LEADER 05608nam 2200745 450 001 9910785734803321 005 20230718103223.0 010 $a1-78402-017-6 010 $a1-118-53976-1 010 $a1-118-18263-4 010 $a1-283-66516-6 010 $a1-118-53980-X 035 $a(CKB)2670000000261716 035 $a(EBL)1040819 035 $a(OCoLC)813536453 035 $a(SSID)ssj0000754623 035 $a(PQKBManifestationID)12297064 035 $a(PQKBTitleCode)TC0000754623 035 $a(PQKBWorkID)10726249 035 $a(PQKB)11141196 035 $a(SSID)ssj0000992870 035 $a(PQKBManifestationID)11556222 035 $a(PQKBTitleCode)TC0000992870 035 $a(PQKBWorkID)10949974 035 $a(PQKB)11590283 035 $a(CaSebORM)9781118539958 035 $a(MiAaPQ)EBC1040819 035 $a(EXLCZ)992670000000261716 100 $a20160420h20132013 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt 182 $cc 183 $acr 200 00$aEncyclopedia of financial models /$fFrank J. Fabozzi, editor 205 $a1st edition 210 1$aHoboken, New Jersey :$cWiley,$d2013. 210 4$dİ2013 215 $a1 online resource (2203 p.) 300 $aDescription based upon print version of record. 311 $a1-118-53995-8 311 $a1-118-00673-9 320 $aIncludes bibliographical references at the end of each chapters and index. 327 $aVol_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; Covariance 327 $aMeasuring 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 Functions 327 $aCONSTRAINED 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 Models 327 $aGeneral 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 CAPM 327 $aTWO 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; Simulation 327 $aParameter Estimation 330 $aAn 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 avai 606 $aInvestments$xManagement$vEncyclopedias 606 $aPortfolio management$vEncyclopedias 615 0$aInvestments$xManagement 615 0$aPortfolio management 676 $a332.011 676 $a332.603 700 $aFabozzi$b Frank$0996971 702 $aFabozzi$b Frank J. 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910785734803321 996 $aEncyclopedia of financial models$93690427 997 $aUNINA