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Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Autore Focardi Sergio M
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013]
Descrizione fisica 1 online resource (322 p.)
Disciplina 332.01/5195
Altri autori (Persone) FabozziFrank J
BaliTuran G
Collana The Frank J. Fabozzi series
Soggetto topico Finance - Mathematical models
Asset-liability management - Mathematical models
Risk management - Mathematical models
ISBN 1-118-42149-3
1-118-65660-1
1-118-42008-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Mathematical Methods for Finance; Contents; Preface; About the Authors; CHAPTER 1 Basic Concepts: Sets, Functions, and Variables; INTRODUCTION; SETS AND SET OPERATIONS; Proper Subsets; Empty Sets; Union of Sets; Intersection of Sets; Elementary Properties of Sets; DISTANCES AND QUANTITIES; n-tuples; Distance; Density of Points; FUNCTIONS; VARIABLES; KEY POINTS; CHAPTER 2 Differential Calculus; INTRODUCTION; LIMITS; CONTINUITY; TOTAL VARIATION; THE NOTION OF DIFFERENTIATION; COMMONLY USED RULES FOR COMPUTING DERIVATIVES; HIGHER-ORDER DERIVATIVES; Application to Bond Analysis
Application of the Chain RuleTAYLOR SERIES EXPANSION; Application to Bond Analysis; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 3 Integral Calculus; INTRODUCTION; RIEMANN INTEGRALS; Properties of Riemann Integrals; LEBESGUE-STIELTJES INTEGRALS; INDEFINITE AND IMPROPER INTEGRALS; THE FUNDAMENTAL THEOREM OF CALCULUS; INTEGRAL TRANSFORMS; Laplace Transforms; Fourier Transforms; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 4 Matrix Algebra; INTRODUCTION; VECTORS AND MATRICES DEFINED; Vectors; Matrices; SQUARE MATRICES; Diagonals and Antidiagonals; Identity Matrix
Diagonal MatrixUpper and Lower Triangular Matrix; DETERMINANTS; SYSTEMS OF LINEAR EQUATIONS; LINEAR INDEPENDENCE AND RANK; HANKEL MATRIX; VECTOR AND MATRIX OPERATIONS; Vector Operations; Matrix Operations; FINANCE APPLICATION; EIGENVALUES AND EIGENVECTORS; DIAGONALIZATION AND SIMILARITY; SINGULAR VALUE DECOMPOSITION; KEY POINTS; CHAPTER 5 Probability: Basic Concepts; INTRODUCTION; REPRESENTING UNCERTAINTY WITH MATHEMATICS; PROBABILITY IN A NUTSHELL; OUTCOMES AND EVENTS; PROBABILITY; MEASURE; RANDOM VARIABLES; INTEGRALS; DISTRIBUTIONS AND DISTRIBUTION FUNCTIONS; RANDOM VECTORS
STOCHASTIC PROCESSESPROBABILISTIC REPRESENTATION OF FINANCIAL MARKETS; INFORMATION STRUCTURES; FILTRATION; KEY POINTS; CHAPTER 6 Probability: Random Variables and Expectations; INTRODUCTION; CONDITIONAL PROBABILITY AND CONDITIONAL EXPECTATION; MOMENTS AND CORRELATION; COPULA FUNCTIONS; SEQUENCES OF RANDOM VARIABLES; INDEPENDENT AND IDENTICALLY DISTRIBUTED SEQUENCES; SUM OF VARIABLES; GAUSSIAN VARIABLES; APPROXIMATING THE TAILS OF A PROBABILITY DISTRIBUTION: CORNISH-FISHER EXPANSION AND HERMITE POLYNOMIALS; Cornish-Fisher Expansion; Hermite Polynomials
Cornish-Fisher Expansion with Hermite PolynomialsTHE REGRESSION FUNCTION; Linear Regression; FAT TAILS AND STABLE LAWS; Fat Tails; The Class L of Fat-Tailed Distributions; The Law of Large Numbers and the Central Limit Theorem; Stable Distributions; KEY POINTS; CHAPTER 7 Optimization; INTRODUCTION; MAXIMA AND MINIMA; LAGRANGE MULTIPLIERS; NUMERICAL ALGORITHMS; Linear Programming; Quadratic Programming; CALCULUS OF VARIATIONS AND OPTIMAL CONTROL THEORY; STOCHASTIC PROGRAMMING; APPLICATION TO BOND PORTFOLIO: LIABILITY-FUNDING STRATEGIES; Cash Flow Matching; Portfolio Immunization
Scenario Optimization
Record Nr. UNINA-9910139002903321
Focardi Sergio M  
Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Mathematical methods for finance : tools for asset and risk management / / Sergio M. Focardi, Frank J. Fabozzi, Turan G. Bali
Autore Focardi Sergio M
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013]
Descrizione fisica 1 online resource (322 p.)
Disciplina 332.01/5195
Altri autori (Persone) FabozziFrank J
BaliTuran G
Collana The Frank J. Fabozzi series
Soggetto topico Finance - Mathematical models
Asset-liability management - Mathematical models
Risk management - Mathematical models
ISBN 1-118-42149-3
1-118-65660-1
1-118-42008-X
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Mathematical Methods for Finance; Contents; Preface; About the Authors; CHAPTER 1 Basic Concepts: Sets, Functions, and Variables; INTRODUCTION; SETS AND SET OPERATIONS; Proper Subsets; Empty Sets; Union of Sets; Intersection of Sets; Elementary Properties of Sets; DISTANCES AND QUANTITIES; n-tuples; Distance; Density of Points; FUNCTIONS; VARIABLES; KEY POINTS; CHAPTER 2 Differential Calculus; INTRODUCTION; LIMITS; CONTINUITY; TOTAL VARIATION; THE NOTION OF DIFFERENTIATION; COMMONLY USED RULES FOR COMPUTING DERIVATIVES; HIGHER-ORDER DERIVATIVES; Application to Bond Analysis
Application of the Chain RuleTAYLOR SERIES EXPANSION; Application to Bond Analysis; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 3 Integral Calculus; INTRODUCTION; RIEMANN INTEGRALS; Properties of Riemann Integrals; LEBESGUE-STIELTJES INTEGRALS; INDEFINITE AND IMPROPER INTEGRALS; THE FUNDAMENTAL THEOREM OF CALCULUS; INTEGRAL TRANSFORMS; Laplace Transforms; Fourier Transforms; CALCULUS IN MORE THAN ONE VARIABLE; KEY POINTS; CHAPTER 4 Matrix Algebra; INTRODUCTION; VECTORS AND MATRICES DEFINED; Vectors; Matrices; SQUARE MATRICES; Diagonals and Antidiagonals; Identity Matrix
Diagonal MatrixUpper and Lower Triangular Matrix; DETERMINANTS; SYSTEMS OF LINEAR EQUATIONS; LINEAR INDEPENDENCE AND RANK; HANKEL MATRIX; VECTOR AND MATRIX OPERATIONS; Vector Operations; Matrix Operations; FINANCE APPLICATION; EIGENVALUES AND EIGENVECTORS; DIAGONALIZATION AND SIMILARITY; SINGULAR VALUE DECOMPOSITION; KEY POINTS; CHAPTER 5 Probability: Basic Concepts; INTRODUCTION; REPRESENTING UNCERTAINTY WITH MATHEMATICS; PROBABILITY IN A NUTSHELL; OUTCOMES AND EVENTS; PROBABILITY; MEASURE; RANDOM VARIABLES; INTEGRALS; DISTRIBUTIONS AND DISTRIBUTION FUNCTIONS; RANDOM VECTORS
STOCHASTIC PROCESSESPROBABILISTIC REPRESENTATION OF FINANCIAL MARKETS; INFORMATION STRUCTURES; FILTRATION; KEY POINTS; CHAPTER 6 Probability: Random Variables and Expectations; INTRODUCTION; CONDITIONAL PROBABILITY AND CONDITIONAL EXPECTATION; MOMENTS AND CORRELATION; COPULA FUNCTIONS; SEQUENCES OF RANDOM VARIABLES; INDEPENDENT AND IDENTICALLY DISTRIBUTED SEQUENCES; SUM OF VARIABLES; GAUSSIAN VARIABLES; APPROXIMATING THE TAILS OF A PROBABILITY DISTRIBUTION: CORNISH-FISHER EXPANSION AND HERMITE POLYNOMIALS; Cornish-Fisher Expansion; Hermite Polynomials
Cornish-Fisher Expansion with Hermite PolynomialsTHE REGRESSION FUNCTION; Linear Regression; FAT TAILS AND STABLE LAWS; Fat Tails; The Class L of Fat-Tailed Distributions; The Law of Large Numbers and the Central Limit Theorem; Stable Distributions; KEY POINTS; CHAPTER 7 Optimization; INTRODUCTION; MAXIMA AND MINIMA; LAGRANGE MULTIPLIERS; NUMERICAL ALGORITHMS; Linear Programming; Quadratic Programming; CALCULUS OF VARIATIONS AND OPTIMAL CONTROL THEORY; STOCHASTIC PROGRAMMING; APPLICATION TO BOND PORTFOLIO: LIABILITY-FUNDING STRATEGIES; Cash Flow Matching; Portfolio Immunization
Scenario Optimization
Record Nr. UNINA-9910827041603321
Focardi Sergio M  
Hoboken, New Jersey : , : John Wiley & Sons, Inc., , [2013]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
Autore Chernobai Anna S
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, , 2007
Descrizione fisica 1 online resource (322 p.)
Disciplina 658.155
Altri autori (Persone) RachevS. T (Svetlozar Todorov)
FabozziFrank J
Collana Frank J. Fabozzi Series
Soggetto topico Bank management
Risk management
Operational risk
Soggetto genere / forma Electronic books.
ISBN 1-119-20192-6
1-280-90121-7
9786610901210
0-470-14878-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
Chapter 13: Modeling DependenceIndex
Record Nr. UNINA-9910143416903321
Chernobai Anna S  
Hoboken, New Jersey : , : John Wiley & Sons, , 2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
Operational risk [[electronic resource] ] : a guide to Basel II capital requirements, models, and analysis / / Anna S. Chernobai, Svetlozar T. Rachev and Frank J. Fabozzi
Autore Chernobai Anna S
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley & Sons, , 2007
Descrizione fisica 1 online resource (322 p.)
Disciplina 658.155
Altri autori (Persone) RachevS. T (Svetlozar Todorov)
FabozziFrank J
Collana Frank J. Fabozzi Series
Soggetto topico Bank management
Risk management
Operational risk
ISBN 1-119-20192-6
1-280-90121-7
9786610901210
0-470-14878-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Operational Risk; Contents; Preface; About the Authors; Chapter 1: Operational Risk Is Not Just ''Other'' Risks; Chapter 2: Operational Risk: Definition, Classification, and Its Place among Other Risks; Chapter 3: Basel II Capital Accord; Chapter 4: Key Challenges in Modeling Operational Risk; Chapter 5: Frequency Distributions; Chapter 6: Loss Distributions; Chapter 7: Alpha-Stable Distributions; Chapter 8: Extreme Value Theory; Chapter 9: Truncated Distributions; Chapter 10: Testing for the Goodness of Fit; Chapter 11: Value-at-Risk; Chapter 12: Robust Modeling
Chapter 13: Modeling DependenceIndex
Record Nr. UNINA-9910830031803321
Chernobai Anna S  
Hoboken, New Jersey : , : John Wiley & Sons, , 2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Descrizione fisica 1 online resource (283 p.)
Disciplina 332.015192
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Soggetto topico Financial risk management
Probabilities
Soggetto genere / forma Electronic books.
ISBN 1-4443-9269-7
1-4443-9271-9
1-283-40798-1
9786613407986
1-4443-9270-0
Classificazione BUS033070
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion""
""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary""
""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction""
""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index""
Record Nr. UNINA-9910208827003321
Rachev S. T (Svetlozar Todorov)  
Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
A probability metrics approach to financial risk measures [[electronic resource] /] / Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Descrizione fisica 1 online resource (283 p.)
Disciplina 332.015192
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Soggetto topico Financial risk management
Probabilities
ISBN 1-4443-9269-7
1-4443-9271-9
1-283-40798-1
9786613407986
1-4443-9270-0
Classificazione BUS033070
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Title Page""; ""Copyright""; ""Dedication""; ""Preface""; ""About the Authors""; ""Chapter 1: Introduction""; ""1.1 Probability Metrics""; ""1.2 Applications in Finance""; ""References""; ""Chapter 2: Probability Distances and Metrics""; ""2.1 Introduction""; ""2.2 Some Examples of Probability Metrics""; ""2.3 Distance and Semidistance Spaces""; ""2.4 Definitions of Probability Distances and Metrics""; ""2.5 Summary""; ""2.6 Technical Appendix""; ""References""; ""Chapter 3: Choice under Uncertainty""; ""3.1 Introduction""; ""3.2 Expected Utility Theory""; ""3.3 Stochastic Dominance""
""3.4 Probability Metrics and Stochastic Dominance""""3.5 Cumulative Prospect Theory""; ""3.6 Summary""; ""3.7 Technical Appendix""; ""References""; ""Chapter 4: A Classification of Probability Distances""; ""4.1 Introduction""; ""4.2 Primary Distances and Primary Metrics""; ""4.3 Simple Distances and Metrics""; ""4.4 Compound Distances and Moment Functions""; ""4.5 Ideal Probability Metrics""; ""4.6 Summary""; ""4.7 Technical Appendix""; ""References""; ""Chapter 5: Risk and Uncertainty""; ""5.1 Introduction""; ""5.2 Measures of Dispersion""
""5.3 Probability Metrics and Dispersion Measures""""5.4 Measures of Risk""; ""5.5 Risk Measures and Dispersion Measures""; ""5.6 Risk Measures and Stochastic Orders""; ""5.7 Summary""; ""5.8 Technical Appendix""; ""References""; ""Chapter 6: Average Value-at-Risk""; ""6.1 Introduction""; ""6.2 Average Value-at-Risk""; ""6.3 AVaR Estimation from a Sample""; ""6.4 Computing Portfolio AVaR in Practice""; ""6.5 Back-Testing of AVaR""; ""6.6 Spectral Risk Measures""; ""6.7 Risk Measures and Probability Metrics""; ""6.8 Risk Measures Based on Distortion Functionals""; ""6.9 Summary""
""6.10 Technical Appendix""""References""; ""Chapter 7: Computing AVaR through Monte Carlo""; ""7.1 Introduction""; ""7.2 An Illustration of Monte Carlo Variability""; ""7.3 Asymptotic Distribution, Classical Conditions""; ""7.4 Rate of Convergence to the Normal Distribution""; ""7.5 Asymptotic Distribution, Heavy-tailed Returns""; ""7.6 Rate of Convergence, Heavy-tailed Returns""; ""7.7 On the Choice of a Distributional Model""; ""7.8 Summary""; ""7.9 Technical Appendix""; ""References""; ""Chapter 8: Stochastic Dominance Revisited""; ""8.1 Introduction""
""8.2 Metrization of Preference Relations""""8.3 The Hausdorff Metric Structure""; ""8.4 Examples""; ""8.5 Utility-type Representations""; ""8.6 Almost Stochastic Orders and Degree of Violation""; ""8.7 Summary""; ""8.8 Technical Appendix""; ""References""; ""Index""
Record Nr. UNINA-9910830374503321
Rachev S. T (Svetlozar Todorov)  
Chichester, West Sussex, U.K. ; ; Malden, MA, : Wiley-Blackwell, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
Pubbl/distr/stampa Hoboken, New Jersey, : John Wiley, c2007
Descrizione fisica 1 online resource (513 p.)
Disciplina 332.6
Altri autori (Persone) FabozziFrank J
Collana Frank J. Fabozzi series
Wiley finance
Soggetto topico Portfolio management
Robust optimization
Gestió de cartera
Soggetto genere / forma Electronic books.
Llibres electrònics
ISBN 1-119-20217-5
1-280-85552-5
9786610855520
0-470-16489-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; 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; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION 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 SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS
THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS
ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING
DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY
Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions
Record Nr. UNINA-9910143433003321
Hoboken, New Jersey, : John Wiley, c2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
Robust portfolio optimization and management [[electronic resource] /] / Frank J. Fabozzi ... [et al.]
Pubbl/distr/stampa Hoboken, New Jersey, : John Wiley, c2007
Descrizione fisica 1 online resource (513 p.)
Disciplina 332.6
Altri autori (Persone) FabozziFrank J
Collana Frank J. Fabozzi series
Wiley finance
Soggetto topico Portfolio management
Robust optimization
Gestió de cartera
Soggetto genere / forma Llibres electrònics
ISBN 1-119-20217-5
1-280-85552-5
9786610855520
0-470-16489-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Robust Portfolio Optimization and Management; Contents; Preface; TEACHING USING THIS BOOK; ACKNOWLEDGMENTS; Chapter 1: Introduction; QUANTITATIVE TECHNIQUES IN THE INVESTMENT MANAGEMENT INDUSTRY; CENTRAL THEMES OF THIS BOOK; OVERVIEW OF THIS BOOK; 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; MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE; SUMMARY
Chapter 3: Advances in the Theory of Portfolio Risk MeasuresDISPERSION 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 SORNETTE; SUMMARY; Chapter 4: Portfolio Selection in Practice; PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE; INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS; MULTIACCOUNT OPTIMIZATION; SUMMARY; Chapter 5: Classical Asset Pricing; DEFINITIONS
THEORETICAL AND ECONOMETRIC MODELSRANDOM WALK MODELS; GENERAL EQUILIBRIUM THEORIES; CAPITAL ASSET PRICING MODEL (CAPM); ARBITRAGE PRICING THEORY (APT); SUMMARY; Chapter 6: Forecasting Expected Return and Risk; DIVIDEND DISCOUNT AND RESIDUAL INCOME VALUATION MODELS; THE SAMPLE MEAN AND COVARIANCE ESTIMATORS; RANDOM MATRICES; ARBITRAGE PRICING THEORY AND FACTOR MODELS; FACTOR MODELS IN PRACTICE; OTHER APPROACHES TO VOLATILITY ESTIMATION; APPLICATION TO INVESTMENT STRATEGIES AND PROPRIETARY TRADING; SUMMARY; Chapter 7: Robust Estimation; THE INTUITION BEHIND ROBUST STATISTICS; ROBUST STATISTICS
ROBUST ESTIMATORS OF REGRESSIONSCONFIDENCE INTERVALS; SUMMARY; Chapter 8: Robust Frameworks for Estimation: Shrinkage, Bayesian Approaches, and the Black-Litterman Model; PRACTICAL PROBLEMS ENCOUNTERED IN MEAN-VARIANCE OPTIMIZATION; SHRINKAGE ESTIMATION; BAYESIAN APPROACHES; SUMMARY; Chapter 9: Mathematical and Numerical Optimization; MATHEMATICAL PROGRAMMING; NECESSARY CONDITIONS FOR OPTIMALITY FOR CONTINUOUS OPTIMIZATION PROBLEMS; OPTIMIZATION DUALITY THEORY; HOW DO OPTIMIZATION ALGORITHMS WORK?; SUMMARY; Chapter 10: Optimization Under Uncertainty; STOCHASTIC PROGRAMMING
DYNAMIC PROGRAMMINGROBUST OPTIMIZATION; SUMMARY; Chapter 11: Implementing and Solving Optimization Problems in Practice; OPTIMIZATION SOFTWARE; PRACTICAL CONSIDERATIONS WHEN USING OPTIMIZATION SOFTWARE; IMPLEMENTATION EXAMPLES; SPECIALIZED SOFTWARE FOR OPTIMIZATION UNDER UNCERTAINTY; SUMMARY; Chapter 12: Robust Modeling of Uncertain Parameters in Classical Mean-Variance Portfolio Optimization; PORTFOLIO RESAMPLING TECHNIQUES; ROBUST PORTFOLIO ALLOCATION; SOME PRACTICAL REMARKS ON ROBUST PORTFOLIO ALLOCATION MODELS; SUMMARY
Chapter 13: The Practice of Robust Portfolio Management: Recent Trends and New Directions
Record Nr. UNINA-9910830958203321
Hoboken, New Jersey, : John Wiley, c2007
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Simulation and optimization in finance [[electronic resource] ] : modeling with MATLAB, @Risk, or VBA / / Dessislava A. Pachamanova, Frank J. Fabozzi
Simulation and optimization in finance [[electronic resource] ] : modeling with MATLAB, @Risk, or VBA / / Dessislava A. Pachamanova, Frank J. Fabozzi
Autore Pachamanova Dessislava A
Pubbl/distr/stampa Hoboken, NJ, : Wiley, 2010
Descrizione fisica 1 online resource (787 p.)
Disciplina 332.0285/53
Altri autori (Persone) FabozziFrank J
Collana Frank J. Fabozzi series
Soggetto topico Finance - Mathematical models - Computer programs
Numerical analysis - Data processing
ISBN 1-282-78284-3
9786612782848
1-118-26775-3
0-470-88210-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Simulation and Optimization in Finance + Web Site: Modeling with MATLAB, @RISK, or VBA; Contents; Preface; CENTRAL THEMES; SOFTWARE; TEACHING; COMPANION WEB SITE; NOTES; About the Authors; Acknowledgments; Chapter 1: Introduction; OPTIMIZATION; SIMULATION; OUTLINE OF TOPICS; Part One: Fundamental Concepts; Chapter 2: Important Finance Concepts; Chapter 3: Random Variables, Probability Distributions, and Important Statistical Concepts; Chapter 4: Simulation Modeling; Chapter 5: Optimization Modeling; Chapter 6: Optimization under Uncertainty; Part Two: Portfolio Optimization and Risk Measures
Chapter 7: Asset Diversification and Efficient FrontiersChapter 8: Advances in the Theory of Portfolio Risk Measures; Chapter 9: Equity Portfolio Selection in Practice; Chapter 10: Fixed Income Portfolio Management in Practice; Part Three: Asset Pricing Models; Chapter 11: Factor Models; Chapter 12: Modeling Asset Price Dynamics; Part Four: Derivative Pricing and Use; Chapter 13: Introduction to Derivatives; Chapter 14: Pricing Derivatives by Simulation; Chapter 15: Structuring and Pricing Residential Mortgage-Backed Securities; Chapter 16: Using Derivatives in Portfolio Management
Part Five: Capital Budgeting DecisionsChapter 17: Capital Budgeting under Uncertainty; Chapter 18: Real Options; References; Index
Record Nr. UNINA-9910785437303321
Pachamanova Dessislava A  
Hoboken, NJ, : Wiley, 2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Simulation and optimization in finance [[electronic resource] ] : modeling with MATLAB, @Risk, or VBA / / Dessislava A. Pachamanova, Frank J. Fabozzi
Simulation and optimization in finance [[electronic resource] ] : modeling with MATLAB, @Risk, or VBA / / Dessislava A. Pachamanova, Frank J. Fabozzi
Autore Pachamanova Dessislava A
Pubbl/distr/stampa Hoboken, NJ, : Wiley, 2010
Descrizione fisica 1 online resource (787 p.)
Disciplina 332.0285/53
Altri autori (Persone) FabozziFrank J
Collana Frank J. Fabozzi series
Soggetto topico Finance - Mathematical models - Computer programs
Numerical analysis - Data processing
ISBN 1-282-78284-3
9786612782848
1-118-26775-3
0-470-88210-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Simulation and Optimization in Finance + Web Site: Modeling with MATLAB, @RISK, or VBA; Contents; Preface; CENTRAL THEMES; SOFTWARE; TEACHING; COMPANION WEB SITE; NOTES; About the Authors; Acknowledgments; Chapter 1: Introduction; OPTIMIZATION; SIMULATION; OUTLINE OF TOPICS; Part One: Fundamental Concepts; Chapter 2: Important Finance Concepts; Chapter 3: Random Variables, Probability Distributions, and Important Statistical Concepts; Chapter 4: Simulation Modeling; Chapter 5: Optimization Modeling; Chapter 6: Optimization under Uncertainty; Part Two: Portfolio Optimization and Risk Measures
Chapter 7: Asset Diversification and Efficient FrontiersChapter 8: Advances in the Theory of Portfolio Risk Measures; Chapter 9: Equity Portfolio Selection in Practice; Chapter 10: Fixed Income Portfolio Management in Practice; Part Three: Asset Pricing Models; Chapter 11: Factor Models; Chapter 12: Modeling Asset Price Dynamics; Part Four: Derivative Pricing and Use; Chapter 13: Introduction to Derivatives; Chapter 14: Pricing Derivatives by Simulation; Chapter 15: Structuring and Pricing Residential Mortgage-Backed Securities; Chapter 16: Using Derivatives in Portfolio Management
Part Five: Capital Budgeting DecisionsChapter 17: Capital Budgeting under Uncertainty; Chapter 18: Real Options; References; Index
Record Nr. UNINA-9910807705703321
Pachamanova Dessislava A  
Hoboken, NJ, : Wiley, 2010
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui