LEADER 05561nam 2200685Ia 450 001 9910143563103321 005 20191111083945.0 010 $a1-119-20123-3 010 $a1-280-34337-0 010 $a9786610343379 010 $a0-470-03769-5 035 $a(CKB)1000000000355315 035 $a(EBL)252292 035 $a(OCoLC)69018190 035 $a(SSID)ssj0000155039 035 $a(PQKBManifestationID)11149380 035 $a(PQKBTitleCode)TC0000155039 035 $a(PQKBWorkID)10097706 035 $a(PQKB)10647356 035 $a(MiAaPQ)EBC252292 035 $a(PPN)199757410 035 $a(EXLCZ)991000000000355315 100 $a20060404d2006 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aFinancial modeling of the equity market$b[electronic resource] $efrom CAPM to cointegration /$fFrank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm 210 $aHoboken, N.J. $cWiley$dc2006 215 $a1 online resource (673 p.) 225 1 $aFrank J. Fabozzi series 225 1 $aWiley finance 300 $aDescription based upon print version of record 311 $a0-471-69900-4 320 $aIncludes bibliographical references and index 327 $aFinancial 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 327 $aMORE 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 FRAMEWORK 327 $aPORTFOLIO 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? 327 $aOPTIMIZATION 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 327 $aFACTOR 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 327 $aA MULTIAGENT ECONOMY: EFFECTS OF AGENT HETEROGENEITY AND INTERACTIONS 330 $aAn inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It 410 0$aWiley finance series. 606 $aStocks$xMathematical models 606 $aPortfolio management$xMathematical models 615 0$aStocks$xMathematical models. 615 0$aPortfolio management$xMathematical models. 676 $a332.6 676 $a332.6322 700 $aFabozzi$b Frank J$0109596 701 $aFocardi$b Sergio M$03962 701 $aKolm$b Petter N$0856950 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910143563103321 996 $aFinancial modeling of the equity market$91913922 997 $aUNINA