00546nam2 2200193 450 00003448820220531100323.020220530d2021----km-y0itay50------baitaITy-------001yyContratto alienoG. De Novap. 193-2010010000344642001Contrattodiretto da Giovanni D'AmicoDe Nova,Giorgio437488ITUNIPARTHENOPE20220530REICATUNIMARC000034488Contratto alieno827760UNIPARTHENOPE01692nam1 22003491i 450 VAN004423220110613111546.30520060413f |0itac50 baengGB|||| |||||ˆThe ‰index of paintings sold in the British Isles during the nineteenth centuryedited by Burton B. Fredericksenassisted by Julia I. Armstrong and Doris A. MendenhallOxford : Clio pressSanta Barbara, California : ABC-Cliopoi Munich : K. G. Saurv. ; 29 cmSul front.: The provenance index of the Getty art history information program.001VAN00841982001 ˆ3.1: ‰1811-1815A-N210 MunichK. G. Saur1993215 704 p.29 cm.3.1001VAN00842002001 ˆ3.2: ‰1811-1815O-Z and anonymous210 MunichK. G. Saur1993215 XXI. 704 p.29 cm.3.2001VAN00442362001 ˆ1: ‰1801-1805210 OxfordClio1988215 1 v.29 cm.1001VAN00442412001 ˆ2: ‰1806-1810.2GBOxfordVANL000020Santa BarbaraVANL001044ArmstrongJulia I.VANV035712FredericksenBurton B.VANV030753MendenhallDoris A.VANV035713ABC ClioVANV111065650ClioVANV111064650Fredericksen, B.B.Fredericksen, Burton B.VANV062143Fredericksen, B. B.Fredericksen, Burton B.VANV062144ITSOL20230616RICAVAN0044232Index of paintings sold in the British Isles during the nineteenth century1406167UNICAMPANIA05678nam 2200745Ia 450 991101966980332120200520144314.09786610343379978111920123611192012339781280343377128034337097804700376900470037695(CKB)1000000000355315(EBL)252292(OCoLC)69018190(SSID)ssj0000155039(PQKBManifestationID)11149380(PQKBTitleCode)TC0000155039(PQKBWorkID)10097706(PQKB)10647356(MiAaPQ)EBC252292(PPN)199757410(Perlego)2760258(EXLCZ)99100000000035531520060404d2006 uy 0engur|n|---|||||txtrdacontentcrdamediacrrdacarrierFinancial modeling of the equity market from CAPM to cointegration /Frank J. Fabozzi, Sergio M. Focardi, Petter N. KolmHoboken, N.J. Wileyc20061 online resource (673 p.)Frank J. Fabozzi seriesWiley financeDescription based upon print version of record9780471699002 0471699004 Includes bibliographical references and index.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 ASSETMORE 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; 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 FRAMEWORKPORTFOLIO 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 PRACTICEFACTOR 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 DIVERSIFICATIONA MULTIAGENT ECONOMY: EFFECTS OF AGENT HETEROGENEITY AND INTERACTIONSAn 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. ItWiley finance series.StocksMathematical modelsPortfolio managementMathematical modelsStocksMathematical models.Portfolio managementMathematical models.332.6332.6322Fabozzi Frank J109596Focardi Sergio M3962Kolm Petter N1615759MiAaPQMiAaPQMiAaPQBOOK9911019669803321Financial modeling of the equity market4416949UNINA