probability distributions, sampling and estimation, hypothesis testing, and correlation and regression. Applying quantitative analysis to the investment process is an important task for investment pros and students. A reference that provides even subject matter treatment, consistent mathematical notation, and continuity in topic coverage will make the learning process easier—and will bolster your success. Explore the materials you need to apply quantitative analysis to finance and investment data—even if you have no previous knowledge of this subject area Access updated content that offers insight into the latest topics relevant to the field Consider a wide range of subject areas within the text, including chapters on multiple regression, issues in regression analysis, time-series analysis, and portfolio concepts Leverage supplemental materials, including the companion Workbook and Instructor's Manual, sold separately Quantitative Investment Analysis, Third Edition is a fundamental resource that covers the wide range of quantitative methods you need to know in order to apply quantitative analysis to the investment process.
Author: Edward E. Qian Publisher: CRC Press ISBN: 1420010794 Category : Business & Economics Languages : en Pages : 462
Book Description
Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for
Author: Nikolai Dokuchaev Publisher: Springer Science & Business Media ISBN: 9780792376484 Category : Business & Economics Languages : en Pages : 232
Book Description
An investigation of optimal investment problems for stochastic financial market models, this book is addressed to academics and students who are interested in the mathematics of finance, stochastic processes and optimal control. It should also be useful to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis.
Author: Pierre Brugière Publisher: Springer Nature ISBN: 3030377407 Category : Mathematics Languages : en Pages : 212
Book Description
This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.
Author: M. Rasmussen Publisher: Springer ISBN: 0230512852 Category : Business & Economics Languages : en Pages : 453
Book Description
Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Author: Xiaoxia Huang Publisher: Springer Science & Business Media ISBN: 3642112137 Category : Computers Languages : en Pages : 188
Book Description
The most salient feature of security returns is uncertainty. The purpose of the book is to provide systematically a quantitative method for analyzing return and risk of a portfolio investment in di?erent kinds of uncertainty and present the ways for striking a balance between investment return and risk such that an optimal portfolio can be obtained. In classical portfolio theory, security returns were assumed to be random variables, and probability theory was the main mathematical tool for h- dling uncertainty in the past. However,the world is complex and uncertainty is varied. Randomnessis nottheonly typeofuncertaintyinreality,especially when human factors are included. Security market, one of the most complex marketsintheworld,containsalmostallkindsofuncertainty. Thesecurity- turns are sensitive to various factors including economic, social, political and very importantly, people’s psychological factors. Therefore, other than strict probability method, scholars have proposed some other approaches including imprecise probability, possibility, and interval set methods, etc. , to deal with uncertaintyinportfolioselectionsince1990’s. Inthisbook,wewantto addto thetools existingin sciencesomenewandunorthodoxapproachesforanal- ing uncertainty of portfolio returns. When security returns are fuzzy, we use credibility which has self-duality property as the basic measure and employ credibilitytheorytohelpmakeselectiondecisionsuchthatthedecisionresult will be consistent with the laws of contradiction and excluded middle. Being awarethat one tool is not enough for solving complex practical problems, we further employ uncertain measure and uncertainty theory to help select an optimal portfolio when security returns behave neither randomly nor fuzzily. One core of portfolio selection is to ?nd a quantitative risk de?nition of a portfolio investment.
Author: T. Kariya
Author: T. Kariya
Author: T Kariya
Author: Ludwig B Chincarini
Author: Richard A. DeFusco
Author: Edward E. Qian
Author: Nikolai Dokuchaev
Author: Pierre Brugière
Author: Takeaki Kariya (author)
Author: M. Rasmussen
Author: Xiaoxia Huang