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Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
Pubbl/distr/stampa Hoboken, N.J., : Wiley, c2006
Descrizione fisica 1 online resource (578 p.)
Disciplina 332.63/23
332.6323
Altri autori (Persone) FabozziFrank J
MartelliniLionel
PriauletPhilippe
Collana Frank J. Fabozzi series
Soggetto topico Bonds
Portfolio management
Soggetto genere / forma Electronic books.
ISBN 1-119-20115-2
1-280-28714-4
9786610287147
0-471-78576-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies; Contents; Preface; About the Editors; Contributing Authors; Part One: Background; Chapter 1: Overview of Fixed Income Portfolio Management; FIXED INCOME INVESTMENT STRATEGIES; EX POST PORTFOLIO EVALUATION ANALYSIS; CONCLUSION; APPENDIX; Chapter 2: Liquidity, Trading, and Trading Costs; LIQUIDITY AND TRADING COSTS; CORPORATE BOND SWAPS; CONCLUSION; Chapter 3: Portfolio Strategies for Outperforming a Benchmark; SELECTING THE BENCHMARK INDEX; CREATING A CUSTOM INDEX; BEATING THE BENCHMARK INDEX; CONCLUSION
Part Two: Benchmark Selection and Risk BudgetingChapter 4: The Active Decisions in the Selection of Passive Management and Performance Bogeys; ACTIVE BOND MANAGEMENT; PERFORMANCE CHARACTERISTICS OF CALLABLE AND NONCALLABLE BONDS; FIXED INCOME INDICES; COMPARISON OF COMPOSITION AND PERFORMANCE OF THE LBGC AND LBAG OVER TIME; FIXED INCOME INDEX SELECTION; THE EXLUSION OF TREASURY INFLATION PROTECTED SECURITIES; THE IMPORTANCE OF CHANGES IN THE SHAPE OF YIELD CURVE; INDEX CONSCIOUSNESS; SOME IMPORTANT MISCELLANEOUS COMMENTS ABOUT INDEXES; CONCLUSION; Chapter 5: Liability-Based Benchmarks
USEFULNESS OF LIABILITY-BASED BENCHMARKSTYPES OF LIABILITY-BASED BENCHMARKS; BUILDING A LIABILITY-BASED PORTFOLIO BENCHMARK; EXAMPLE: CREATING COMPOSITE AND PORTFOLIO BENCHMARKS; CONCLUSION; Chapter 6: Risk Budgeting for Fixed Income Portfolios; BENCHMARKS AND RISK; SOURCES OF RISK; NORMAL PORTFOLIOS AND STYLE ANALYSIS; OPTIMAL RISK BUDGETING; SUMMARY; Part Three: Fixed Income Modeling; Chapter 7: Understanding the Building Blocks for OAS Models; IS IT EQUILIBRIUM OR AN ARBITRAGE MODEL?; WHICH IS THE RIGHT MODEL OF THE INTEREST RATE PROCESS?
TERM STRUCTURE MODELS: WHICH IS THE RIGHT APPROACH FOR OAS?IS THERE A RIGHT WAY TO MODEL PREPAYMENTS?; CONCLUSION; APPENDIX: VARIANCE-REDUCTION TECHNIQUES; Chapter 8: Fixed Income Risk Modeling; MODELING FRAMEWORK; INTEREST RATE RISK; SPREAD RISK- THE CONVENTIONAL APPROACH; DETAILED CREDIT SPREAD FACTORS; EMPIRICAL CREDIT RISK; IMPLIED PREPAYMENT RISK; IMPLIED VOLATILITY RISK; SPECIFIC RISK; CURRENCY RISK; GLOBAL MODEL INTEGRATION; THE MODEL IN ACTION; SUMMARY; Chapter 9: Multifactor Risk Models and Their Applications*; QUANTIFYING RISK; PORTFOLIO MANAGEMENT WITH THE RISK MODEL
WHY A MULTIFACTOR MODEL?THE RISK REPORT; RISK MODEL APPLICATIONS; SUMMARY; Part Four: Interest Rate Risk Management; Chapter 10: Measuring Plausibility of Hypothetical Interest Rate Shocks; PROBABILISTIC DISTRIBUTION OF HYPOTHETICAL INTEREST RATE SHOCKS; SHAPE PLAUSIBILITY; FIRST PRINCIPAL COMPONENT AND THE TERM STRUCTURE OF VOLATILITY; CONCLUSION; Chapter 11: Hedging Interest Rate Risk with Term Structure Factor Models; DEFINING INTEREST RATE RISK( S); HEDGING WITH DURATION; RELAXING THE ASSUMPTION OF A SMALL SHIFT; RELAXING THE ASSUMPTION OF A PARALLEL SHIFT
COMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES
Record Nr. UNINA-9910143580403321
Hoboken, N.J., : Wiley, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
Pubbl/distr/stampa Hoboken, N.J., : Wiley, c2006
Descrizione fisica 1 online resource (578 p.)
Disciplina 332.63/23
332.6323
Altri autori (Persone) FabozziFrank J
MartelliniLionel
PriauletPhilippe
Collana Frank J. Fabozzi series
Soggetto topico Bonds
Portfolio management
ISBN 1-119-20115-2
1-280-28714-4
9786610287147
0-471-78576-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies; Contents; Preface; About the Editors; Contributing Authors; Part One: Background; Chapter 1: Overview of Fixed Income Portfolio Management; FIXED INCOME INVESTMENT STRATEGIES; EX POST PORTFOLIO EVALUATION ANALYSIS; CONCLUSION; APPENDIX; Chapter 2: Liquidity, Trading, and Trading Costs; LIQUIDITY AND TRADING COSTS; CORPORATE BOND SWAPS; CONCLUSION; Chapter 3: Portfolio Strategies for Outperforming a Benchmark; SELECTING THE BENCHMARK INDEX; CREATING A CUSTOM INDEX; BEATING THE BENCHMARK INDEX; CONCLUSION
Part Two: Benchmark Selection and Risk BudgetingChapter 4: The Active Decisions in the Selection of Passive Management and Performance Bogeys; ACTIVE BOND MANAGEMENT; PERFORMANCE CHARACTERISTICS OF CALLABLE AND NONCALLABLE BONDS; FIXED INCOME INDICES; COMPARISON OF COMPOSITION AND PERFORMANCE OF THE LBGC AND LBAG OVER TIME; FIXED INCOME INDEX SELECTION; THE EXLUSION OF TREASURY INFLATION PROTECTED SECURITIES; THE IMPORTANCE OF CHANGES IN THE SHAPE OF YIELD CURVE; INDEX CONSCIOUSNESS; SOME IMPORTANT MISCELLANEOUS COMMENTS ABOUT INDEXES; CONCLUSION; Chapter 5: Liability-Based Benchmarks
USEFULNESS OF LIABILITY-BASED BENCHMARKSTYPES OF LIABILITY-BASED BENCHMARKS; BUILDING A LIABILITY-BASED PORTFOLIO BENCHMARK; EXAMPLE: CREATING COMPOSITE AND PORTFOLIO BENCHMARKS; CONCLUSION; Chapter 6: Risk Budgeting for Fixed Income Portfolios; BENCHMARKS AND RISK; SOURCES OF RISK; NORMAL PORTFOLIOS AND STYLE ANALYSIS; OPTIMAL RISK BUDGETING; SUMMARY; Part Three: Fixed Income Modeling; Chapter 7: Understanding the Building Blocks for OAS Models; IS IT EQUILIBRIUM OR AN ARBITRAGE MODEL?; WHICH IS THE RIGHT MODEL OF THE INTEREST RATE PROCESS?
TERM STRUCTURE MODELS: WHICH IS THE RIGHT APPROACH FOR OAS?IS THERE A RIGHT WAY TO MODEL PREPAYMENTS?; CONCLUSION; APPENDIX: VARIANCE-REDUCTION TECHNIQUES; Chapter 8: Fixed Income Risk Modeling; MODELING FRAMEWORK; INTEREST RATE RISK; SPREAD RISK- THE CONVENTIONAL APPROACH; DETAILED CREDIT SPREAD FACTORS; EMPIRICAL CREDIT RISK; IMPLIED PREPAYMENT RISK; IMPLIED VOLATILITY RISK; SPECIFIC RISK; CURRENCY RISK; GLOBAL MODEL INTEGRATION; THE MODEL IN ACTION; SUMMARY; Chapter 9: Multifactor Risk Models and Their Applications*; QUANTIFYING RISK; PORTFOLIO MANAGEMENT WITH THE RISK MODEL
WHY A MULTIFACTOR MODEL?THE RISK REPORT; RISK MODEL APPLICATIONS; SUMMARY; Part Four: Interest Rate Risk Management; Chapter 10: Measuring Plausibility of Hypothetical Interest Rate Shocks; PROBABILISTIC DISTRIBUTION OF HYPOTHETICAL INTEREST RATE SHOCKS; SHAPE PLAUSIBILITY; FIRST PRINCIPAL COMPONENT AND THE TERM STRUCTURE OF VOLATILITY; CONCLUSION; Chapter 11: Hedging Interest Rate Risk with Term Structure Factor Models; DEFINING INTEREST RATE RISK( S); HEDGING WITH DURATION; RELAXING THE ASSUMPTION OF A SMALL SHIFT; RELAXING THE ASSUMPTION OF A PARALLEL SHIFT
COMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES
Record Nr. UNINA-9910830384603321
Hoboken, N.J., : Wiley, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
Advanced bond portfolio management [[electronic resource] ] : best practices in modeling and strategies / / Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet, editors
Pubbl/distr/stampa Hoboken, N.J., : Wiley, c2006
Descrizione fisica 1 online resource (578 p.)
Disciplina 332.63/23
332.6323
Altri autori (Persone) FabozziFrank J
MartelliniLionel
PriauletPhilippe
Collana Frank J. Fabozzi series
Soggetto topico Bonds
Portfolio management
ISBN 1-119-20115-2
1-280-28714-4
9786610287147
0-471-78576-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies; Contents; Preface; About the Editors; Contributing Authors; Part One: Background; Chapter 1: Overview of Fixed Income Portfolio Management; FIXED INCOME INVESTMENT STRATEGIES; EX POST PORTFOLIO EVALUATION ANALYSIS; CONCLUSION; APPENDIX; Chapter 2: Liquidity, Trading, and Trading Costs; LIQUIDITY AND TRADING COSTS; CORPORATE BOND SWAPS; CONCLUSION; Chapter 3: Portfolio Strategies for Outperforming a Benchmark; SELECTING THE BENCHMARK INDEX; CREATING A CUSTOM INDEX; BEATING THE BENCHMARK INDEX; CONCLUSION
Part Two: Benchmark Selection and Risk BudgetingChapter 4: The Active Decisions in the Selection of Passive Management and Performance Bogeys; ACTIVE BOND MANAGEMENT; PERFORMANCE CHARACTERISTICS OF CALLABLE AND NONCALLABLE BONDS; FIXED INCOME INDICES; COMPARISON OF COMPOSITION AND PERFORMANCE OF THE LBGC AND LBAG OVER TIME; FIXED INCOME INDEX SELECTION; THE EXLUSION OF TREASURY INFLATION PROTECTED SECURITIES; THE IMPORTANCE OF CHANGES IN THE SHAPE OF YIELD CURVE; INDEX CONSCIOUSNESS; SOME IMPORTANT MISCELLANEOUS COMMENTS ABOUT INDEXES; CONCLUSION; Chapter 5: Liability-Based Benchmarks
USEFULNESS OF LIABILITY-BASED BENCHMARKSTYPES OF LIABILITY-BASED BENCHMARKS; BUILDING A LIABILITY-BASED PORTFOLIO BENCHMARK; EXAMPLE: CREATING COMPOSITE AND PORTFOLIO BENCHMARKS; CONCLUSION; Chapter 6: Risk Budgeting for Fixed Income Portfolios; BENCHMARKS AND RISK; SOURCES OF RISK; NORMAL PORTFOLIOS AND STYLE ANALYSIS; OPTIMAL RISK BUDGETING; SUMMARY; Part Three: Fixed Income Modeling; Chapter 7: Understanding the Building Blocks for OAS Models; IS IT EQUILIBRIUM OR AN ARBITRAGE MODEL?; WHICH IS THE RIGHT MODEL OF THE INTEREST RATE PROCESS?
TERM STRUCTURE MODELS: WHICH IS THE RIGHT APPROACH FOR OAS?IS THERE A RIGHT WAY TO MODEL PREPAYMENTS?; CONCLUSION; APPENDIX: VARIANCE-REDUCTION TECHNIQUES; Chapter 8: Fixed Income Risk Modeling; MODELING FRAMEWORK; INTEREST RATE RISK; SPREAD RISK- THE CONVENTIONAL APPROACH; DETAILED CREDIT SPREAD FACTORS; EMPIRICAL CREDIT RISK; IMPLIED PREPAYMENT RISK; IMPLIED VOLATILITY RISK; SPECIFIC RISK; CURRENCY RISK; GLOBAL MODEL INTEGRATION; THE MODEL IN ACTION; SUMMARY; Chapter 9: Multifactor Risk Models and Their Applications*; QUANTIFYING RISK; PORTFOLIO MANAGEMENT WITH THE RISK MODEL
WHY A MULTIFACTOR MODEL?THE RISK REPORT; RISK MODEL APPLICATIONS; SUMMARY; Part Four: Interest Rate Risk Management; Chapter 10: Measuring Plausibility of Hypothetical Interest Rate Shocks; PROBABILISTIC DISTRIBUTION OF HYPOTHETICAL INTEREST RATE SHOCKS; SHAPE PLAUSIBILITY; FIRST PRINCIPAL COMPONENT AND THE TERM STRUCTURE OF VOLATILITY; CONCLUSION; Chapter 11: Hedging Interest Rate Risk with Term Structure Factor Models; DEFINING INTEREST RATE RISK( S); HEDGING WITH DURATION; RELAXING THE ASSUMPTION OF A SMALL SHIFT; RELAXING THE ASSUMPTION OF A PARALLEL SHIFT
COMPARATIVE ANALYSIS OF VARIOUS HEDGING TECHNIQUES
Record Nr. UNINA-9910840782103321
Hoboken, N.J., : Wiley, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
Soggetto genere / forma Electronic books.
ISBN 1-281-21730-1
0-470-25360-6
9786611217303
1-283-27295-4
9786613272959
1-118-08614-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9910461561503321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
ISBN 1-281-21730-1
0-470-25360-6
9786611217303
1-283-27295-4
9786613272959
1-118-08614-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9910789716503321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Advanced stochastic models, risk assessment, and portfolio optimization [[electronic resource] ] : the ideal risk, uncertainty, and performance measures / / by Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi
Autore Rachev S. T (Svetlozar Todorov)
Pubbl/distr/stampa Hoboken, N.J., : Wiley
Descrizione fisica 1 online resource (39 p.)
Disciplina 332
Altri autori (Persone) StoyanovStoyan V
FabozziFrank J
Collana The Frank J. Fabozzi series
Soggetto topico Stochastic processes
Mathematical optimization
Risk assessment - Mathematical models
Portfolio management - Mathematical models
ISBN 1-281-21730-1
0-470-25360-6
9786611217303
1-283-27295-4
9786613272959
1-118-08614-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization; Contents; Preface; Acknowledgments; About the Authors; Chapter 1 Concepts of Probability; 1.1 INTRODUCTION; 1.2 BASIC CONCEPTS; 1.3 DISCRETE PROBABILITY DISTRIBUTIONS; 1.4 CONTINUOUS PROBABILITY DISTRIBUTIONS; 1.5 STATISTICAL MOMENTS AND QUANTILES; 1.6 JOINT PROBABILITY DISTRIBUTIONS; 1.7 PROBABILISTIC INEQUALITIES; 1.8 SUMMARY; BIBLIOGRAPHY; Chapter 2 Optimization; 2.1 INTRODUCTION; 2.2 UNCONSTRAINED OPTIMIZATION; 2.3 CONSTRAINED OPTIMIZATION; 2.4 SUMMARY; BIBLIOGRAPHY; Chapter 3 Probability Metrics; 3.1 INTRODUCTION
3.2 MEASURING DISTANCES: THE DISCRETE CASE3.3 PRIMARY, SIMPLE, AND COMPOUND METRICS; 3.4 SUMMARY; 3.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 4 Ideal Probability Metrics; 4.1 INTRODUCTION; 4.2 THE CLASSICAL CENTRAL LIMIT THEOREM; 4.3 THE GENERALIZED CENTRAL LIMIT THEOREM; 4.4 CONSTRUCTION OF IDEAL PROBABILITY METRICS; 4.5 SUMMARY; 4.6 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 5 Choice under Uncertainty; 5.1 INTRODUCTION; 5.2 EXPECTED UTILITY THEORY; 5.3 STOCHASTIC DOMINANCE; 5.4 PROBABILITY METRICS AND STOCHASTIC DOMINANCE; 5.5 SUMMARY; 5.6 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 6 Risk and Uncertainty6.1 INTRODUCTION; 6.2 MEASURES OF DISPERSION; 6.3 PROBABILITY METRICS AND DISPERSION MEASURES; 6.4 MEASURES OF RISK; 6.5 RISK MEASURES AND DISPERSION MEASURES; 6.6 RISK MEASURES AND STOCHASTIC ORDERS; 6.7 SUMMARY; 6.8 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 7 Average Value-at-Risk; 7.1 INTRODUCTION; 7.2 AVERAGE VALUE-AT-RISK; 7.3 AVaR ESTIMATION FROM A SAMPLE; 7.4 COMPUTING PORTFOLIO AVaR IN PRACTICE; 7.5 BACKTESTING OF AVaR; 7.6 SPECTRAL RISK MEASURES; 7.7 RISK MEASURES AND PROBABILITY METRICS; 7.8 SUMMARY; 7.9 TECHNICAL APPENDIX; BIBLIOGRAPHY
Chapter 8 Optimal Portfolios8.1 INTRODUCTION; 8.2 MEAN-VARIANCE ANALYSIS; 8.3 MEAN-RISK ANALYSIS; 8.4 SUMMARY; 8.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 9 Benchmark Tracking Problems; 9.1 INTRODUCTION; 9.2 THE TRACKING ERROR PROBLEM; 9.3 RELATION TO PROBABILITY METRICS; 9.4 EXAMPLES OF r.d. METRICS; 9.5 NUMERICAL EXAMPLE; 9.6 SUMMARY; 9.7 TECHNICAL APPENDIX; BIBLIOGRAPHY; Chapter 10 Performance Measures; 10.1 INTRODUCTION; 10.2 REWARD-TO-RISK RATIOS; 10.3 REWARD-TO-VARIABILITY RATIOS; 10.4 SUMMARY; 10.5 TECHNICAL APPENDIX; BIBLIOGRAPHY; Index
Record Nr. UNINA-9910808144203321
Rachev S. T (Svetlozar Todorov)  
Hoboken, N.J., : Wiley
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
Autore Lucas Douglas J
Edizione [2nd ed.]
Pubbl/distr/stampa Hoboken, N.J., : J. Wiley & Sons, c2006
Descrizione fisica 1 online resource (529 p.)
Disciplina 332.6323
Altri autori (Persone) GoodmanLaurie S
FabozziFrank J
Collana The Frank J. Fabozzi series
Wiley finance
Soggetto topico Asset-backed financing
Debt
Soggetto genere / forma Electronic books.
ISBN 1-119-20131-4
1-280-45041-X
9786610450411
0-470-04531-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Collateralized Debt Obligations: Structures and Analysis Second Edition; Contents; Preface; About the Authors; Part I: Introduction to Cash CDOs; Chapter 1: Cash CDO Basics; WHY STUDY CDOs?; UNDERSTANDING CDOs; CREDIT STRUCTURES; A CDO STRUCTURAL MATRIX; CDOs BEING OFFERED TODAY; PARTIES TO A CDO; Chapter 2: Cash Flow CDOs; DISTRIBUTION OF CASH FLOWS; RESTRICTIONS ON MANAGEMENT: SAFETY NETS; CREDIT RATINGS; CALL PROVISIONS IN CDO TRANSACTIONS; Part II: Loans and CLOs; Chapter 3: High-Yield Loans: Structure and Performance; THE LOAN MARKET; THE SYNDICATION PROCESS; LOAN STRUCTURE AND LEADERS
LOAN INTEREST RATES AND UPFRONT FEESLOAN CREDIT QUALITY; LENDER'S LIABILITY; OVERVIEW OF LOAN TERMS; LOAN TERMS VERSUS BOND TERMS; A TALE OF TWO LOANS; THE SECONDARY MARKET; LOAN RECOVERY RATES; LOAN DEFAULT RATES; HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO PERFORMANCE; CONCLUSION; Chapter 4: European Bank Loans and Middle Market Loans; EUROPEAN BANK LOANS; MIDDLE MARKET LOANS; CONCLUSION; Part III: Structured Finance CDOs and Collateral Review; Chapter 5: Review of Structured Finance Collateral: Mortgage-Related Products; RESIDENTIAL MORTGAGE-BACKED SECURITIES
COMMERCIAL MORTGAGE-BACKED SECURITIESREAL ESTATE INVESTMENT TRUST DEBT; Chapter 6: Review of Structured Finance Collateral: Nonmortgage ABS; CREDIT CARD RECEIVABLE-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; STUDENT LOAN-BACKED SECURITIES; SBA LOAN-BACKED SECURITIES; AIRCRAFT LEASE-BACKED SECURITIES; FRANCHISE LOAN-BACKED SECURITIES; RATE REDUCTION BONDS; Chapter 7: Structured Finance Default and Recovery Rates; STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES; S&P RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH; RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES
S&P ON STRUCTURED FINANCE LOSS GIVEN DEFAULTS&P CONSTANT ANNUAL DEFAULT AND RECOVERIES; MOODY'S MATERIAL IMPAIRMENT STUDY; COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES; MOODY'S ON STRUCTURED FINANCE HISTORICAL LOSS RATES; MOODY'S CONSTANT ANNUAL DEFAULT AND RECOVERIES; BLENDING S&P AND MOODY'S STUDIES; APPLYING CDRs AND RECOVERIES TO SF CDOs; CONCLUSION; Chapter 8: Structured Finance Cash Flow CDOs; SF CDOs VERSUS HIGH-YIELD CDOs; RATING AGENCIES ON STRUCTURED FINANCE CDOs; STRUCTURED FINANCE ASSETS' NEGATIVE CONVEXITY; EXTENSION RISK; CONCLUSION
Part IV: Other Types of Cash CDOsChapter 9: Emerging Market CDOs; EM SOVEREIGN BOND DEFAULTS; WHY THE BETTER TRACK RECORD?; CDO RATING DIFFERENCES: EM VERSUS HIGH YIELD; CONCLUSION; Chapter 10: Market Value CDOs; CASH FLOW VERSUS MARKET VALUE DEALS; THE RATING PROCESS; HOW ADVANCE RATES ARE DERIVED; CONCLUSION; Part V: Synthetic CDOs; Chapter 11: Introduction to Credit Default Swaps and Synthetic CDOs; CREDIT DEFAULT SWAPS; SYNTHETIC CDOs; CONCLUSION; Chapter 12: Synthetic Balance Sheet CDOs; CASH CLOs FOR BALANCE SHEET MANAGEMENT; PARTIALLY FUNDED SYNTHETIC CDOs; CONCLUSION
Chapter 13: Synthetic Arbitrage CDOs
Record Nr. UNINA-9910143576503321
Lucas Douglas J  
Hoboken, N.J., : J. Wiley & Sons, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
Autore Lucas Douglas J
Edizione [2nd ed.]
Pubbl/distr/stampa Hoboken, N.J., : J. Wiley & Sons, c2006
Descrizione fisica 1 online resource (529 p.)
Disciplina 332.6323
Altri autori (Persone) GoodmanLaurie S
FabozziFrank J
Collana The Frank J. Fabozzi series
Wiley finance
Soggetto topico Asset-backed financing
Debt
ISBN 1-119-20131-4
1-280-45041-X
9786610450411
0-470-04531-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Collateralized Debt Obligations: Structures and Analysis Second Edition; Contents; Preface; About the Authors; Part I: Introduction to Cash CDOs; Chapter 1: Cash CDO Basics; WHY STUDY CDOs?; UNDERSTANDING CDOs; CREDIT STRUCTURES; A CDO STRUCTURAL MATRIX; CDOs BEING OFFERED TODAY; PARTIES TO A CDO; Chapter 2: Cash Flow CDOs; DISTRIBUTION OF CASH FLOWS; RESTRICTIONS ON MANAGEMENT: SAFETY NETS; CREDIT RATINGS; CALL PROVISIONS IN CDO TRANSACTIONS; Part II: Loans and CLOs; Chapter 3: High-Yield Loans: Structure and Performance; THE LOAN MARKET; THE SYNDICATION PROCESS; LOAN STRUCTURE AND LEADERS
LOAN INTEREST RATES AND UPFRONT FEESLOAN CREDIT QUALITY; LENDER'S LIABILITY; OVERVIEW OF LOAN TERMS; LOAN TERMS VERSUS BOND TERMS; A TALE OF TWO LOANS; THE SECONDARY MARKET; LOAN RECOVERY RATES; LOAN DEFAULT RATES; HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO PERFORMANCE; CONCLUSION; Chapter 4: European Bank Loans and Middle Market Loans; EUROPEAN BANK LOANS; MIDDLE MARKET LOANS; CONCLUSION; Part III: Structured Finance CDOs and Collateral Review; Chapter 5: Review of Structured Finance Collateral: Mortgage-Related Products; RESIDENTIAL MORTGAGE-BACKED SECURITIES
COMMERCIAL MORTGAGE-BACKED SECURITIESREAL ESTATE INVESTMENT TRUST DEBT; Chapter 6: Review of Structured Finance Collateral: Nonmortgage ABS; CREDIT CARD RECEIVABLE-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; STUDENT LOAN-BACKED SECURITIES; SBA LOAN-BACKED SECURITIES; AIRCRAFT LEASE-BACKED SECURITIES; FRANCHISE LOAN-BACKED SECURITIES; RATE REDUCTION BONDS; Chapter 7: Structured Finance Default and Recovery Rates; STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES; S&P RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH; RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES
S&P ON STRUCTURED FINANCE LOSS GIVEN DEFAULTS&P CONSTANT ANNUAL DEFAULT AND RECOVERIES; MOODY'S MATERIAL IMPAIRMENT STUDY; COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES; MOODY'S ON STRUCTURED FINANCE HISTORICAL LOSS RATES; MOODY'S CONSTANT ANNUAL DEFAULT AND RECOVERIES; BLENDING S&P AND MOODY'S STUDIES; APPLYING CDRs AND RECOVERIES TO SF CDOs; CONCLUSION; Chapter 8: Structured Finance Cash Flow CDOs; SF CDOs VERSUS HIGH-YIELD CDOs; RATING AGENCIES ON STRUCTURED FINANCE CDOs; STRUCTURED FINANCE ASSETS' NEGATIVE CONVEXITY; EXTENSION RISK; CONCLUSION
Part IV: Other Types of Cash CDOsChapter 9: Emerging Market CDOs; EM SOVEREIGN BOND DEFAULTS; WHY THE BETTER TRACK RECORD?; CDO RATING DIFFERENCES: EM VERSUS HIGH YIELD; CONCLUSION; Chapter 10: Market Value CDOs; CASH FLOW VERSUS MARKET VALUE DEALS; THE RATING PROCESS; HOW ADVANCE RATES ARE DERIVED; CONCLUSION; Part V: Synthetic CDOs; Chapter 11: Introduction to Credit Default Swaps and Synthetic CDOs; CREDIT DEFAULT SWAPS; SYNTHETIC CDOs; CONCLUSION; Chapter 12: Synthetic Balance Sheet CDOs; CASH CLOs FOR BALANCE SHEET MANAGEMENT; PARTIALLY FUNDED SYNTHETIC CDOs; CONCLUSION
Chapter 13: Synthetic Arbitrage CDOs
Record Nr. UNINA-9910830505203321
Lucas Douglas J  
Hoboken, N.J., : J. Wiley & Sons, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
Collateralized debt obligations [[electronic resource] ] : structures and analysis / / Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi
Autore Lucas Douglas J
Edizione [2nd ed.]
Pubbl/distr/stampa Hoboken, N.J., : J. Wiley & Sons, c2006
Descrizione fisica 1 online resource (529 p.)
Disciplina 332.6323
Altri autori (Persone) GoodmanLaurie S
FabozziFrank J
Collana The Frank J. Fabozzi series
Wiley finance
Soggetto topico Asset-backed financing
Debt
ISBN 1-119-20131-4
1-280-45041-X
9786610450411
0-470-04531-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Collateralized Debt Obligations: Structures and Analysis Second Edition; Contents; Preface; About the Authors; Part I: Introduction to Cash CDOs; Chapter 1: Cash CDO Basics; WHY STUDY CDOs?; UNDERSTANDING CDOs; CREDIT STRUCTURES; A CDO STRUCTURAL MATRIX; CDOs BEING OFFERED TODAY; PARTIES TO A CDO; Chapter 2: Cash Flow CDOs; DISTRIBUTION OF CASH FLOWS; RESTRICTIONS ON MANAGEMENT: SAFETY NETS; CREDIT RATINGS; CALL PROVISIONS IN CDO TRANSACTIONS; Part II: Loans and CLOs; Chapter 3: High-Yield Loans: Structure and Performance; THE LOAN MARKET; THE SYNDICATION PROCESS; LOAN STRUCTURE AND LEADERS
LOAN INTEREST RATES AND UPFRONT FEESLOAN CREDIT QUALITY; LENDER'S LIABILITY; OVERVIEW OF LOAN TERMS; LOAN TERMS VERSUS BOND TERMS; A TALE OF TWO LOANS; THE SECONDARY MARKET; LOAN RECOVERY RATES; LOAN DEFAULT RATES; HIGH-YIELD LOAN CLO VERSUS HIGH-YIELD BOND CBO PERFORMANCE; CONCLUSION; Chapter 4: European Bank Loans and Middle Market Loans; EUROPEAN BANK LOANS; MIDDLE MARKET LOANS; CONCLUSION; Part III: Structured Finance CDOs and Collateral Review; Chapter 5: Review of Structured Finance Collateral: Mortgage-Related Products; RESIDENTIAL MORTGAGE-BACKED SECURITIES
COMMERCIAL MORTGAGE-BACKED SECURITIESREAL ESTATE INVESTMENT TRUST DEBT; Chapter 6: Review of Structured Finance Collateral: Nonmortgage ABS; CREDIT CARD RECEIVABLE-BACKED SECURITIES; AUTO LOAN-BACKED SECURITIES; STUDENT LOAN-BACKED SECURITIES; SBA LOAN-BACKED SECURITIES; AIRCRAFT LEASE-BACKED SECURITIES; FRANCHISE LOAN-BACKED SECURITIES; RATE REDUCTION BONDS; Chapter 7: Structured Finance Default and Recovery Rates; STRUCTURED FINANCE VERSUS CORPORATE DEFAULT RATES; S&P RATING TRANSITION STUDIES AND THE MATRIX MULTIPLYING APPROACH; RESULTS OF MULTIPLYING S&P RATING TRANSITION MATRICES
S&P ON STRUCTURED FINANCE LOSS GIVEN DEFAULTS&P CONSTANT ANNUAL DEFAULT AND RECOVERIES; MOODY'S MATERIAL IMPAIRMENT STUDY; COMPARING AND RECONCILING STRUCTURED FINANCE DEFAULT RATES; MOODY'S ON STRUCTURED FINANCE HISTORICAL LOSS RATES; MOODY'S CONSTANT ANNUAL DEFAULT AND RECOVERIES; BLENDING S&P AND MOODY'S STUDIES; APPLYING CDRs AND RECOVERIES TO SF CDOs; CONCLUSION; Chapter 8: Structured Finance Cash Flow CDOs; SF CDOs VERSUS HIGH-YIELD CDOs; RATING AGENCIES ON STRUCTURED FINANCE CDOs; STRUCTURED FINANCE ASSETS' NEGATIVE CONVEXITY; EXTENSION RISK; CONCLUSION
Part IV: Other Types of Cash CDOsChapter 9: Emerging Market CDOs; EM SOVEREIGN BOND DEFAULTS; WHY THE BETTER TRACK RECORD?; CDO RATING DIFFERENCES: EM VERSUS HIGH YIELD; CONCLUSION; Chapter 10: Market Value CDOs; CASH FLOW VERSUS MARKET VALUE DEALS; THE RATING PROCESS; HOW ADVANCE RATES ARE DERIVED; CONCLUSION; Part V: Synthetic CDOs; Chapter 11: Introduction to Credit Default Swaps and Synthetic CDOs; CREDIT DEFAULT SWAPS; SYNTHETIC CDOs; CONCLUSION; Chapter 12: Synthetic Balance Sheet CDOs; CASH CLOs FOR BALANCE SHEET MANAGEMENT; PARTIALLY FUNDED SYNTHETIC CDOs; CONCLUSION
Chapter 13: Synthetic Arbitrage CDOs
Record Nr. UNINA-9910840924303321
Lucas Douglas J  
Hoboken, N.J., : J. Wiley & Sons, c2006
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial advice and investment decisions : a manifesto for change / / Jarrod W. Wilcox, Frank J. Fabozzi
Financial advice and investment decisions : a manifesto for change / / Jarrod W. Wilcox, Frank J. Fabozzi
Autore Wilcox Jarrod W
Pubbl/distr/stampa Hoboken, New Jersey : , : John Wiley and Sons, Incorporation, , 2013
Descrizione fisica 1 online resource (354 p.)
Disciplina 332.6
Altri autori (Persone) FabozziFrank J
Collana The Frank J. Fabozzi Series
Soggetto topico Portfolio management
ISBN 1-118-41532-9
1-118-65676-8
1-118-41811-5
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Title Page; Copyright Page; Dedication; Contents; Preface; Acknowledgments; About the Authors; CHAPTER 1 Why Do We Need Better Financial Advice?; The Individual; Organizational Influences; The Rest of the Story; CHAPTER 2 The Evidence Is Compelling; Financial Planning; Your Most Important Investment Decision; Option Payoffs are Not Simple; After-Tax Payoffs are Not Simple; Our Primitive Brains and Monkey See, Monkey Do; Others' Agendas and the Perils of the Ivory Tower; CHAPTER 3 The Extended Balance Sheet Approach to Financial Planning; The Simplest Model
The Stochastic Dynamic Programming AlternativeThe Mental Accounting Alternative; The Extended Balance Sheet; A Financial Planning System; CHAPTER 4 Properties of Mostly Efficient Markets; Multi-Agent Emergent Behavior; Why Security Returns are Difficult to Predict; Markets Bubble and Crash; Investment Implications of Market Characteristics; CHAPTER 5 Growing Discretionary Wealth; The Discretionary Wealth Approach; Elements of the Approach; Appropriate Markowitz Risk Aversion; CHAPTER 6 Coping with Uncertain Knowledge; Interpretation of Probability; Bayesian Probability Fundamentals
Resisting Forecasting OverconfidenceMaking Estimates More Robust to Extreme Observations; Taking Context into Account; Making Better Use of Information in Decisions; CHAPTER 7 Controlling Investing Behavioral Biases; Facing Up to Complexity; Promoting Independent Thinking; Controlling Organizational Biases; CHAPTER 8 Tax Efficient Investing; Context; Taxes that Affect Investment Returns; General Principles of After-Tax Investing; Measurement of After-Tax Performance and Benchmarks; CHAPTER 9 Matching Investment Vehicles to Needs; Revisiting Risk Aversion; Taxes Again; Diversification
Higher MomentsImplementation; CHAPTER 10 Active vs. Passive Strategies; Pricing Efficiency and the Active-Passive Debate; CHAPTER 11 Performance Measurement; Relating Measurement to Purpose; Spending Control; Measurement for Individual Passive Investing; Performance Reporting for Active Investors; Delegating Your Investments Based on Measurements; Measuring vs. Evaluating Performance; CHAPTER 12 Organizational Investing; Representative Investing Organizations; Delegating Superior Investing Results; Motivating Organizational Benefits; CHAPTER 13 Financial Advice and Society
Social Ideals and Financial Problem SymptomsRedesigning Society with Better Financial Advice; And in Conclusion...; APPENDIX A Traditional Asset Classes and Alternative Assets; Asset Class Defined; Common Stock Asset Classes; Real Estate; Alternative Assets; APPENDIX B Bond Features, Yield Measures, and Risks; Features of Bonds; Yield Measures and their Limitations; Call and Prepayment Risk; Credit Risk; APPENDIX C Probability Distributions Commonly Used in Investment Management; Normal Distribution; Student's t-Distribution; Stable Distributions and Stable Paretian Distributions
APPENDIX D Useful Financial Planning Formulas
Record Nr. UNINA-9910138986603321
Wilcox Jarrod W  
Hoboken, New Jersey : , : John Wiley and Sons, Incorporation, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui