Encyclopedia of financial models, Volume I
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern...
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| Format: | eBook |
| Language: | English |
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Hoboken, N.J.
Wiley
2013
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| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- 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.
- Includes bibliographical references and index
- 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.