Encyclopedia of financial models
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...
| Otros Autores: | , |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, New Jersey :
Wiley
2013.
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| Edición: | 1st edition |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009628586306719 |
Tabla de Contenidos:
- Vol_I; ENCYCLOPEDIA OF FINANCIAL MODELS; About the Editor; Contents; Contributors; Preface; Guide to the Encyclopedia of Financial Models; Asset Allocation; Mean-Variance Model for Portfolio Selection; SOME BASIC CONCEPTS; Utility Function and Indifference Curves; The Set of Efficient Portfolios and the Optimal Portfolio; Risky Assets vs. Risk-Free Assets; MEASURING A PORTFOLIO'S EXPECTED RETURN; Measuring Single-Period Portfolio Return; The Expected Return of a Portfolio of Risky Assets; MEASURING PORTFOLIO RISK; Variance and Standard Deviation as a Measure of Risk; Covariance
- Measuring the Risk of a Portfolio Consisting of More than Two Assets PORTFOLIO DIVERSIFICATION; The Effect of the Correlation of Asset Returns on Portfolio Risk; CHOOSING A PORTFOLIO OF RISKY ASSETS; Constructing Efficient Portfolios; Feasible and Efficient Portfolios; Choosing the Optimal Portfolio in the Efficient Set; Example Using the MSCI World Country Indexes; ROBUST PORTFOLIO OPTIMIZATION; KEY POINTS; NOTES; REFERENCES; Principles of Optimization for Portfolio Selection; UNCONSTRAINED OPTIMIZATION; Minima and Maxima of a Differentiable Function; Convex Functions; Quasi-Convex Functions
- CONSTRAINED OPTIMIZATION Lagrange Multipliers; Convex Programming; Linear Programming; Quadratic Programming; KEY POINTS; REFERENCES; Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking Portfolio; THE 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; Redundant Assets; Complete Market; THE LAW OF ONE PRICE AND LINEAR PRICING; Linear Pricing; State Price; ARBITRAGE AND POSITIVE STATE PRICING; THE FUNDAMENTAL THEOREM OF ASSET PRICING; The Discount Factor; Pricing Using Risk-Neutral Probabilities; DISCOUNT FACTOR MODELS; STOCHASTIC DISCOUNT FACTORS; Application to CAPM and APT; Hansen-Jagannathan Bound; KEY POINTS; REFERENCES; Capital Asset Pricing Models; INTRODUCTION; SHARPE-LINTNER CAPM; ROY CAPM; CONFUSIONS REGARDING THE CAPM
- TWO MEANINGS OF MARKET EFFICIENCY A Simple Market; Arbitrage; Expected Returns and Betas; Limited Borrowing; Further Generalizations; CAPM INVESTORS DO NOT GET PAID FOR BEARING RISK; THE "TWO BETA" TRAP; Beta 1963; Beta 1964; Propositions about Betas; KEY POINTS; NOTES; REFERENCES; Modeling Asset Price Dynamics; FINANCIAL TIME SERIES; BINOMIAL TREES; ARITHMETIC RANDOM WALKS; Simulation; Parameter Estimation; Arithmetic Random Walks: Some Additional Facts; GEOMETRIC RANDOM WALKS; Simulation; Parameter Estimation; Geometric Random Walk: Some Additional Facts; MEAN REVERSION; Simulation
- Parameter Estimation
