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Introduction to securitization [[electronic resource] /] / Frank J. Fabozzi, Vinod Kothari
| Introduction to securitization [[electronic resource] /] / Frank J. Fabozzi, Vinod Kothari |
| Autore | Fabozzi Frank J |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, c2008 |
| Descrizione fisica | 1 online resource (386 p.) |
| Disciplina | 332.63/2 |
| Altri autori (Persone) | KothariVinod |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Asset-backed financing
Securities |
| ISBN |
1-281-74435-2
9786611744359 1-118-26689-7 0-470-40327-6 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Issuer motivation for securitizing assets and the goals of securitizing -- Structuring agency MBS deals -- Structuring nonagency deals -- Credit enhancements -- Use of interest rate derivatives in securitization transactions -- Operational issues in securitization -- Collateral classes in ABS : retail loans -- Asset-backed commercial paper conduits and other structured vehicles -- Securitization of future cash flows : future revenues, operating revenues, and insurance profits -- Introduction to collateralized debt obligations -- Types of collateralized debt obligations -- Structuring and analysis of CDOs -- Benefits of securitization to financial markets and economies -- Concerns with securitization's impact on financial markets and economies. |
| Record Nr. | UNINA-9910818420003321 |
Fabozzi Frank J
|
||
| Hoboken, N.J., : John Wiley & Sons, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introduction to structured finance [[electronic resource] /] / Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry
| Introduction to structured finance [[electronic resource] /] / Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry |
| Autore | Fabozzi Frank J |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, 2006 |
| Descrizione fisica | 1 online resource (xiv, 385 p.) : ill |
| Disciplina | 332.041 |
| Altri autori (Persone) |
DavisHenry A
ChoudhryMoorad |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Asset-backed financing
Securities Risk management International finance |
| ISBN |
9781119197249 (e-book)
9780470045350 (hbk.) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | CHAPTER 1 Introduction -- CHAPTER 2 Interest Rate Derivatives -- CHAPTER 3 Credit Derivatives -- CHAPTER 4 Basic Principles of Securitization -- CHAPTER 5 Securitization Structures -- CHAPTER 6 Cash Flow Collateralized Debt Obligations -- CHAPTER 7 Synthetic Collateralized Debt Obligation Structures -- CHAPTER 8 Securitized and Synthetic Funding Structures -- CHAPTER 9 Credit-Linked Notes -- CHAPTER 10 Structured Notes -- CHAPTER 11 Large Ticket Leasing: Leasing Fundamentals -- CHAPTER 12 Leveraged Lease Fundamentals -- CHAPTER 13 Project Financing -- APPENDIX A The Basel II Framework and Securitization -- APPENDIX B Synthetic Securitization: Case of Mortgage-Backed Securities -- APPENDIX C Home Run! A Case Study of Financing the New Stadium for the St. Louis Cardinals -- APPENDIX D Municipal Future-Flow Bonds in Mexico: Lessons for Emerging Economies -- APPENDIX E Crown Castle Towers LLC, Senior Secured Tower Revenue Notes, Series 2005-1 -- APPENDIX F MVL FIlm Finance LLC -- APPENDIX G Presale: Honda Auto Receivables 2006-1 Owner Trust -- APPENDIX H Presale: ACG Trust III -- APPENDIX I CNH Equipment Trust 2006-A -- APPENDIX J CIT Equipment Collateral 2006-VT1 -- Index. |
| Record Nr. | UNINA-9910143684603321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : John Wiley, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Introduction to structured finance [[electronic resource] /] / Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry
| Introduction to structured finance [[electronic resource] /] / Frank J. Fabozzi, Henry A. Davis, Moorad Choudhry |
| Autore | Fabozzi Frank J |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley, 2006 |
| Descrizione fisica | 1 online resource (xiv, 385 p.) : ill |
| Disciplina | 332.041 |
| Altri autori (Persone) |
DavisHenry A
ChoudhryMoorad |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Asset-backed financing
Securities Risk management International finance |
| ISBN |
1-119-19724-4
1-280-82672-X 9786610826728 0-470-10780-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | CHAPTER 1 Introduction -- CHAPTER 2 Interest Rate Derivatives -- CHAPTER 3 Credit Derivatives -- CHAPTER 4 Basic Principles of Securitization -- CHAPTER 5 Securitization Structures -- CHAPTER 6 Cash Flow Collateralized Debt Obligations -- CHAPTER 7 Synthetic Collateralized Debt Obligation Structures -- CHAPTER 8 Securitized and Synthetic Funding Structures -- CHAPTER 9 Credit-Linked Notes -- CHAPTER 10 Structured Notes -- CHAPTER 11 Large Ticket Leasing: Leasing Fundamentals -- CHAPTER 12 Leveraged Lease Fundamentals -- CHAPTER 13 Project Financing -- APPENDIX A The Basel II Framework and Securitization -- APPENDIX B Synthetic Securitization: Case of Mortgage-Backed Securities -- APPENDIX C Home Run! A Case Study of Financing the New Stadium for the St. Louis Cardinals -- APPENDIX D Municipal Future-Flow Bonds in Mexico: Lessons for Emerging Economies -- APPENDIX E Crown Castle Towers LLC, Senior Secured Tower Revenue Notes, Series 2005-1 -- APPENDIX F MVL FIlm Finance LLC -- APPENDIX G Presale: Honda Auto Receivables 2006-1 Owner Trust -- APPENDIX H Presale: ACG Trust III -- APPENDIX I CNH Equipment Trust 2006-A -- APPENDIX J CIT Equipment Collateral 2006-VT1 -- Index. |
| Record Nr. | UNINA-9910677419003321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : John Wiley, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mortgage-backed securities [[electronic resource] ] : products, structuring, and analytical techniques / / Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
| Mortgage-backed securities [[electronic resource] ] : products, structuring, and analytical techniques / / Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner |
| Autore | Fabozzi Frank J |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina |
332.6323
332.63232 |
| Altri autori (Persone) |
BhattacharyaAnand K
BerlinerWilliam S |
| Collana | Frank J. Fabozzi series |
| Soggetto topico | Mortgage-backed securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-25808-0
9786613258083 1-118-14929-7 1-118-14927-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques; Contents; Preface; About the Authors; Part One: Introduction to Mortgage and MBS Markets; Chapter 1: Overview of Mortgages and the Consumer Mortgage Market; Overview of Mortgages; Mortgage Loan Mechanics; Risks Associated with Mortgages and Mortgage Products; Concepts Presented in this Chapter; Chapter 2: Overview of the Mortgage-Backed Securities Market; Creating Different Types of MBS; MBS Trading; The Role of the MBS Markets in Generating Consumer Lending Rates; Cash Flow Structuring
Concepts Presented in this ChapterPart Two: Prepayment and Default Metrics and Behavior; Chapter 3: Measurement of Prepayments and Defaults; Prepayment Terminology; Calculating Prepayment Speeds; Delinquency, Default, and Loss Terminology; Concepts Presented in this Chapter; Chapter 4: Prepayments and Factors Influencing the Return of Principal; Prepayment Fundamentals; Factors Influencing Prepayment Speeds; Defaults and ""Involuntary"" Prepayments; Concepts Presented in this Chapter; Part Three: Structuring; Chapter 5: Introduction to MBS Structuring Techniques Underlying Logic in Structuring Cash FlowsStructuring Different Mortgage Products; Fundamentals of Structuring CMOs; Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal; Time Tranching; Planned Amortization Classes (PACs) and the PAC-Support Structure; Targeted Amortization Class Bonds; Z-Bonds and Accretion-Directed Tranches; A Simple Structuring Example; Concepts Presented in this Chapter; Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest; Coupon Stripping and Boosting; Floater-Inverse Floater Combinations; Two-Tiered Index Bonds (TTIBs) Excess Servicing IOsConcepts Presented in this Chapter; Chapter 8: Structuring Private-Label CMOs; Private-Label Credit Enhancement; Private-Label Senior Structuring Variations; Governing Documents; Concepts Presented in this Chapter; Chapter 9: The Structuring of Mortgage ABS Deals; Fundamentals of ABS Structures; Credit Enhancement for Mortgage ABS Deals; Factors Influencing the Credit Structure of Deals; Additional Structuring Issues and Developments; Concepts Presented in this Chapter; Part Four: Valuation and Analysis; Chapter 10: Techniques for Valuing MBS Static Cash Flow Yield AnalysisZ-Spread; Valuation Using Monte Carlo Simulation and OAS Analysis; Total Return Analysis; Concepts Presented in this Chapter; Chapter 11: Measuring MBS Interest Rate Risk; Duration; Convexity; Yield Curve Risk; Other Risk Measures; Concepts Presented in this Chapter; Chapter 12: Evaluating Senior MBS and CMOs; Yield and Spread Matrices; Monte Carlo and OAS Analysis; Total Return Analysis; Evaluating Inverse Floaters; Concepts Presented in this Chapter; Chapter 13: Analysis of Nonagency MBS; Factors Impacting Returns from Nonagency MBS Understanding the Evolution of Credit Performance within a Transaction |
| Record Nr. | UNINA-9910457469303321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mortgage-backed securities [[electronic resource] ] : products, structuring, and analytical techniques / / Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
| Mortgage-backed securities [[electronic resource] ] : products, structuring, and analytical techniques / / Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner |
| Autore | Fabozzi Frank J |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina |
332.6323
332.63232 |
| Altri autori (Persone) |
BhattacharyaAnand K
BerlinerWilliam S |
| Collana | Frank J. Fabozzi series |
| Soggetto topico | Mortgage-backed securities |
| ISBN |
1-283-25808-0
9786613258083 1-118-14929-7 1-118-14927-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques; Contents; Preface; About the Authors; Part One: Introduction to Mortgage and MBS Markets; Chapter 1: Overview of Mortgages and the Consumer Mortgage Market; Overview of Mortgages; Mortgage Loan Mechanics; Risks Associated with Mortgages and Mortgage Products; Concepts Presented in this Chapter; Chapter 2: Overview of the Mortgage-Backed Securities Market; Creating Different Types of MBS; MBS Trading; The Role of the MBS Markets in Generating Consumer Lending Rates; Cash Flow Structuring
Concepts Presented in this ChapterPart Two: Prepayment and Default Metrics and Behavior; Chapter 3: Measurement of Prepayments and Defaults; Prepayment Terminology; Calculating Prepayment Speeds; Delinquency, Default, and Loss Terminology; Concepts Presented in this Chapter; Chapter 4: Prepayments and Factors Influencing the Return of Principal; Prepayment Fundamentals; Factors Influencing Prepayment Speeds; Defaults and ""Involuntary"" Prepayments; Concepts Presented in this Chapter; Part Three: Structuring; Chapter 5: Introduction to MBS Structuring Techniques Underlying Logic in Structuring Cash FlowsStructuring Different Mortgage Products; Fundamentals of Structuring CMOs; Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal; Time Tranching; Planned Amortization Classes (PACs) and the PAC-Support Structure; Targeted Amortization Class Bonds; Z-Bonds and Accretion-Directed Tranches; A Simple Structuring Example; Concepts Presented in this Chapter; Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest; Coupon Stripping and Boosting; Floater-Inverse Floater Combinations; Two-Tiered Index Bonds (TTIBs) Excess Servicing IOsConcepts Presented in this Chapter; Chapter 8: Structuring Private-Label CMOs; Private-Label Credit Enhancement; Private-Label Senior Structuring Variations; Governing Documents; Concepts Presented in this Chapter; Chapter 9: The Structuring of Mortgage ABS Deals; Fundamentals of ABS Structures; Credit Enhancement for Mortgage ABS Deals; Factors Influencing the Credit Structure of Deals; Additional Structuring Issues and Developments; Concepts Presented in this Chapter; Part Four: Valuation and Analysis; Chapter 10: Techniques for Valuing MBS Static Cash Flow Yield AnalysisZ-Spread; Valuation Using Monte Carlo Simulation and OAS Analysis; Total Return Analysis; Concepts Presented in this Chapter; Chapter 11: Measuring MBS Interest Rate Risk; Duration; Convexity; Yield Curve Risk; Other Risk Measures; Concepts Presented in this Chapter; Chapter 12: Evaluating Senior MBS and CMOs; Yield and Spread Matrices; Monte Carlo and OAS Analysis; Total Return Analysis; Evaluating Inverse Floaters; Concepts Presented in this Chapter; Chapter 13: Analysis of Nonagency MBS; Factors Impacting Returns from Nonagency MBS Understanding the Evolution of Credit Performance within a Transaction |
| Record Nr. | UNINA-9910781898403321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mortgage-backed securities [[electronic resource] ] : products, structuring, and analytical techniques / / Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
| Mortgage-backed securities [[electronic resource] ] : products, structuring, and analytical techniques / / Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner |
| Autore | Fabozzi Frank J |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, 2011 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina |
332.6323
332.63232 |
| Altri autori (Persone) |
BhattacharyaAnand K
BerlinerWilliam S |
| Collana | Frank J. Fabozzi series |
| Soggetto topico | Mortgage-backed securities |
| ISBN |
1-283-25808-0
9786613258083 1-118-14929-7 1-118-14927-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques; Contents; Preface; About the Authors; Part One: Introduction to Mortgage and MBS Markets; Chapter 1: Overview of Mortgages and the Consumer Mortgage Market; Overview of Mortgages; Mortgage Loan Mechanics; Risks Associated with Mortgages and Mortgage Products; Concepts Presented in this Chapter; Chapter 2: Overview of the Mortgage-Backed Securities Market; Creating Different Types of MBS; MBS Trading; The Role of the MBS Markets in Generating Consumer Lending Rates; Cash Flow Structuring
Concepts Presented in this ChapterPart Two: Prepayment and Default Metrics and Behavior; Chapter 3: Measurement of Prepayments and Defaults; Prepayment Terminology; Calculating Prepayment Speeds; Delinquency, Default, and Loss Terminology; Concepts Presented in this Chapter; Chapter 4: Prepayments and Factors Influencing the Return of Principal; Prepayment Fundamentals; Factors Influencing Prepayment Speeds; Defaults and ""Involuntary"" Prepayments; Concepts Presented in this Chapter; Part Three: Structuring; Chapter 5: Introduction to MBS Structuring Techniques Underlying Logic in Structuring Cash FlowsStructuring Different Mortgage Products; Fundamentals of Structuring CMOs; Chapter 6: Fundamental MBS Structuring Techniques: Divisions of Principal; Time Tranching; Planned Amortization Classes (PACs) and the PAC-Support Structure; Targeted Amortization Class Bonds; Z-Bonds and Accretion-Directed Tranches; A Simple Structuring Example; Concepts Presented in this Chapter; Chapter 7: Fundamental MBS Structuring Techniques: Divisions of Interest; Coupon Stripping and Boosting; Floater-Inverse Floater Combinations; Two-Tiered Index Bonds (TTIBs) Excess Servicing IOsConcepts Presented in this Chapter; Chapter 8: Structuring Private-Label CMOs; Private-Label Credit Enhancement; Private-Label Senior Structuring Variations; Governing Documents; Concepts Presented in this Chapter; Chapter 9: The Structuring of Mortgage ABS Deals; Fundamentals of ABS Structures; Credit Enhancement for Mortgage ABS Deals; Factors Influencing the Credit Structure of Deals; Additional Structuring Issues and Developments; Concepts Presented in this Chapter; Part Four: Valuation and Analysis; Chapter 10: Techniques for Valuing MBS Static Cash Flow Yield AnalysisZ-Spread; Valuation Using Monte Carlo Simulation and OAS Analysis; Total Return Analysis; Concepts Presented in this Chapter; Chapter 11: Measuring MBS Interest Rate Risk; Duration; Convexity; Yield Curve Risk; Other Risk Measures; Concepts Presented in this Chapter; Chapter 12: Evaluating Senior MBS and CMOs; Yield and Spread Matrices; Monte Carlo and OAS Analysis; Total Return Analysis; Evaluating Inverse Floaters; Concepts Presented in this Chapter; Chapter 13: Analysis of Nonagency MBS; Factors Impacting Returns from Nonagency MBS Understanding the Evolution of Credit Performance within a Transaction |
| Record Nr. | UNINA-9910812707003321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Quantitative equity investing [[electronic resource] ] : techniques and strategies / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova
| Quantitative equity investing [[electronic resource] ] : techniques and strategies / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova |
| Autore | Fabozzi Frank J |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (530 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) |
FocardiSergio
KolmPetter N |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Portfolio management
Investments |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-61752-7
1-282-48199-1 9786612481994 0-470-61751-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Quantitative Equity Investing: Techniques and Strategies; Contents; Preface; About the Authors; Chapter 1: Introduction; Chapter 2: Financial Econometrics I: Linear Regressions; Chapter 3: Financial Econometrics II: Time Series; Chapter 4: Common Pitfalls in Financial Modeling; Chapter 5: Factor Models and Their Estimation; Chapter 6: Factor-Based Trading Strategies I: Factor Construction and Analysis; Chapter 7: Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies; Chapter 8: Portfolio Optimization: Basic Theory and Practice
Chapter 9: Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model Chapter 10: Robust Portfolio Optimization; Chapter 11: Transaction Costs and Trade Execution; Chapter 12: Investment Management and Algorithmic Trading; Appendix A: Data Descriptions and Factor Definitions; Appendix B: Summary of Well-Known Factors and Their Underlying Economic Rationale; Appendix C: Review of Eigenvalues and Eigenvectors; Index |
| Record Nr. | UNINA-9910457246703321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Quantitative equity investing [[electronic resource] ] : techniques and strategies / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova
| Quantitative equity investing [[electronic resource] ] : techniques and strategies / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova |
| Autore | Fabozzi Frank J |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (530 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) |
FocardiSergio
KolmPetter N |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Portfolio management
Investments |
| ISBN |
0-470-61752-7
1-282-48199-1 9786612481994 0-470-61751-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Quantitative Equity Investing: Techniques and Strategies; Contents; Preface; About the Authors; Chapter 1: Introduction; Chapter 2: Financial Econometrics I: Linear Regressions; Chapter 3: Financial Econometrics II: Time Series; Chapter 4: Common Pitfalls in Financial Modeling; Chapter 5: Factor Models and Their Estimation; Chapter 6: Factor-Based Trading Strategies I: Factor Construction and Analysis; Chapter 7: Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies; Chapter 8: Portfolio Optimization: Basic Theory and Practice
Chapter 9: Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model Chapter 10: Robust Portfolio Optimization; Chapter 11: Transaction Costs and Trade Execution; Chapter 12: Investment Management and Algorithmic Trading; Appendix A: Data Descriptions and Factor Definitions; Appendix B: Summary of Well-Known Factors and Their Underlying Economic Rationale; Appendix C: Review of Eigenvalues and Eigenvectors; Index |
| Record Nr. | UNINA-9910781053103321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Quantitative equity investing [[electronic resource] ] : techniques and strategies / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova
| Quantitative equity investing [[electronic resource] ] : techniques and strategies / / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova |
| Autore | Fabozzi Frank J |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (530 p.) |
| Disciplina | 332.63/2042 |
| Altri autori (Persone) |
FocardiSergio
KolmPetter N |
| Collana | The Frank J. Fabozzi series |
| Soggetto topico |
Portfolio management
Investments |
| ISBN |
0-470-61752-7
1-282-48199-1 9786612481994 0-470-61751-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Quantitative Equity Investing: Techniques and Strategies; Contents; Preface; About the Authors; Chapter 1: Introduction; Chapter 2: Financial Econometrics I: Linear Regressions; Chapter 3: Financial Econometrics II: Time Series; Chapter 4: Common Pitfalls in Financial Modeling; Chapter 5: Factor Models and Their Estimation; Chapter 6: Factor-Based Trading Strategies I: Factor Construction and Analysis; Chapter 7: Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies; Chapter 8: Portfolio Optimization: Basic Theory and Practice
Chapter 9: Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model Chapter 10: Robust Portfolio Optimization; Chapter 11: Transaction Costs and Trade Execution; Chapter 12: Investment Management and Algorithmic Trading; Appendix A: Data Descriptions and Factor Definitions; Appendix B: Summary of Well-Known Factors and Their Underlying Economic Rationale; Appendix C: Review of Eigenvalues and Eigenvectors; Index |
| Record Nr. | UNINA-9910819176103321 |
|
Fabozzi Frank J
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
