Cargando…
Portfolio diversification /
"Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversifi...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
Elsevier,
2017.
|
| Colección: | Quantitative finance set.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
| LEADER | 00000cam a2200000 i 4500 | ||
|---|---|---|---|
| 001 | SCIDIR_on1012117999 | ||
| 003 | OCoLC | ||
| 005 | 20231120010222.0 | ||
| 006 | m o d | ||
| 007 | cr ||||||||||| | ||
| 008 | 170818s2017 ne ob 001 0 eng d | ||
| 040 | |a NLE |b eng |e rda |e pn |c NLE |d OCLCO |d YDX |d N$T |d UIU |d OPELS |d IDEBK |d EBLCP |d GZM |d MERER |d OCLCF |d OCLCQ |d UPM |d OCLCQ |d STF |d OCL |d U3W |d EZ9 |d OCLCQ |d WYU |d A7U |d OL$ |d LQU |d UKMGB |d OCLCQ |d S2H |d LVT |d OCLCQ |d SNK |d OCLCO |d K6U |d OCLCQ | ||
| 015 | |a GBB7E9560 |2 bnb | ||
| 016 | 7 | |a 018477011 |2 Uk | |
| 019 | |a 1005077423 |a 1005191486 |a 1005344124 |a 1105184350 |a 1105568710 |a 1229594616 |a 1264871080 | ||
| 020 | |a 9780081017869 |q (ePub ebook) | ||
| 020 | |a 0081017863 |q (ePub ebook) | ||
| 020 | |z 9781785481918 |q (hbk.) | ||
| 020 | |z 1785481916 | ||
| 035 | |a (OCoLC)1012117999 |z (OCoLC)1005077423 |z (OCoLC)1005191486 |z (OCoLC)1005344124 |z (OCoLC)1105184350 |z (OCoLC)1105568710 |z (OCoLC)1229594616 |z (OCoLC)1264871080 | ||
| 050 | 4 | |a HG4529.5 |b .L43 2017eb | |
| 072 | 7 | |a BUS |x 027000 |2 bisacsh | |
| 082 | 0 | 4 | |a 332.6 |2 23 |
| 100 | 1 | |a Lhabitant, Fran�cois-Serge, |e author. | |
| 245 | 1 | 0 | |a Portfolio diversification / |c Fran�cois-Serge Lhabitant. |
| 264 | 1 | |a Amsterdam : |b Elsevier, |c 2017. | |
| 300 | |a 1 online resource | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Quantitative finance set | |
| 500 | |a Portfolio Size, Weights and Entropy-based Diversification Modern Portfolio Theory and Diversification Naive Portfolio Diversification Risk-budgeting and Risk-based Portfolios Factor Models and Portfolio Diversification Non-normal Return Distributions, Multi-period Models and Time Diversification Portfolio Diversification in Practice. | ||
| 588 | 0 | |a CIP data; resource not viewed. | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Introduction -- Chapter 1. Portfolio Size, Weights and Entropy-based Diversification -- 1.1. Mathematical notations -- 1.2. Portfolio concentration and diversity measures -- 1.3. Entropy -- 1.4. Conclusions on pure weights and entropy-based diversification -- Chapter 2. Modern Portfolio Theory and Diversification -- 2.1. The mathematics of return and risk -- 2.2. Modern Portfolio Theory (MPT) -- 2.3. Empirical applications -- 2.4. Using MPT in practice: key issues -- 2.5. Increasing the diversification of Markowitz portfolios -- 2.6. Conclusions on MPT -- Chapter 3. Naive Portfolio Diversification -- 3.1. A (very) simplified model -- 3.2. The law of average covariance -- 3.3. The relative benefits naive portfolio diversifications -- 3.4. Empirical tests -- 3.5. Economic limits and statistical tests -- 3.6. Naive versus Markowitz diversification -- 3.7. Conclusions on naive diversification -- Chapter 4. Risk-budgeting and Risk-based Portfolios -- 4.1. Risk measures and their properties -- 4.2. The toolkit for portfolio risk attribution -- 4.3. Risk allocation and risk parity approaches -- 4.4. The maximum diversification approach -- 4.5. The minimum variance approach -- 4.6. Revisiting portfolio construction with a risk-based view -- 4.7. Conclusions on risk-based approaches -- Chapter 5. Factor Models and Portfolio Diversification -- 5.1. Factor models -- 5.2. Principal component analysis (PCA) -- 5.3. Conclusion on factor models -- Chapter 6. Non-normal Return Distributions, Multiperiod Models and Time Diversification -- 6.1. Non-normal returns -- 6.2. Multi-period models and time diversification -- Chapter 7. Portfolio Diversification in Practice -- 7.1. Households and the empirical diversification puzzle -- 7.2. Diversification versus concentration -- 7.3. Interpreting correlations: history, facts and fallacies -- Conclusion -- Bibliography -- Index. | |
| 520 | |a "Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensionsIncludes recent empirical material that was created and developed specifically for this bookProvides several tools to quantify and implement optimal diversification."--Publisher description | ||
| 506 | |a Owing to Legal Deposit regulations this resource may only be accessed from within National Library of Scotland on library computers. For more information contact enquiries@nls.uk. |5 StEdNL | ||
| 650 | 0 | |a Portfolio management. | |
| 650 | 0 | |a Diversification in industry. | |
| 650 | 6 | |a Gestion de portefeuille. |0 (CaQQLa)201-0095772 | |
| 650 | 6 | |a Diversification (�Economie politique) |0 (CaQQLa)201-0022406 | |
| 650 | 7 | |a diversification. |2 aat |0 (CStmoGRI)aat300183446 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Diversification in industry. |2 fast |0 (OCoLC)fst00895700 | |
| 650 | 7 | |a Portfolio management. |2 fast |0 (OCoLC)fst01072072 | |
| 776 | 0 | 8 | |i Print version : |z 9781785481918 |
| 830 | 0 | |a Quantitative finance set. | |
| 856 | 4 | 0 | |u https://sciencedirect.uam.elogim.com/science/book/9781785481918 |z Texto completo |