Vai al contenuto principale della pagina

Encyclopedia of financial models / / Frank J. Fabozzi, editor



(Visualizza in formato marc)    (Visualizza in BIBFRAME)

Autore: Fabozzi Frank Visualizza persona
Titolo: Encyclopedia of financial models / / Frank J. Fabozzi, editor Visualizza cluster
Pubblicazione: Hoboken, New Jersey : , : Wiley, , 2013
©2013
Edizione: 1st edition
Descrizione fisica: 1 online resource (2203 p.)
Disciplina: 332.011
332.603
Soggetto topico: Investments - Management
Portfolio management
Persona (resp. second.): FabozziFrank J.
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references at the end of each chapters and index.
Nota di contenuto: 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; Covariance
Measuring 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
CONSTRAINED 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
General 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
TWO 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
Parameter Estimation
Sommario/riassunto: An 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
Titolo autorizzato: Encyclopedia of financial models  Visualizza cluster
ISBN: 1-78402-017-6
1-118-53976-1
1-118-18263-4
1-283-66516-6
1-118-53980-X
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910785734803321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui