出版社: Wiley
副标题: From CAPM to Cointegration (Frank J. Fabozzi Series)
出版年: 20060103
页数: 651
定价: USD 80.00
装帧: Hardcover
ISBN: 9780471699002
内容简介 · · · · · ·
An inside look at modern approaches to modeling equity portfolios
Financial Modeling of the Equity Market is the most comprehensive, uptodate guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear s...
An inside look at modern approaches to modeling equity portfolios
Financial Modeling of the Equity Market is the most comprehensive, uptodate guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of realworld examples and practical simulations. This book presents all the major approaches to singleperiod return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, longrun modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the BlackLitterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.
Sergio M. Focardi (Paris, France) is a founding partner of the Parisbased consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
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小栙 (活在当下)
Sub Chapter Multivariate Random Walk This fact entails that there are mutual dependencies between returns or between log returns. If returns or log returns are jointly normally distributed, then dependencies can be fully accounted for by linear correlation coefficients. This is not to say that the covariance matrix is able to capture in full generality the dependencies in a return process. F...20150209 03:28
Sub Chapter Multivariate Random WalkThis fact entails that there are mutual dependencies between returns or between log returns. If returns or log returns are jointly normally distributed, then dependencies can be fully accounted for by linear correlation coefficients.This is not to say that the covariance matrix is able to capture in full generality the dependencies in a return process. First, correlations at lagged times are not captured by the static covariance or correlation matrices. Second, there are forms of nonlinear dependency that are not captured by covariance and correlations. Alternative tools include copula functions and transfer entropies.回应 20150209 03:28 
小栙 (活在当下)
Sub Chapter: Theoretical and Econometric Models A model of return is a mathematical representation of returns. In finance theory, different types of models are considered. There are models that represent the time evolution of returns and models that represent the relationships between the the returns of different assets at any given moment. The former is exemplified by a random walk model, the ...20150209 02:37
Sub Chapter: Theoretical and Econometric ModelsA model of return is a mathematical representation of returns. In finance theory, different types of models are considered. There are models that represent the time evolution of returns and models that represent the relationships between the the returns of different assets at any given moment. The former is exemplified by a random walk model, the latter by conditions of noarbitrage.回应 20150209 02:37

小栙 (活在当下)
Sub Chapter: Theoretical and Econometric Models A model of return is a mathematical representation of returns. In finance theory, different types of models are considered. There are models that represent the time evolution of returns and models that represent the relationships between the the returns of different assets at any given moment. The former is exemplified by a random walk model, the ...20150209 02:37
Sub Chapter: Theoretical and Econometric ModelsA model of return is a mathematical representation of returns. In finance theory, different types of models are considered. There are models that represent the time evolution of returns and models that represent the relationships between the the returns of different assets at any given moment. The former is exemplified by a random walk model, the latter by conditions of noarbitrage.回应 20150209 02:37 
小栙 (活在当下)
Sub Chapter Multivariate Random Walk This fact entails that there are mutual dependencies between returns or between log returns. If returns or log returns are jointly normally distributed, then dependencies can be fully accounted for by linear correlation coefficients. This is not to say that the covariance matrix is able to capture in full generality the dependencies in a return process. F...20150209 03:28
Sub Chapter Multivariate Random WalkThis fact entails that there are mutual dependencies between returns or between log returns. If returns or log returns are jointly normally distributed, then dependencies can be fully accounted for by linear correlation coefficients.This is not to say that the covariance matrix is able to capture in full generality the dependencies in a return process. First, correlations at lagged times are not captured by the static covariance or correlation matrices. Second, there are forms of nonlinear dependency that are not captured by covariance and correlations. Alternative tools include copula functions and transfer entropies.回应 20150209 03:28

小栙 (活在当下)
Sub Chapter Multivariate Random Walk This fact entails that there are mutual dependencies between returns or between log returns. If returns or log returns are jointly normally distributed, then dependencies can be fully accounted for by linear correlation coefficients. This is not to say that the covariance matrix is able to capture in full generality the dependencies in a return process. F...20150209 03:28
Sub Chapter Multivariate Random WalkThis fact entails that there are mutual dependencies between returns or between log returns. If returns or log returns are jointly normally distributed, then dependencies can be fully accounted for by linear correlation coefficients.This is not to say that the covariance matrix is able to capture in full generality the dependencies in a return process. First, correlations at lagged times are not captured by the static covariance or correlation matrices. Second, there are forms of nonlinear dependency that are not captured by covariance and correlations. Alternative tools include copula functions and transfer entropies.回应 20150209 03:28 
小栙 (活在当下)
Sub Chapter: Theoretical and Econometric Models A model of return is a mathematical representation of returns. In finance theory, different types of models are considered. There are models that represent the time evolution of returns and models that represent the relationships between the the returns of different assets at any given moment. The former is exemplified by a random walk model, the ...20150209 02:37
Sub Chapter: Theoretical and Econometric ModelsA model of return is a mathematical representation of returns. In finance theory, different types of models are considered. There are models that represent the time evolution of returns and models that represent the relationships between the the returns of different assets at any given moment. The former is exemplified by a random walk model, the latter by conditions of noarbitrage.回应 20150209 02:37
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0 有用 solofancy 20150924
挺理论的，对理论架构有很大帮助，但对事务帮助有限吧。
0 有用 solofancy 20150924
挺理论的，对理论架构有很大帮助，但对事务帮助有限吧。