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Active value investing [[electronic resource] ] : making money in range bound markets / / Vitaliy N. Katsenelson
| Active value investing [[electronic resource] ] : making money in range bound markets / / Vitaliy N. Katsenelson |
| Autore | Katsenelson Vitaliy N |
| Pubbl/distr/stampa | Hoboken, N.J., : J. Wiley & Sons, c2007 |
| Descrizione fisica | 1 online resource (306 p.) |
| Disciplina | 332.6 |
| Collana | Wiley finance series |
| Soggetto topico |
Speculation
Investments |
| ISBN |
1-118-42883-8
1-119-19736-8 1-280-97464-8 9786610974641 0-470-18643-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Active Value Investing; Contents; Preface; Part One: What the Future Holds; Chapter 1: Introduction: Range-Bound Markets Happen; Chapter 2: Emotions of Secular Bull, Bear, and Range-Bound Markets; Chapter 3: Stock Market Math; Chapter 4: Bonds: A Viable Alternative?; Part Two: Active Value Investing; Introduction to Analytics: The Quality, Valuation, and Growth Framework; Introduction to Strategy: The Value of Process and Discipline; Introduction to Risk and Diversification; Appendix: Years to Bull Market; Acknowledgments; AUTHOR'S NOTE; Notes; Index |
| Record Nr. | UNINA-9910840834903321 |
Katsenelson Vitaliy N
|
||
| Hoboken, N.J., : J. Wiley & Sons, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Adaptive asset allocation : dynamic global portfolios to profit in good times - and bad / / Adam Butler, Rodrigo Gordillo, Michael Philbrick
| Adaptive asset allocation : dynamic global portfolios to profit in good times - and bad / / Adam Butler, Rodrigo Gordillo, Michael Philbrick |
| Autore | Butler Adam <1975-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 332.6 |
| Soggetto topico |
Portfolio management
Investments |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-22039-4
1-119-22037-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Dedication; Acknowledgments; Part I: The Philosophy of Successful Investing; Chapter 1: The Most Important Concepts in Wealth Management; Chapter 2: The Narrative Is Reality; Chapter 3: Tightly Grouped Arrows Nowhere Near the Bull's-eye; Chapter 4: What Is Gestalt?; Chapter 5: Measuring the Relative Value of Portfolios; Chapter 6: The Whole Is Greater than the Sum of Its Parts; Chapter 7: Our Process Is a Financial Gestalt; Part II: Saving and Withdrawing from Portfolios; Chapter 8: Beware of Those Pesky "Volatility Gremlins"
Chapter 9: It's Not Just the Destination, It's Also the JourneyChapter 10: In a Perfect World; Chapter 11: Home on the Range; Chapter 12: Timing Is Everything; Chapter 13: Longevity Risk; Chapter 14: Plan for the Worst, Hope for the Best; Chapter 15: Sequence of Returns for Savers; Chapter 16: Individual Rate of Return for Savers; Chapter 17: Sequence of Returns for Retirees; Chapter 18: Do You Feel Lucky?; Part III: Current High Valuations Mean Lower Future Returns; Chapter 19: A Simple Model to Forecast Equity Market Returns; Chapter 20: Implied Future Returns over the Next 20 Years Chapter 21: How Do We Do It?Chapter 22: Forecasts 80 Percent More Accurate than Always Assuming Long-Term Averages; Chapter 23: Roller Coasters Are for Amusement Parks; Chapter 24: The Last Five Years Have Been a Triumph for the Ostriches; Part IV: An Investment Framework for Stability, Growth, and Maximum Income; Chapter 25: A Word about Asset Allocation; Chapter 26: The Optimization Machine; Chapter 27: Garbage In, Garbage Out; Volatility; Correlations; Returns; The Flaw of Averages; Chapter 28: All We Know Is That We Know Nothing; Chapter 29: If We Know How Assets Should Behave The Permanent Portfolio: Structural Diversification's Poster BoyJapan as a Deflationary Case Study; Chapter 30: A Structurally Diverse Investment Universe; Chapter 31: If We Can Estimate Volatility; Chapter 32: If We Can Estimate Volatility and Correlation; Chapter 33: If We Can Estimate Volatility, Correlations, and Returns; Chapter 34: Summary of the Optimization Machine; Chapter 35: Building to Adaptive Asset Allocation; Chapter 36: Integration of Adaptive Asset Allocation; The Next Generation of Portfolio Management; Part V: Why You Should Trust the Research Chapter 37: The Usefulness and Uselessness of BacktestsDegrees of Freedom; Sample Size; Multiple Discovery; Structural Impediments to Asset Class Arbitrage; On the Robustness of Adaptive Asset Allocation; Chapter 38: Tactical Alpha and the Quantitative Case for Active Asset Allocation; Shoulders of Giants; Structure; Part One: Theory; Part Two: Empirical Analysis; Conclusion; Chapter 39: Sensitivity of Safe Withdrawal Rates to Longevity, Market, and Failure Risk Preferences with Implications for Asset Allocation; Safe Withdrawal Rates; Aftcasting; The Four Levers of Retirement Pulling on the Levers |
| Record Nr. | UNINA-9910466129003321 |
|
Butler Adam <1975->
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Adaptive asset allocation : dynamic global portfolios to profit in good times - and bad / / Adam Butler, Rodrigo Gordillo, Michael Philbrick
| Adaptive asset allocation : dynamic global portfolios to profit in good times - and bad / / Adam Butler, Rodrigo Gordillo, Michael Philbrick |
| Autore | Butler Adam <1975-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 332.6 |
| Soggetto topico |
Portfolio management
Investments |
| ISBN |
1-119-22039-4
1-119-22037-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Dedication; Acknowledgments; Part I: The Philosophy of Successful Investing; Chapter 1: The Most Important Concepts in Wealth Management; Chapter 2: The Narrative Is Reality; Chapter 3: Tightly Grouped Arrows Nowhere Near the Bull's-eye; Chapter 4: What Is Gestalt?; Chapter 5: Measuring the Relative Value of Portfolios; Chapter 6: The Whole Is Greater than the Sum of Its Parts; Chapter 7: Our Process Is a Financial Gestalt; Part II: Saving and Withdrawing from Portfolios; Chapter 8: Beware of Those Pesky "Volatility Gremlins"
Chapter 9: It's Not Just the Destination, It's Also the JourneyChapter 10: In a Perfect World; Chapter 11: Home on the Range; Chapter 12: Timing Is Everything; Chapter 13: Longevity Risk; Chapter 14: Plan for the Worst, Hope for the Best; Chapter 15: Sequence of Returns for Savers; Chapter 16: Individual Rate of Return for Savers; Chapter 17: Sequence of Returns for Retirees; Chapter 18: Do You Feel Lucky?; Part III: Current High Valuations Mean Lower Future Returns; Chapter 19: A Simple Model to Forecast Equity Market Returns; Chapter 20: Implied Future Returns over the Next 20 Years Chapter 21: How Do We Do It?Chapter 22: Forecasts 80 Percent More Accurate than Always Assuming Long-Term Averages; Chapter 23: Roller Coasters Are for Amusement Parks; Chapter 24: The Last Five Years Have Been a Triumph for the Ostriches; Part IV: An Investment Framework for Stability, Growth, and Maximum Income; Chapter 25: A Word about Asset Allocation; Chapter 26: The Optimization Machine; Chapter 27: Garbage In, Garbage Out; Volatility; Correlations; Returns; The Flaw of Averages; Chapter 28: All We Know Is That We Know Nothing; Chapter 29: If We Know How Assets Should Behave The Permanent Portfolio: Structural Diversification's Poster BoyJapan as a Deflationary Case Study; Chapter 30: A Structurally Diverse Investment Universe; Chapter 31: If We Can Estimate Volatility; Chapter 32: If We Can Estimate Volatility and Correlation; Chapter 33: If We Can Estimate Volatility, Correlations, and Returns; Chapter 34: Summary of the Optimization Machine; Chapter 35: Building to Adaptive Asset Allocation; Chapter 36: Integration of Adaptive Asset Allocation; The Next Generation of Portfolio Management; Part V: Why You Should Trust the Research Chapter 37: The Usefulness and Uselessness of BacktestsDegrees of Freedom; Sample Size; Multiple Discovery; Structural Impediments to Asset Class Arbitrage; On the Robustness of Adaptive Asset Allocation; Chapter 38: Tactical Alpha and the Quantitative Case for Active Asset Allocation; Shoulders of Giants; Structure; Part One: Theory; Part Two: Empirical Analysis; Conclusion; Chapter 39: Sensitivity of Safe Withdrawal Rates to Longevity, Market, and Failure Risk Preferences with Implications for Asset Allocation; Safe Withdrawal Rates; Aftcasting; The Four Levers of Retirement Pulling on the Levers |
| Record Nr. | UNINA-9910798187003321 |
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Butler Adam <1975->
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Adaptive asset allocation : dynamic global portfolios to profit in good times - and bad / / Adam Butler, Rodrigo Gordillo, Michael Philbrick
| Adaptive asset allocation : dynamic global portfolios to profit in good times - and bad / / Adam Butler, Rodrigo Gordillo, Michael Philbrick |
| Autore | Butler Adam <1975-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (227 p.) |
| Disciplina | 332.6 |
| Soggetto topico |
Portfolio management
Investments |
| ISBN |
1-119-22039-4
1-119-22037-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Title Page; Copyright; Table of Contents; Dedication; Acknowledgments; Part I: The Philosophy of Successful Investing; Chapter 1: The Most Important Concepts in Wealth Management; Chapter 2: The Narrative Is Reality; Chapter 3: Tightly Grouped Arrows Nowhere Near the Bull's-eye; Chapter 4: What Is Gestalt?; Chapter 5: Measuring the Relative Value of Portfolios; Chapter 6: The Whole Is Greater than the Sum of Its Parts; Chapter 7: Our Process Is a Financial Gestalt; Part II: Saving and Withdrawing from Portfolios; Chapter 8: Beware of Those Pesky "Volatility Gremlins"
Chapter 9: It's Not Just the Destination, It's Also the JourneyChapter 10: In a Perfect World; Chapter 11: Home on the Range; Chapter 12: Timing Is Everything; Chapter 13: Longevity Risk; Chapter 14: Plan for the Worst, Hope for the Best; Chapter 15: Sequence of Returns for Savers; Chapter 16: Individual Rate of Return for Savers; Chapter 17: Sequence of Returns for Retirees; Chapter 18: Do You Feel Lucky?; Part III: Current High Valuations Mean Lower Future Returns; Chapter 19: A Simple Model to Forecast Equity Market Returns; Chapter 20: Implied Future Returns over the Next 20 Years Chapter 21: How Do We Do It?Chapter 22: Forecasts 80 Percent More Accurate than Always Assuming Long-Term Averages; Chapter 23: Roller Coasters Are for Amusement Parks; Chapter 24: The Last Five Years Have Been a Triumph for the Ostriches; Part IV: An Investment Framework for Stability, Growth, and Maximum Income; Chapter 25: A Word about Asset Allocation; Chapter 26: The Optimization Machine; Chapter 27: Garbage In, Garbage Out; Volatility; Correlations; Returns; The Flaw of Averages; Chapter 28: All We Know Is That We Know Nothing; Chapter 29: If We Know How Assets Should Behave The Permanent Portfolio: Structural Diversification's Poster BoyJapan as a Deflationary Case Study; Chapter 30: A Structurally Diverse Investment Universe; Chapter 31: If We Can Estimate Volatility; Chapter 32: If We Can Estimate Volatility and Correlation; Chapter 33: If We Can Estimate Volatility, Correlations, and Returns; Chapter 34: Summary of the Optimization Machine; Chapter 35: Building to Adaptive Asset Allocation; Chapter 36: Integration of Adaptive Asset Allocation; The Next Generation of Portfolio Management; Part V: Why You Should Trust the Research Chapter 37: The Usefulness and Uselessness of BacktestsDegrees of Freedom; Sample Size; Multiple Discovery; Structural Impediments to Asset Class Arbitrage; On the Robustness of Adaptive Asset Allocation; Chapter 38: Tactical Alpha and the Quantitative Case for Active Asset Allocation; Shoulders of Giants; Structure; Part One: Theory; Part Two: Empirical Analysis; Conclusion; Chapter 39: Sensitivity of Safe Withdrawal Rates to Longevity, Market, and Failure Risk Preferences with Implications for Asset Allocation; Safe Withdrawal Rates; Aftcasting; The Four Levers of Retirement Pulling on the Levers |
| Record Nr. | UNINA-9910824030603321 |
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Butler Adam <1975->
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Added value in external finacial reporting : a study of its aims and uses in the context of general purpose finacial reports / by Michael Renshall, Richard Allan, Keith Nicholson
| Added value in external finacial reporting : a study of its aims and uses in the context of general purpose finacial reports / by Michael Renshall, Richard Allan, Keith Nicholson |
| Autore | RENSHALL, Michael |
| Pubbl/distr/stampa | London : The Institute of Chartered Accountants in England and Wales, 1979 |
| Descrizione fisica | VI, 116 p. ; 25 cm |
| Disciplina | 332.6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990002348550203316 |
|
RENSHALL, Michael
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||
| London : The Institute of Chartered Accountants in England and Wales, 1979 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Advances in portfolio construction and implementation [[electronic resource] /] / edited by Stephen Satchell, Alan Scowcroft
| Advances in portfolio construction and implementation [[electronic resource] /] / edited by Stephen Satchell, Alan Scowcroft |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Oxford, : Butterworth-Heinemann, 2003 |
| Descrizione fisica | 1 online resource (384 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
SatchellS (Stephen)
ScowcroftAlan |
| Collana | Butterworth-Heinemann finance |
| Soggetto topico |
Portfolio management
Portfolio management - Mathematical models Investments |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-96633-5
9786610966332 1-4175-0763-2 0-08-047184-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Advances in Portfolio Construction and Implementation; Copyright Page; Contents; List of Contributors; Introduction; Chapter 1. A review of portfolio planning: models and systems; 1.1 Introduction and Overview; 1.2 Alternative Computational Models; 1.3 Symmetric and Asymmetric Measures of Risk; 1.4 Computational Models in Practice; 1.5 Preparation of Data: Financial Data Marts; 1.6 Solution Methods; 1.7 Computational Experience; 1.8 Discussions and Conclusions; 1.9 Appendix 1: Piecewise Linear Approximation of the Quadratic Form
1.10 Appendix 2: Comparative Computational Views of the Alternative ModelsReferences; Web References; Acknowledgements; Chapter 2. Generalized mean-variance analysis and robust portfolio diversification; 2.1 Introduction; 2.2 Generalized Mean-Variance Analysis; 2.3 The State Preference Theory Approach to Portfolio Construction; 2.4 Implementation and Simulation; 2.5 Conclusions and Suggested Further Work; References; Chapter 3. Portfolio construction from mandate to stock weight: a practitioner's perspective; 3.1 Introduction; 3.2 Allocating Tracking Error for Multiple Portfolio Funds 3.3 Tracking Errors for Arbitrary Portfolios3.4 Active CAPM, or How Far Should a Bet be Taken?; 3.5 Implementing Ideas in Real Stock Portfolios; 3.6 Conclusions; References; Chapter 4. Enhanced indexation; 4.1 Introduction; 4.2 Constructing a Consistent View; 4.3 Enhanced Indexing; 4.4 An Illustrative Example: Top-down or Bottom-up?; 4.5 Conclusions; 4.6 Appendix 1: Derivation of the Theil-Goldberger Mixed Estimator; 4.7 Appendix 2: Optimization; References; Notes; Chapter 5. Portfolio management under taxes; 5.1 Introduction; 5.2 Do Taxes Really Matter to Investors and Managers? 5.3 The Core Problems5.4 The State of the Art; 5.5 The Multi-Period Aspect; 5.6 Loss Harvesting; 5.7 After-Tax Benchmarks; 5.8 Conclusions; References; Chapter 6. Using genetic algorithms to construct portfolios; 6.1 Limitations of Traditional Mean-Variance Portfolio Optimization; 6.2 Selecting a Method to Limit the Number of Securities in the Final Portfolio; 6.3 Practical Construction of a Genetic Algorithm-Based Optimizer; 6.4 Performance of Genetic Algorithm; 6.5 Conclusions; References; Chapter 7. Near-uniformly distributed, stochastically generated portfolios 7.1 Introduction - A Tractable N-Dimensional Experimental Control7.2 Applications; 7.3 Dynamic Constraints; 7.4 Results from the Dynamic Constraints Algorithm; 7.5 Problems and Limitations with Dynamic Constraints Algorithm; 7.6 Improvements to the Distribution; 7.7 Results of the Dynamic Constraints with Local Density Control; 7.8 Conclusions; 7.9 Further Work; 7.10 Appendix 1: Review of Holding Distribution in Low Dimensions with Minimal Constraints; 7.11 Appendix 2: Probability Distribution of Holding Weight in Monte Carlo Portfolios in N Dimensions with Minimal Constraints 7.12 Appendix 3: The Effects of Simple Holding Constraints on Expected Distribution of Asset Holding Weights |
| Record Nr. | UNINA-9910456029303321 |
| Amsterdam ; ; Oxford, : Butterworth-Heinemann, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in portfolio construction and implementation [[electronic resource] /] / edited by Stephen Satchell, Alan Scowcroft
| Advances in portfolio construction and implementation [[electronic resource] /] / edited by Stephen Satchell, Alan Scowcroft |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Oxford, : Butterworth-Heinemann, 2003 |
| Descrizione fisica | 1 online resource (384 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
SatchellStephen <1949->
ScowcroftAlan |
| Collana | Butterworth-Heinemann finance |
| Soggetto topico |
Portfolio management
Portfolio management - Mathematical models Investments |
| ISBN |
1-280-96633-5
9786610966332 1-4175-0763-2 0-08-047184-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Advances in Portfolio Construction and Implementation; Copyright Page; Contents; List of Contributors; Introduction; Chapter 1. A review of portfolio planning: models and systems; 1.1 Introduction and Overview; 1.2 Alternative Computational Models; 1.3 Symmetric and Asymmetric Measures of Risk; 1.4 Computational Models in Practice; 1.5 Preparation of Data: Financial Data Marts; 1.6 Solution Methods; 1.7 Computational Experience; 1.8 Discussions and Conclusions; 1.9 Appendix 1: Piecewise Linear Approximation of the Quadratic Form
1.10 Appendix 2: Comparative Computational Views of the Alternative ModelsReferences; Web References; Acknowledgements; Chapter 2. Generalized mean-variance analysis and robust portfolio diversification; 2.1 Introduction; 2.2 Generalized Mean-Variance Analysis; 2.3 The State Preference Theory Approach to Portfolio Construction; 2.4 Implementation and Simulation; 2.5 Conclusions and Suggested Further Work; References; Chapter 3. Portfolio construction from mandate to stock weight: a practitioner's perspective; 3.1 Introduction; 3.2 Allocating Tracking Error for Multiple Portfolio Funds 3.3 Tracking Errors for Arbitrary Portfolios3.4 Active CAPM, or How Far Should a Bet be Taken?; 3.5 Implementing Ideas in Real Stock Portfolios; 3.6 Conclusions; References; Chapter 4. Enhanced indexation; 4.1 Introduction; 4.2 Constructing a Consistent View; 4.3 Enhanced Indexing; 4.4 An Illustrative Example: Top-down or Bottom-up?; 4.5 Conclusions; 4.6 Appendix 1: Derivation of the Theil-Goldberger Mixed Estimator; 4.7 Appendix 2: Optimization; References; Notes; Chapter 5. Portfolio management under taxes; 5.1 Introduction; 5.2 Do Taxes Really Matter to Investors and Managers? 5.3 The Core Problems5.4 The State of the Art; 5.5 The Multi-Period Aspect; 5.6 Loss Harvesting; 5.7 After-Tax Benchmarks; 5.8 Conclusions; References; Chapter 6. Using genetic algorithms to construct portfolios; 6.1 Limitations of Traditional Mean-Variance Portfolio Optimization; 6.2 Selecting a Method to Limit the Number of Securities in the Final Portfolio; 6.3 Practical Construction of a Genetic Algorithm-Based Optimizer; 6.4 Performance of Genetic Algorithm; 6.5 Conclusions; References; Chapter 7. Near-uniformly distributed, stochastically generated portfolios 7.1 Introduction - A Tractable N-Dimensional Experimental Control7.2 Applications; 7.3 Dynamic Constraints; 7.4 Results from the Dynamic Constraints Algorithm; 7.5 Problems and Limitations with Dynamic Constraints Algorithm; 7.6 Improvements to the Distribution; 7.7 Results of the Dynamic Constraints with Local Density Control; 7.8 Conclusions; 7.9 Further Work; 7.10 Appendix 1: Review of Holding Distribution in Low Dimensions with Minimal Constraints; 7.11 Appendix 2: Probability Distribution of Holding Weight in Monte Carlo Portfolios in N Dimensions with Minimal Constraints 7.12 Appendix 3: The Effects of Simple Holding Constraints on Expected Distribution of Asset Holding Weights |
| Record Nr. | UNINA-9910780446603321 |
| Amsterdam ; ; Oxford, : Butterworth-Heinemann, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advances in portfolio construction and implementation [[electronic resource] /] / edited by Stephen Satchell, Alan Scowcroft
| Advances in portfolio construction and implementation [[electronic resource] /] / edited by Stephen Satchell, Alan Scowcroft |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam ; ; Oxford, : Butterworth-Heinemann, 2003 |
| Descrizione fisica | 1 online resource (384 p.) |
| Disciplina | 332.6 |
| Altri autori (Persone) |
SatchellStephen <1949->
ScowcroftAlan |
| Collana | Butterworth-Heinemann finance |
| Soggetto topico |
Portfolio management
Portfolio management - Mathematical models Investments |
| ISBN |
1-280-96633-5
9786610966332 1-4175-0763-2 0-08-047184-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Advances in Portfolio Construction and Implementation; Copyright Page; Contents; List of Contributors; Introduction; Chapter 1. A review of portfolio planning: models and systems; 1.1 Introduction and Overview; 1.2 Alternative Computational Models; 1.3 Symmetric and Asymmetric Measures of Risk; 1.4 Computational Models in Practice; 1.5 Preparation of Data: Financial Data Marts; 1.6 Solution Methods; 1.7 Computational Experience; 1.8 Discussions and Conclusions; 1.9 Appendix 1: Piecewise Linear Approximation of the Quadratic Form
1.10 Appendix 2: Comparative Computational Views of the Alternative ModelsReferences; Web References; Acknowledgements; Chapter 2. Generalized mean-variance analysis and robust portfolio diversification; 2.1 Introduction; 2.2 Generalized Mean-Variance Analysis; 2.3 The State Preference Theory Approach to Portfolio Construction; 2.4 Implementation and Simulation; 2.5 Conclusions and Suggested Further Work; References; Chapter 3. Portfolio construction from mandate to stock weight: a practitioner's perspective; 3.1 Introduction; 3.2 Allocating Tracking Error for Multiple Portfolio Funds 3.3 Tracking Errors for Arbitrary Portfolios3.4 Active CAPM, or How Far Should a Bet be Taken?; 3.5 Implementing Ideas in Real Stock Portfolios; 3.6 Conclusions; References; Chapter 4. Enhanced indexation; 4.1 Introduction; 4.2 Constructing a Consistent View; 4.3 Enhanced Indexing; 4.4 An Illustrative Example: Top-down or Bottom-up?; 4.5 Conclusions; 4.6 Appendix 1: Derivation of the Theil-Goldberger Mixed Estimator; 4.7 Appendix 2: Optimization; References; Notes; Chapter 5. Portfolio management under taxes; 5.1 Introduction; 5.2 Do Taxes Really Matter to Investors and Managers? 5.3 The Core Problems5.4 The State of the Art; 5.5 The Multi-Period Aspect; 5.6 Loss Harvesting; 5.7 After-Tax Benchmarks; 5.8 Conclusions; References; Chapter 6. Using genetic algorithms to construct portfolios; 6.1 Limitations of Traditional Mean-Variance Portfolio Optimization; 6.2 Selecting a Method to Limit the Number of Securities in the Final Portfolio; 6.3 Practical Construction of a Genetic Algorithm-Based Optimizer; 6.4 Performance of Genetic Algorithm; 6.5 Conclusions; References; Chapter 7. Near-uniformly distributed, stochastically generated portfolios 7.1 Introduction - A Tractable N-Dimensional Experimental Control7.2 Applications; 7.3 Dynamic Constraints; 7.4 Results from the Dynamic Constraints Algorithm; 7.5 Problems and Limitations with Dynamic Constraints Algorithm; 7.6 Improvements to the Distribution; 7.7 Results of the Dynamic Constraints with Local Density Control; 7.8 Conclusions; 7.9 Further Work; 7.10 Appendix 1: Review of Holding Distribution in Low Dimensions with Minimal Constraints; 7.11 Appendix 2: Probability Distribution of Holding Weight in Monte Carlo Portfolios in N Dimensions with Minimal Constraints 7.12 Appendix 3: The Effects of Simple Holding Constraints on Expected Distribution of Asset Holding Weights |
| Record Nr. | UNINA-9910823089103321 |
| Amsterdam ; ; Oxford, : Butterworth-Heinemann, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Against the grain : insights from an economic contrarian / / Paul Ormerod
| Against the grain : insights from an economic contrarian / / Paul Ormerod |
| Autore | Ormerod Paul |
| Pubbl/distr/stampa | London : , : Institute of Economic Affairs, , 2018 |
| Descrizione fisica | 1 online resource (225 pages) |
| Disciplina | 332.6 |
| Soggetto topico | Investment analysis |
| ISBN | 0-255-36756-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910795195003321 |
|
Ormerod Paul
|
||
| London : , : Institute of Economic Affairs, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Against the grain : insights from an economic contrarian / / Paul Ormerod
| Against the grain : insights from an economic contrarian / / Paul Ormerod |
| Autore | Ormerod Paul |
| Pubbl/distr/stampa | London : , : Institute of Economic Affairs, , 2018 |
| Descrizione fisica | 1 online resource (225 pages) |
| Disciplina | 332.6 |
| Soggetto topico | Investment analysis |
| ISBN | 0-255-36756-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910827189203321 |
|
Ormerod Paul
|
||
| London : , : Institute of Economic Affairs, , 2018 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
