Encyclopedia of Financial Models, Volume I.

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Fabozzi, Frank J.
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York : John Wiley & Sons, Incorporated, 2012.
Temas:
Investments > Management > Encyclopedias.
Portfolio management > Encyclopedias.
Investments > Encyclopedias.
Investissements > Encyclopédies.
Gestion de portefeuille > Encyclopédies.
Investments > Management
Portfolio management
Encyclopedias
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Title Page; Copyright; About the Editor; Contributors; Preface; TOPIC CATEGORIES; Guide to the Encyclopedia of Financial€Models; ORGANIZATION; Asset Allocation; Mean-Variance Model for Portfolio Selection; SOME BASIC CONCEPTS; MEASURING A PORTFOLIO'S EXPECTED RETURN; MEASURING PORTFOLIO RISK; PORTFOLIO DIVERSIFICATION; CHOOSING A PORTFOLIO OF RISKY ASSETS; ROBUST PORTFOLIO OPTIMIZATION; KEY POINTS; NOTES; REFERENCES; Principles of Optimization for Portfolio Selection; UNCONSTRAINED OPTIMIZATION; CONSTRAINED OPTIMIZATION; KEY POINTS; REFERENCES.
  • Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking PortfolioTHE TANGENCY PORTFOLIO AS THE RATIONALE BEHIND SHARPE RATIO MAXIMIZATION; ROBUST ESTIMATORS FOR COVARIANCE PARAMETERS; ROBUST ESTIMATORS FOR EXPECTED RETURNS; IMPLICATIONS FOR BENCHMARK PORTFOLIO CONSTRUCTION; ASSET ALLOCATION MODELING: PUTTING THE EFFICIENT BUILDING BLOCKS TOGETHER; KEY POINTS; NOTES; REFERENCES; Asset Pricing Models; General Principles of Asset Pricing; ONE-PERIOD FINITE STATE ECONOMY; PORTFOLIOS AND MARKET COMPLETENESS; THE LAW OF ONE PRICE AND LINEAR PRICING.
  • ARBITRAGE AND POSITIVE STATE PRICINGTHE FUNDAMENTAL THEOREM OF ASSET PRICING; DISCOUNT FACTOR MODELS; STOCHASTIC DISCOUNT FACTORS; KEY POINTS; REFERENCES; Capital Asset Pricing Models; INTRODUCTION; SHARPE-LINTNER CAPM; ROY CAPM; CONFUSIONS REGARDING THE CAPM; TWO MEANINGS OF MARKET EFFICIENCY; CAPM INVESTORS DO NOT GET PAID FOR BEARING RISK; THE "TWO BETA" TRAP; KEY POINTS; NOTES; REFERENCES; Modeling Asset Price Dynamics; FINANCIAL TIME SERIES; BINOMIAL TREES; ARITHMETIC RANDOM WALKS; GEOMETRIC RANDOM WALKS; MEAN REVERSION; ADVANCED RANDOM WALK MODELS; STOCHASTIC PROCESSES; KEY POINTS.
  • EQUIVALENT MARTINGALE MEASURES AND COMPLETE MARKETSEQUIVALENT MARTINGALE MEASURES AND STATE PRICES; ARBITRAGE PRICING WITH A PAYOFF RATE; IMPLICATIONS OF THE ABSENCE OF ARBITRAGE; WORKING WITH EQUIVALENT MARTINGALE MEASURES; KEY POINTS; NOTES; REFERENCES; Bayesian Analysis and Financial Modeling Applications; Basic Principles of Bayesian Analysis; THE LIKELIHOOD FUNCTION; BAYES' THEOREM; KEY POINTS; NOTES; REFERENCES; Introduction to Bayesian Inference; PRIOR INFORMATION; POSTERIOR INFERENCE; BAYESIAN PREDICTIVE INFERENCE; ILLUSTRATION: POSTERIOR TRADE-OFF AND THE NORMAL MEAN PARAMETER.

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