05608nam 2200745 450 991078573480332120230718103223.01-78402-017-61-118-53976-11-118-18263-41-283-66516-61-118-53980-X(CKB)2670000000261716(EBL)1040819(OCoLC)813536453(SSID)ssj0000754623(PQKBManifestationID)12297064(PQKBTitleCode)TC0000754623(PQKBWorkID)10726249(PQKB)11141196(SSID)ssj0000992870(PQKBManifestationID)11556222(PQKBTitleCode)TC0000992870(PQKBWorkID)10949974(PQKB)11590283(CaSebORM)9781118539958(MiAaPQ)EBC1040819(EXLCZ)99267000000026171620160420h20132013 uy 0engurcnu||||||||txtccrEncyclopedia of financial models /Frank J. Fabozzi, editor1st editionHoboken, New Jersey :Wiley,2013.©20131 online resource (2203 p.)Description based upon print version of record.1-118-53995-8 1-118-00673-9 Includes bibliographical references at the end of each chapters and index.Vol_I; ENCYCLOPEDIA OF FINANCIAL MODELS; About the Editor; Contents; Contributors; Preface; Guide to the Encyclopedia of Financial Models; Asset Allocation; Mean-Variance Model for Portfolio Selection; SOME BASIC CONCEPTS; Utility Function and Indifference Curves; The Set of Efficient Portfolios and the Optimal Portfolio; Risky Assets vs. Risk-Free Assets; MEASURING A PORTFOLIO'S EXPECTED RETURN; Measuring Single-Period Portfolio Return; The Expected Return of a Portfolio of Risky Assets; MEASURING PORTFOLIO RISK; Variance and Standard Deviation as a Measure of Risk; CovarianceMeasuring the Risk of a Portfolio Consisting of More than Two Assets PORTFOLIO DIVERSIFICATION; The Effect of the Correlation of Asset Returns on Portfolio Risk; CHOOSING A PORTFOLIO OF RISKY ASSETS; Constructing Efficient Portfolios; Feasible and Efficient Portfolios; Choosing the Optimal Portfolio in the Efficient Set; Example Using the MSCI World Country Indexes; ROBUST PORTFOLIO OPTIMIZATION; KEY POINTS; NOTES; REFERENCES; Principles of Optimization for Portfolio Selection; UNCONSTRAINED OPTIMIZATION; Minima and Maxima of a Differentiable Function; Convex Functions; Quasi-Convex FunctionsCONSTRAINED OPTIMIZATION Lagrange Multipliers; Convex Programming; Linear Programming; Quadratic Programming; KEY POINTS; REFERENCES; Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio; THE TANGENCY PORTFOLIO AS THE RATIONALE BEHIND SHARPE RATIO MAXIMIZATION; ROBUST ESTIMATORS FOR COVARIANCE PARAMETERS; ROBUST ESTIMATORS FOR EXPECTED RETURNS; IMPLICATIONS FOR BENCHMARK PORTFOLIO CONSTRUCTION; ASSET ALLOCATION MODELING: PUTTING THE EFFICIENT BUILDING BLOCKS TOGETHER; KEY POINTS; NOTES; REFERENCES; Asset Pricing ModelsGeneral Principles of Asset Pricing ONE-PERIOD FINITE STATE ECONOMY; PORTFOLIOS AND MARKET COMPLETENESS; Redundant Assets; Complete Market; THE LAW OF ONE PRICE AND LINEAR PRICING; Linear Pricing; State Price; ARBITRAGE AND POSITIVE STATE PRICING; THE FUNDAMENTAL THEOREM OF ASSET PRICING; The Discount Factor; Pricing Using Risk-Neutral Probabilities; DISCOUNT FACTOR MODELS; STOCHASTIC DISCOUNT FACTORS; Application to CAPM and APT; Hansen-Jagannathan Bound; KEY POINTS; REFERENCES; Capital Asset Pricing Models; INTRODUCTION; SHARPE-LINTNER CAPM; ROY CAPM; CONFUSIONS REGARDING THE CAPMTWO MEANINGS OF MARKET EFFICIENCY A Simple Market; Arbitrage; Expected Returns and Betas; Limited Borrowing; Further Generalizations; CAPM INVESTORS DO NOT GET PAID FOR BEARING RISK; THE "TWO BETA" TRAP; Beta 1963; Beta 1964; Propositions about Betas; KEY POINTS; NOTES; REFERENCES; Modeling Asset Price Dynamics; FINANCIAL TIME SERIES; BINOMIAL TREES; ARITHMETIC RANDOM WALKS; Simulation; Parameter Estimation; Arithmetic Random Walks: Some Additional Facts; GEOMETRIC RANDOM WALKS; Simulation; Parameter Estimation; Geometric Random Walk: Some Additional Facts; MEAN REVERSION; SimulationParameter EstimationAn essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals-ranging from finance professionals to academics and students-understand financial modeling and make use of the various models currently avaiInvestmentsManagementEncyclopediasPortfolio managementEncyclopediasInvestmentsManagementPortfolio management332.011332.603Fabozzi Frank996971Fabozzi Frank J.MiAaPQMiAaPQMiAaPQBOOK9910785734803321Encyclopedia of financial models3690427UNINA