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Encyclopedia of financial models / / Frank J. Fabozzi, editor
| Encyclopedia of financial models / / Frank J. Fabozzi, editor |
| Autore | Fabozzi Frank |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2013 |
| Descrizione fisica | 1 online resource (2203 p.) |
| Disciplina |
332.011
332.603 |
| Soggetto topico |
Investments - Management
Portfolio management |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910785734803321 |
Fabozzi Frank
|
||
| Hoboken, New Jersey : , : Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Encyclopedia of financial models / / Frank J. Fabozzi, editor
| Encyclopedia of financial models / / Frank J. Fabozzi, editor |
| Autore | Fabozzi Frank |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2013 |
| Descrizione fisica | 1 online resource (2203 p.) |
| Disciplina |
332.011
332.603 |
| Soggetto topico |
Investments - Management
Portfolio management |
| 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 | eng |
| 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 |
| Record Nr. | UNINA-9910809199003321 |
|
Fabozzi Frank
|
||
| Hoboken, New Jersey : , : Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||