Encyclopedia of financial models. Volume II

Encyclopedia of financial models Volume II Volume II /

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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Detalles Bibliográficos
Otros Autores: Fabozzi, Frank J., editor (editor)
Formato: Libro electrónico
Idioma:Inglés
Publicado: Hoboken, New Jersey : John Wiley & Sons, Inc 2013.
Edición:1st edition
Materias:
Investments > Management > Encyclopedias.
Portfolio management > Encyclopedias.
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629458706719
Tabla de Contenidos:
  • Intro
  • ENCYCLOPEDIA OF FINANCIAL MODELS
  • About the Editor
  • Contents
  • Contributors
  • Preface
  • Guide to the Encyclopedia of Financial Models
  • Equity Models and Valuation
  • Dividend Discount Models
  • DIVIDEND MEASURES
  • DIVIDENDS AND STOCK PRICES
  • BASIC DIVIDEND DISCOUNT MODELS
  • THE FINITE LIFE GENERAL DIVIDEND DISCOUNT MODEL
  • Assuming a Constant Discount Rate
  • Required Inputs
  • Assessing Fair Value
  • CONSTANT GROWTH DIVIDEND DISCOUNT MODEL
  • MULTIPHASE DIVIDEND DISCOUNT MODELS
  • Two-Stage Growth Model
  • Three-Stage Growth Model
  • STOCHASTIC DIVIDEND DISCOUNT MODELS
  • Binomial Stochastic Model
  • Trinomial Stochastic Models
  • Applications of the Stochastic DDM
  • EXPECTED RETURNS AND DIVIDEND DISCOUNT MODELS
  • KEY POINTS
  • REFERENCES
  • Discounted Cash Flow Methods for Equity Valuation
  • DIVIDEND DISCOUNT MODEL
  • Stocks That Currently Pay No Dividend
  • CONSTANT-GROWTH DDM
  • NONCONSTANT-GROWTH DDM
  • INTUITION BEHIND THE DDM
  • COMPLICATIONS IN IMPLEMENTING THE DDM IN THE REAL WORLD
  • Expected Growth of Dividends
  • Appropriate Expected Required Rate of Return
  • Expected Future Selling Price
  • Reinvestment of Profits/Internal Financing that Support Growth
  • ADAPTING TO THE COMPLICATIONS: THE EARNINGS PER SHARE APPROACH
  • FREE CASH FLOW DCF MODEL-TOTAL FIRM VALUATION
  • Difference between Cash Flow and Free Cash Flow
  • CALCULATING FCF
  • USING THE CASH-FLOW STATEMENT TO ARRIVE AT OCF AND FCF
  • Adjustments for Changes in Net Working Capital
  • Adjustments for Investment in New Fixed Assets
  • Adjustments for Depreciation and Other Noncash Expenses
  • Financial Adjustments
  • VALUING THE TOTAL FIRM
  • ESTIMATING TOTAL FIRM VALUE USING THE FCF MODEL
  • KEY POINTS
  • REFERENCES
  • Relative Valuation Methods for Equity Analysis
  • BASIC PRINCIPLES OF RELATIVE VALUATION
  • Sources of Data.
  • Number of Comparable Firms
  • Basis for Selecting Comparable Firms
  • Geography and Clientele
  • Sector and Industry Characteristics
  • Technology and Intraindustry Diversity
  • Bimodal and Multimodal Patterns
  • Choice of Valuation Multiples
  • Choice of Numerator: Market Cap versus Firm Value
  • Industry-Specific Multiples
  • HYPOTHETICAL EXAMPLE
  • Analysis of the Hypothetical Example
  • Other Potential Issues
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Equity Analysis in a Complex Market
  • AN INTEGRATED APPROACH TO A SEGMENTED MARKET
  • A Coherent Framework
  • DISENTANGLING
  • Noise Reduction
  • Return Revelation
  • Predictive Power
  • Additional Complexities
  • CONSTRUCTING, TRADING, AND EVALUATING PORTFOLIOS
  • PROFITING FROM COMPLEXITY
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Equity Portfolio Selection Models in Practice
  • PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE
  • Long-Only (No-Short-Selling) Constraints
  • Holding Constraints
  • Turnover Constraints
  • Risk Factor Constraints
  • Cardinality Constraints
  • Minimum Holding and Transaction Size Constraints
  • Round Lot Constraints
  • BENCHMARK EXPOSURE AND TRACKING ERROR MINIMIZATION
  • Standard Definition of Tracking Error
  • Alternative Ways of Defining Tracking Error
  • Actual Versus Predicted Tracking Error
  • INCORPORATING TRANSACTION COSTS
  • Linear Transaction Costs
  • Piecewise-Linear Transaction Costs
  • Quadratic Transaction Costs
  • Fixed Transaction Costs
  • INCORPORATING TAXES
  • MULTIACCOUNT OPTIMIZATION
  • ROBUST PARAMETER ESTIMATION
  • PORTFOLIO RESAMPLING
  • ROBUST PORTFOLIO OPTIMIZATION
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Basics of Quantitative Equity Investing
  • EQUITY INVESTING
  • FUNDAMENTAL VS. QUANTITATIVE INVESTOR
  • THE QUANTITATIVE STOCK SELECTION MODEL
  • THE OVERALL QUANTITATIVE INVESTMENT PROCESS
  • RESEARCH.
  • Characteristic Testing: Key Measures of Consistency
  • Model Creation
  • PORTFOLIO CONSTRUCTION
  • Data Collection
  • Creating Security Weights
  • Trade
  • MONITORING
  • Risk Management
  • Performance Attribution
  • CURRENT TRENDS
  • KEY POINTS
  • NOTES
  • Quantitative Equity Portfolio Management
  • TRADITIONAL AND QUANTITATIVE APPROACHES TO EQUITY PORTFOLIO MANAGEMENT
  • FORECASTING STOCK RETURNS, RISKS, AND TRANSACTION COSTS
  • Forecasting Returns
  • Forecasting Risks
  • Forecasting Transaction Costs
  • CONSTRUCTING PORTFOLIOS
  • TRADING
  • EVALUATING RESULTS AND UPDATING THE PROCESS
  • KEY POINTS
  • REFERENCES
  • Forecasting Stock Returns
  • THE CONCEPT OF PREDICTABILITY
  • Statistical Concepts of Predictability and Unpredictability
  • A CLOSER LOOK AT PRICING MODELS
  • PREDICTIVE RETURN MODELS
  • Regressive Models
  • Linear Autoregressive Models
  • Dynamic Factor Models
  • Hidden-Variable Models
  • IS FORECASTING MARKETS WORTH THE EFFORT?
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Factor Models for Portfolio Construction
  • Factor Models
  • ARBITRAGE PRICING THEORY
  • TYPES OF FACTOR MODELS
  • Known Factors
  • Other Considerations in Factor Models
  • Latent Factors
  • Both Types of Factors
  • Predictive Factor Models
  • FACTOR MODEL ESTIMATION
  • Computational Procedure
  • Alternative Approaches and Extensions
  • USE OF PRINCIPAL COMPONENTS ANALYSIS
  • KEY POINTS
  • REFERENCES
  • Principal Components Analysis and Factor Analysis
  • FACTOR MODELS
  • Types of Factors and Their Estimation
  • PRINCIPAL COMPONENTS ANALYSIS
  • Illustration of Principal Components Analysis
  • PCA and Factor Analysis with Stable Distributions
  • FACTOR ANALYSIS
  • An Illustration of Factor Analysis
  • PCA AND FACTOR ANALYSIS COMPARED
  • KEY POINTS
  • REFERENCES
  • Multifactor Equity Risk Models and Their Applications
  • MOTIVATION
  • EQUITY RISK FACTOR MODELS.
  • Model Estimation
  • Types of Factors
  • Idiosyncratic Risk
  • APPLICATIONS OF EQUITY RISK MODELS
  • Portfolio Construction
  • Analyzing Portfolio Risk Using Multifactor Models
  • Performance Attribution
  • Factor-Based Scenario Analysis
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Factor-Based Equity Portfolio Construction and Analysis
  • FACTOR-BASED TRADING
  • DEVELOPING FACTOR-BASED TRADING STRATEGIES
  • Basic Framework and Building Blocks
  • RISK TO TRADING STRATEGIES
  • DESIRABLE PROPERTIES OF FACTORS
  • SOURCES FOR FACTORS
  • BUILDING FACTORS FROM COMPANY CHARACTERISTICS
  • WORKING WITH DATA
  • Data Integrity
  • Potential Biases from Data
  • Dealing with Common Data Issues
  • Methods to Adjust Factors
  • Outlier Detection and Management
  • ANALYSIS OF FACTOR DATA
  • Example 1: EBITDA/EV
  • Example 2: Revisions
  • Example 3: Share Repurchase
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Cross-Sectional Factor-Based Models and Trading Strategies
  • CROSS-SECTIONAL METHODS FOR EVALUATION OF FACTOR PREMIUMS
  • Portfolio Sorts
  • FACTOR MODELS
  • Econometric Considerations for Cross-Sectional Factor Models
  • Fama-MacBeth Regression
  • Information Coefficients
  • Factor Portfolios
  • PERFORMANCE EVALUATION OF FACTORS
  • MODEL CONSTRUCTION METHODOLOGIES FOR A FACTOR-BASED TRADING STRATEGY
  • The Data Driven Approach
  • The Factor Model Approach
  • The Heuristic Approach
  • The Optimization Approach
  • Importance of Model Construction and Factor Choice
  • BACKTESTING
  • Understanding In-Sample and Out-of-Sample Methodologies
  • A Comment on the Interaction between Factor-Based Strategies and Risk Models
  • BACKTESTING OUR FACTOR TRADING STRATEGY
  • KEY POINTS
  • APPENDIX: THE COMPUSTAT POINT-IN-TIME, IBES CONSENSUS DATABASES AND FACTOR DEFINITIONS
  • Value Factors
  • Quality Factors
  • Growth
  • Momentum
  • Summary Statistics
  • NOTES
  • REFERENCES.
  • The Fundamentals of Fundamental Factor Models
  • FUNDAMENTAL ANALYSIS AND THE BARRA FUNDAMENTAL FACTOR MODEL
  • CRITICAL INSIGHTS FROM THE BARRA FUNDAMENTAL FACTOR MODEL
  • RISK DECOMPOSITION
  • Performance Attribution
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Multifactor Equity Risk Models and Their Applications
  • MODEL DESCRIPTION AND ESTIMATION
  • RISK DECOMPOSITION
  • Total Risk Decomposition
  • Systematic-Residual Risk Decomposition
  • Active Risk Decomposition
  • Active Systematic-Active Residual Risk Decomposition
  • Summary of Risk Decomposition
  • APPLICATIONS IN PORTFOLIO CONSTRUCTION AND RISK CONTROL
  • Risk Control against a Stock Market Index
  • Tilting a Portfolio
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Multifactor Fixed Income Risk Models and Their Applications
  • APPROACHES USED TO ANALYZE RISK
  • Market Structure and Exposure Contributions
  • Adding Volatility and Correlations into the Analysis
  • A Detailed Risk Report
  • APPLICATIONS OF RISK MODELING
  • Portfolio Construction and Risk Budgeting
  • Portfolio Rebalancing
  • Scenario Analysis
  • KEY POINTS
  • NOTES
  • REFERENCES
  • Financial Econometrics
  • Scope and Methods of Financial Econometrics
  • THE DATA GENERATING PROCESS
  • FINANCIAL ECONOMETRICS AT WORK
  • Implications of Empirical Series with Only One Realization
  • Determining the Model
  • TIME HORIZON OF MODELS
  • Model Risk and Model Robustness
  • Performance Measurement of Models
  • APPLICATIONS
  • Portfolio Construction and Optimization
  • Risk Management
  • Asset-Liability Management
  • KEY POINTS
  • REFERENCES
  • Regression Analysis: Theory and Estimation
  • THE CONCEPT OF DEPENDENCE
  • REGRESSIONS AND LINEAR MODELS
  • Case Where All Regressors Are Random Variables
  • Linear Models and Linear Regressions
  • Case Where Regressors Are Deterministic Variables
  • ESTIMATION OF LINEAR REGRESSIONS.
  • Maximum Likelihood Estimates.

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