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Mathematical asset management [[electronic resource] /] / Thomas Höglund
| Mathematical asset management [[electronic resource] /] / Thomas Höglund |
| Autore | Höglund Thomas |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2008 |
| Descrizione fisica | 1 online resource (234 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management - Mathematical models Investment analysis - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-37416-4
9786611374167 0-470-29356-X 0-470-29355-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Asset Management; CONTENTS; Preface; 1 Interest Rate; 1.1 Flat Rate; 1.1.1 Compound Interest; 1.1.2 Present Value; 1.1.3 Cash Streams; 1.1.4 Effective Rate; 1.1.5 Bonds; 1.1.6 The Effective Rate as a Measure of Valuation; 1.2 Dependence on the Maturity Date; 1.2.1 Zero-Coupon Bonds; 1.2.2 Arbitrage-Free Cash Streams; 1.2.3 The Arbitrage Theorem; 1.2.4 The Movements of the Interest Rate Curve; 1.2.5 Sensitivity to Change of Rates; 1.2.6 Immunization; 1.3 Notes; 2 Further Financial Instruments; 2.1 Stocks; 2.1.1 Earnings, Interest Rate, and Stock Price; 2.2 Forwards; 2.3 Options
2.3.1 European Options2.3.2 American Options; 2.3.3 Option Strategies; 2.4 Further Exercises; 2.5 Notes; 3 Trading Strategies; 3.1 Trading Strategies; 3.1.1 Model Assumptions; 3.1.2 Interest Rate; 3.1.3 Exotic Options; 3.2 An Asymptotic Result; 3.2.1 The Model of Cox, Ross, and Rubinstein; 3.2.2 An Asymptotic Result; 3.3 Implementing Trading Strategies; 3.3.1 Portfolio Insurance; 4 Stochastic Properties of Stock Prices; 4.1 Growth; 4.1.1 The Distribution of the Growth; 4.1.2 Drift and Volatility; 4.1.3 The Stability of the Volatility Estimator; 4.2 Return; 4.3 Covariation 4.3.1 The Asymptotic Distribution of the Estimated Covariance Matrix5 Trading Strategies with Clock Time Horizon; 5.1 Clock Time Horizon; 5.2 Black-Scholes Pricing Formulas; 5.2.1 Sensitivity to Perturbations; 5.2.2 Hedging a Written Call; 5.2.3 Three Options Strategies Again; 5.3 The Black-Scholes Equation; 5.4 Trading Strategies for Several Assets; 5.4.1 An Unsymmetrical Formulation; 5.4.2 A Symmetrical Formulation; 5.4.3 Examples; 5.5 Notes; 6 Diversification; 6.1 Risk and Diversification; 6.1.1 The Minimum-Variance Portfolio; 6.1.2 Stability of the Estimates of the Weights 6.2 Growth Portfolios6.2.1 The Auxiliary Portfolio; 6.2.2 Maximal Drift; 6.2.3 Constraint on Portfolio Volatility; 6.2.4 Constraints on Total Stock Weight; 6.2.5 Constraints on Total Stock Weight and Volatility; 6.2.6 The Efficient Frontier; 6.2.7 Summary; 6.3 Rebalancing; 6.3.1 The Portfolio as a Function of the Stocks; 6.3.2 Empirical Verification; 6.4 Optimal Portfolios with Positive Weights; 6.5 Notes; 7 Covariation with the Market; 7.1 Beta; 7.1.1 The Market; 7.1.2 Beta Value; 7.2 Portfolios Related to the Market; 7.2.1 The Beta Portfolio; 7.2.2 Stability of the Estimates of the Weights 7.2.3 Market Neutral Portfolios7.3 Capital Asset Pricing Model; 7.3.1 The CAPM Identity; 7.3.2 Consequences of CAPM; 7.3.3 The Market Portfolio; 7.4 Notes; 8 Performance and Risk measures; 8.1 Performance Measures; 8.2 Risk Measures; 8.2.1 Value at Risk; 8.2.2 Downside Risk; 8.3 Risk Adjustment; 9 Simple Covariation; 9.1 Equal Correlations; 9.1.1 Matrix Calculations; 9.1.2 Optimal Portfolios; 9.1.3 Comparison with the General Model; 9.1.4 Positive Weights; 9.2 Multiplicative Correlations; 9.2.1 Uniqueness of the Parameters; 9.2.2 Matrix Calculations; 9.2.3 Parameter Estimation 9.2.4 Optimal Portfolios |
| Record Nr. | UNINA-9910145424103321 |
Höglund Thomas
|
||
| Hoboken, N.J., : Wiley-Interscience, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Mathematical asset management [[electronic resource] /] / Thomas Höglund
| Mathematical asset management [[electronic resource] /] / Thomas Höglund |
| Autore | Höglund Thomas |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2008 |
| Descrizione fisica | 1 online resource (234 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Soggetto topico |
Derivative securities - Mathematical models
Risk management - Mathematical models Investment analysis - Mathematical models |
| ISBN |
1-281-37416-4
9786611374167 0-470-29356-X 0-470-29355-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Asset Management; CONTENTS; Preface; 1 Interest Rate; 1.1 Flat Rate; 1.1.1 Compound Interest; 1.1.2 Present Value; 1.1.3 Cash Streams; 1.1.4 Effective Rate; 1.1.5 Bonds; 1.1.6 The Effective Rate as a Measure of Valuation; 1.2 Dependence on the Maturity Date; 1.2.1 Zero-Coupon Bonds; 1.2.2 Arbitrage-Free Cash Streams; 1.2.3 The Arbitrage Theorem; 1.2.4 The Movements of the Interest Rate Curve; 1.2.5 Sensitivity to Change of Rates; 1.2.6 Immunization; 1.3 Notes; 2 Further Financial Instruments; 2.1 Stocks; 2.1.1 Earnings, Interest Rate, and Stock Price; 2.2 Forwards; 2.3 Options
2.3.1 European Options2.3.2 American Options; 2.3.3 Option Strategies; 2.4 Further Exercises; 2.5 Notes; 3 Trading Strategies; 3.1 Trading Strategies; 3.1.1 Model Assumptions; 3.1.2 Interest Rate; 3.1.3 Exotic Options; 3.2 An Asymptotic Result; 3.2.1 The Model of Cox, Ross, and Rubinstein; 3.2.2 An Asymptotic Result; 3.3 Implementing Trading Strategies; 3.3.1 Portfolio Insurance; 4 Stochastic Properties of Stock Prices; 4.1 Growth; 4.1.1 The Distribution of the Growth; 4.1.2 Drift and Volatility; 4.1.3 The Stability of the Volatility Estimator; 4.2 Return; 4.3 Covariation 4.3.1 The Asymptotic Distribution of the Estimated Covariance Matrix5 Trading Strategies with Clock Time Horizon; 5.1 Clock Time Horizon; 5.2 Black-Scholes Pricing Formulas; 5.2.1 Sensitivity to Perturbations; 5.2.2 Hedging a Written Call; 5.2.3 Three Options Strategies Again; 5.3 The Black-Scholes Equation; 5.4 Trading Strategies for Several Assets; 5.4.1 An Unsymmetrical Formulation; 5.4.2 A Symmetrical Formulation; 5.4.3 Examples; 5.5 Notes; 6 Diversification; 6.1 Risk and Diversification; 6.1.1 The Minimum-Variance Portfolio; 6.1.2 Stability of the Estimates of the Weights 6.2 Growth Portfolios6.2.1 The Auxiliary Portfolio; 6.2.2 Maximal Drift; 6.2.3 Constraint on Portfolio Volatility; 6.2.4 Constraints on Total Stock Weight; 6.2.5 Constraints on Total Stock Weight and Volatility; 6.2.6 The Efficient Frontier; 6.2.7 Summary; 6.3 Rebalancing; 6.3.1 The Portfolio as a Function of the Stocks; 6.3.2 Empirical Verification; 6.4 Optimal Portfolios with Positive Weights; 6.5 Notes; 7 Covariation with the Market; 7.1 Beta; 7.1.1 The Market; 7.1.2 Beta Value; 7.2 Portfolios Related to the Market; 7.2.1 The Beta Portfolio; 7.2.2 Stability of the Estimates of the Weights 7.2.3 Market Neutral Portfolios7.3 Capital Asset Pricing Model; 7.3.1 The CAPM Identity; 7.3.2 Consequences of CAPM; 7.3.3 The Market Portfolio; 7.4 Notes; 8 Performance and Risk measures; 8.1 Performance Measures; 8.2 Risk Measures; 8.2.1 Value at Risk; 8.2.2 Downside Risk; 8.3 Risk Adjustment; 9 Simple Covariation; 9.1 Equal Correlations; 9.1.1 Matrix Calculations; 9.1.2 Optimal Portfolios; 9.1.3 Comparison with the General Model; 9.1.4 Positive Weights; 9.2 Multiplicative Correlations; 9.2.1 Uniqueness of the Parameters; 9.2.2 Matrix Calculations; 9.2.3 Parameter Estimation 9.2.4 Optimal Portfolios |
| Record Nr. | UNINA-9910677660903321 |
|
Höglund Thomas
|
||
| Hoboken, N.J., : Wiley-Interscience, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga. |
| Record Nr. | UNINA-9910143676503321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga. |
| Record Nr. | UNINA-9910830524803321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet
| Multi-moment asset allocation and pricing models [[electronic resource] /] / edited by Emmanuel Jurczenko and Bertrand Maillet |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 |
| Descrizione fisica | 1 online resource (259 p.) |
| Disciplina |
332.601/5195
332.6015195 |
| Altri autori (Persone) |
JurczenkoEmmanuel
MailletBertrand |
| Collana | Wiley finance series |
| Soggetto topico |
Investments - Mathematical models
Asset allocation - Mathematical models Capital assets pricing model |
| ISBN |
1-119-20183-7
1-280-64915-1 9786610649150 0-470-05799-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Theoretical foundations of asset allocations and pricing models with higher-order moments / Emmanuel Jurczenko and Bertrand Maillet -- On certain geometric aspects of portfolio optimisation with higher moments -- / Gustavo M. de Athayde and Renato G. Flôres Jr. -- Hedge funds portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-Kurtosis efficient frontier / Emmanuel Jurczenko, Bertrand Maillet and Paul Merlin -- Higher order moments and beyond / Luisa Tibiletti -- Gram-Charlier expansions and portfolio selection in non-Gaussian universes / François Desmoulins-Lebeault -- The four-moment capital asset pricing model : between asset pricing and asset allocation / Emmanuel Jurczenko and Bertrand Maillet -- Multi-moment method for portfolio management : generalized capital asset pricing model in homogeneous and heterogeneous markets / Yannick Malevergne and Didier Sornette -- Modeling the dynamics of conditional dependency between financial series / Eric Jondeau and Michael Rockinger -- A test of the homogeneity of asset pricing models / Giovanni Barone-Adesi, Patrick Gagliardini and Giovanni Urga. |
| Record Nr. | UNINA-9910841088603321 |
| Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, Inc., c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||