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Asset management : a systematic approach to factor investing / Andrew Ang
| Asset management : a systematic approach to factor investing / Andrew Ang |
| Autore | Ang, Andrew |
| Pubbl/distr/stampa | Oxford, : Oxford University Press, 2014 |
| Descrizione fisica | XII, 704 p. : ill. ; 24 cm |
| Soggetto topico |
Asset-backed financing
Capital assets pricing model Investments |
| ISBN |
978-01-999593-2-7
978-01-999593-3-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISOB-VAN0107357 |
Ang, Andrew
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| Oxford, : Oxford University Press, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Suor Orsola Benincasa | ||
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Asset management : a systematic approach to factor investing / Andrew Ang
| Asset management : a systematic approach to factor investing / Andrew Ang |
| Autore | Ang, Andrew |
| Pubbl/distr/stampa | Oxford, : Oxford University Press, 2014 |
| Descrizione fisica | XII, 704 p. : ill. ; 24 cm |
| Soggetto topico |
Asset-backed financing
Capital assets pricing model Investments |
| ISBN |
978-01-999593-2-7
978-01-999593-3-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-VAN0107357 |
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Ang, Andrew
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| Oxford, : Oxford University Press, 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
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Asset management : a systematic approach to factor investing / Andrew Ang
| Asset management : a systematic approach to factor investing / Andrew Ang |
| Autore | Ang, Andrew |
| Edizione | [Oxford : Oxford University Press, 2014] |
| Pubbl/distr/stampa | XII, 704 p. : ill. ; 24 cm |
| Descrizione fisica | Pubblicazione in formato elettronico |
| Soggetto topico |
Asset-backed financing
Capital assets pricing model Investments |
| ISBN |
978-01-999593-2-7
978-01-999593-3-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNICAMPANIA-SUN0107357 |
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Ang, Andrew
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||
| XII, 704 p. : ill. ; 24 cm | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Vanvitelli | ||
| ||
Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
| Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
| Descrizione fisica | 1 online resource (988 p.) |
| Disciplina | 332.60151962 |
| Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910458979403321 |
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Taylor Stephen (Stephen J.)
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| Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
| Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
| Descrizione fisica | 1 online resource (988 p.) |
| Disciplina | 332.60151962 |
| Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
| ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910791867203321 |
|
Taylor Stephen (Stephen J.)
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||
| Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor
| Asset price dynamics, volatility, and prediction [[electronic resource] /] / Stephen J. Taylor |
| Autore | Taylor Stephen (Stephen J.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 2007, c2005 |
| Descrizione fisica | 1 online resource (988 p.) |
| Disciplina | 332.60151962 |
| Soggetto topico |
Capital assets pricing model
Finance - Mathematical models |
| ISBN |
1-282-99204-X
9786612992049 1-4008-3925-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- Preface -- 1. Introduction -- Part I. Foundations -- 2. Prices and Returns -- 3. Stochastic Processes: Definitions and Examples -- 4. Stylized Facts for Financial Returns -- Part II. Conditional Expected Returns -- 5. The Variance-Ratio Test of the RandomWalk Hypothesis -- 6. Further Tests of the RandomWalk Hypothesis -- 7. Trading Rules and Market Efficiency -- Part III. Volatility Processes -- 8. An Introduction to Volatility -- 9. ARCH Models: Definitions and Examples -- 10. ARCH Models: Selection and Likelihood Methods -- 11. Stochastic Volatility Models -- Part IV. High-Frequency Methods -- 12. High-Frequency Data and Models -- Part V. Inferences from Option Prices -- 13. Continuous-Time Stochastic Processes -- 14. Option Pricing Formulae -- 15. Forecasting Volatility -- 16. Density Prediction for Asset Prices -- Symbols -- References -- Author Index -- Subject Index |
| Record Nr. | UNINA-9910807815503321 |
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Taylor Stephen (Stephen J.)
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| Princeton, N.J., : Princeton University Press, 2007, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Asset prices and monetary policy [[electronic resource] /] / edited by John Y. Campbell
| Asset prices and monetary policy [[electronic resource] /] / edited by John Y. Campbell |
| Pubbl/distr/stampa | Chicago, : University of Chicago Press, 2008 |
| Descrizione fisica | 1 online resource (444 p.) |
| Disciplina | 339.5/3 |
| Altri autori (Persone) | CampbellJohn Y |
| Collana | A National Bureau of Economic Research conference report |
| Soggetto topico |
Monetary policy
Securities - Prices Speculation Capital assets pricing model Investment analysis - Mathematics Capital investments |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-281-95929-4
9786611959296 0-226-09212-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Measuring the macroeconomic risks posed by asset price booms / Stephen G. Cecchetti -- Expectations, asset prices, and monetary policy : the role of learning / Simon Gilchrist and Masashi Saito -- Optimal monetary policy with collateralized household debt and borrowing constraints / Tommaso Monacelli -- Inflation illusion, credit, and asset prices / Monika Piazzesi and Martin Schneider -- Learning, macroeconomic dynamics, and the term structure of interest rates / Hans Dewachter and Marco Lyrio -- Revealing the secrets of the temple : the value of publishing central bank interest rate projections / Glenn D. Rudebusch and John C. Williams -- The effect of monetary policy on real commodity prices / Jeffrey A. Frankel -- Noisy macroeconomic announcements, monetary policy, and asset prices / Roberto Rigobon and Brian Sack -- Is bad news about inflation good news for the exchange rate? And, if so, can that tell us anything about the conduct of monetary policy? / Richard H. Clarida and Daniel Waldman. |
| Record Nr. | UNINA-9910453789703321 |
| Chicago, : University of Chicago Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset prices and monetary policy [[electronic resource] /] / edited by John Y. Campbell
| Asset prices and monetary policy [[electronic resource] /] / edited by John Y. Campbell |
| Pubbl/distr/stampa | Chicago, : University of Chicago Press, 2008 |
| Descrizione fisica | 1 online resource (444 p.) |
| Disciplina | 339.5/3 |
| Altri autori (Persone) | CampbellJohn Y |
| Collana | A National Bureau of Economic Research conference report |
| Soggetto topico |
Monetary policy
Securities - Prices Speculation Capital assets pricing model Investment analysis - Mathematics Capital investments |
| Soggetto non controllato | economics, economy, growth, inflation, finances, financial, policy makers, central banks, federal reserve, asset markets, housing market, debt, credit, investors, commodity pricing, stocks, retirement funds, real estate, securities, prices, speculation, math, mathematics, investment, analysis, macroeconomics, expectations, learning, borrowing, exchange rate, monetary |
| ISBN |
1-281-95929-4
9786611959296 0-226-09212-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Measuring the macroeconomic risks posed by asset price booms / Stephen G. Cecchetti -- Expectations, asset prices, and monetary policy : the role of learning / Simon Gilchrist and Masashi Saito -- Optimal monetary policy with collateralized household debt and borrowing constraints / Tommaso Monacelli -- Inflation illusion, credit, and asset prices / Monika Piazzesi and Martin Schneider -- Learning, macroeconomic dynamics, and the term structure of interest rates / Hans Dewachter and Marco Lyrio -- Revealing the secrets of the temple : the value of publishing central bank interest rate projections / Glenn D. Rudebusch and John C. Williams -- The effect of monetary policy on real commodity prices / Jeffrey A. Frankel -- Noisy macroeconomic announcements, monetary policy, and asset prices / Roberto Rigobon and Brian Sack -- Is bad news about inflation good news for the exchange rate? And, if so, can that tell us anything about the conduct of monetary policy? / Richard H. Clarida and Daniel Waldman. |
| Record Nr. | UNINA-9910782430603321 |
| Chicago, : University of Chicago Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset prices and monetary policy [[electronic resource] /] / edited by John Y. Campbell
| Asset prices and monetary policy [[electronic resource] /] / edited by John Y. Campbell |
| Pubbl/distr/stampa | Chicago, : University of Chicago Press, 2008 |
| Descrizione fisica | 1 online resource (444 p.) |
| Disciplina | 339.5/3 |
| Altri autori (Persone) | CampbellJohn Y |
| Collana | A National Bureau of Economic Research conference report |
| Soggetto topico |
Monetary policy
Securities - Prices Speculation Capital assets pricing model Investment analysis - Mathematics Capital investments |
| Soggetto non controllato | economics, economy, growth, inflation, finances, financial, policy makers, central banks, federal reserve, asset markets, housing market, debt, credit, investors, commodity pricing, stocks, retirement funds, real estate, securities, prices, speculation, math, mathematics, investment, analysis, macroeconomics, expectations, learning, borrowing, exchange rate, monetary |
| ISBN |
1-281-95929-4
9786611959296 0-226-09212-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Measuring the macroeconomic risks posed by asset price booms / Stephen G. Cecchetti -- Expectations, asset prices, and monetary policy : the role of learning / Simon Gilchrist and Masashi Saito -- Optimal monetary policy with collateralized household debt and borrowing constraints / Tommaso Monacelli -- Inflation illusion, credit, and asset prices / Monika Piazzesi and Martin Schneider -- Learning, macroeconomic dynamics, and the term structure of interest rates / Hans Dewachter and Marco Lyrio -- Revealing the secrets of the temple : the value of publishing central bank interest rate projections / Glenn D. Rudebusch and John C. Williams -- The effect of monetary policy on real commodity prices / Jeffrey A. Frankel -- Noisy macroeconomic announcements, monetary policy, and asset prices / Roberto Rigobon and Brian Sack -- Is bad news about inflation good news for the exchange rate? And, if so, can that tell us anything about the conduct of monetary policy? / Richard H. Clarida and Daniel Waldman. |
| Record Nr. | UNINA-9910819065603321 |
| Chicago, : University of Chicago Press, 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Asset pricing [[electronic resource] ] : a structural theory and its applications / / Bing Cheng, Howell Tong
| Asset pricing [[electronic resource] ] : a structural theory and its applications / / Bing Cheng, Howell Tong |
| Autore | Cheng Bing |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (92 p.) |
| Disciplina | 332.632042 |
| Altri autori (Persone) | TongHowell |
| Soggetto topico |
Capital assets pricing model
Stocks - Prices - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-283-250-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction to modern asset pricing. 1.1. A brief history of modern asset pricing models. 1.2. The equity premium puzzle -- 2. A structural theory of asset pricing. 2.1. Construction of continuous linear pricing functionals. 2.2. The structural theory of asset pricing - pt. I. 2.3. Is the equity premium puzzle really a puzzle or not a puzzle? 2.4. Conclusions and summary - 3. Algebra of stochastic discount factors. 3.1. Symmetric theorem of asset pricing. 3.2. Compounding asset pricing models. 3.3. Compression of asset pricing models. 3.4. Decomposition of errors in asset pricing models. 3.5. Empirical analysis of the asset pricing models. 3.6. Conclusions -- 4. Investment and consumption in a multi-period framework. 4.1. Review of Merton's asset pricing model. 4.2. Optimal decisions of investment and consumption. 4.3. Optimal investment behavior. 4.4. Conclusions. |
| Record Nr. | UNINA-9910455555003321 |
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Cheng Bing
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| Hackensack, NJ, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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