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1. |
Record Nr. |
UNINA9910143563103321 |
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Autore |
Fabozzi Frank J |
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Titolo |
Financial modeling of the equity market [[electronic resource] ] : from CAPM to cointegration / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm |
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Pubbl/distr/stampa |
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Hoboken, N.J., : Wiley, c2006 |
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ISBN |
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1-119-20123-3 |
1-280-34337-0 |
9786610343379 |
0-470-03769-5 |
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Descrizione fisica |
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1 online resource (673 p.) |
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Collana |
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Frank J. Fabozzi series |
Wiley finance |
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Altri autori (Persone) |
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FocardiSergio M |
KolmPetter N |
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Disciplina |
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Soggetti |
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Stocks - Mathematical models |
Portfolio management - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record |
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Nota di bibliografia |
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Includes bibliographical references and index |
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Nota di contenuto |
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Financial Modeling of the Equity Market; Contents; Preface; Acknowledgments; About the Authors; Chapter 1: Introduction; HISTORICAL PERSPECTIVE ON THE FINANCIAL MODELING OF THE EQUITY MARKET; CENTRAL THEMES OF THE BOOK; ORGANIZATION OF THE BOOK; Part I: Portfolio Allocation: Classical Theory and Modern Extensions; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; THE BENEFITS OF DIVERSIFICATION; MEAN-VARIANCE ANALYSIS: OVERVIEW; CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION; THE CAPITAL MARKET LINE; SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET |
MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICESUMMARY; Chapter 3: Transaction and Trading Costs; A TAXONOMY OF TRANSACTION COSTS; LIQUIDITY AND TRANSACTION COSTS; MARKET IMPACT MEASUREMENTS AND EMPIRICAL FINDINGS; FORECASTING AND MODELING MARKET IMPACT; |
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INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; OPTIMAL TRADING; INTEGRATED PORTFOLIO MANAGEMENT: BEYOND EXPECTED RETURN AND PORTFOLIO RISK53; SUMMARY; Chapter 4: Applying the Portfolio Selection Framework in Practice; REBALANCING IN THE MEAN-VARIANCE OPTIMIZATION FRAMEWORK |
PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICESUMMARY; Chapter 5: Incorporating Higher Moments and Extreme Risk Measures; DISPERSION AND DOWNSIDE MEASURES; PORTFOLIO SELECTION WITH HIGHER MOMENTS THROUGH EXPANSIONS OF UTILITY; POLYNOMIAL GOAL PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH HIGHER MOMENTS; SOME REMARKS ON THE ESTIMATION OF HIGHER MOMENTS; THE APPROACH OF MALEVERGNE AND SORNETTE58; SUMMARY; Chapter 6: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; HOW DO OPTIMIZATION ALGORITHMS WORK? |
OPTIMIZATION SOFTWAREPRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; SUMMARY; Part II: Managing Uncertainty in Practice; Chapter 7: Equity Price Models; DEFINITIONS; THEORETICAL AND ECONOMETRIC MODELS; RANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL ( CAPM); ARBITRAGE PRICING THEORY ( APT); SUMMARY; Chapter 8: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATOR; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE |
FACTOR MODELS IN PRACTICE: AN EXAMPLEOTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 9: Robust Frameworks for Estimation and Portfolio Allocation; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; INCORPORATING ESTIMATION ERROR AND UNCERTAINTY IN THE PORTFOLIO ALLOCATION PROCESS; SUMMARY; Part III: Dynamic Models for Equity Prices; Chapter 10: Feedback and Predictors in Stock Markets; RANDOM WALK MODELS AND THEIR SHORTCOMINGS; TIME DIVERSIFICATION |
A MULTIAGENT ECONOMY: EFFECTS OF AGENT HETEROGENEITY AND INTERACTIONS |
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Sommario/riassunto |
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An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It |
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2. |
Record Nr. |
UNINA9911020329403321 |
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Autore |
Stark J. W. B |
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Titolo |
Steel Design 4 : Analysis and Design of Composite Steel and Concrete Structures for Buildings According to Eurocode 4 |
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Pubbl/distr/stampa |
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Newark : , : Wilhelm Ernst & Sohn Verlag fur Architektur und Technische, , 2024 |
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©2025 |
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ISBN |
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3-433-61162-9 |
3-433-61163-7 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (231 pages) |
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Altri autori (Persone) |
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Soggetti |
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Composite construction |
Eurocodes (Standards) |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Sommario/riassunto |
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The book deals with the application and design of composite steel and concrete structures for buildings according to Eurocode 4. Chapter 1 gives a general overview of the characteristics, design and construction, and applications of composite beams, floors and columns. Also the advantages and disadvantages of the different structural solutions are discussed. Chapters 2 to 5 provide detailed information about the design methods and assessment rules in EN 1994 for composite beams, floors, columns and connections at normal temperature and in case of fire. The Eurocodes assessment rules are explained with many detailed worked examples. Finally, chapter 6 contains a complete calculation of the composite structure of a cinema auditorium consisting of main beams, girders, floors and columns. Composite structures is effective as a book for students or young professionals and as a reference guide to Eurocode 4 for practicing structural engineers. |
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