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| Títol : | Financial modeling of the equity market : from CAPM to cointegration | | Tipus de document : | text imprès | | Autors : | Frank J. Fabozzi, Autor ; Sergio M. Focardi, Autor ; Petter N. Kolm, Autor | | Editorial : | Hoboken : John Wiley & Sons | | Data de publicació : | cop. 2006 | | Col·lecció : | Frank J. Fabozzi series | | Nombre de pàgines : | xx, 651 p. | | ll. : | il., gràf. | | Dimensions : | 24 cm | | ISBN/ISSN/DL : | 978-0-471-69900-2 | | Nota general : | Inclou índex | | Idioma : | Anglès (eng) | | Matèries : | Accions (Borsa) -- Models matemàtics
Gestió de cartera -- Models matemàtics
| | Classificació : | 75(POR) Gestió de carteres | | Resum : | An inside look at modern approaches to modeling equity portfolios
Financial Modeling of the Equity Market is the most comprehensive, up-to-date 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 real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman 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. | | Permalink : | https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2 |
Financial modeling of the equity market : from CAPM to cointegration [text imprès] / Frank J. Fabozzi, Autor ; Sergio M. Focardi, Autor ; Petter N. Kolm, Autor . - Hoboken : John Wiley & Sons, cop. 2006 . - xx, 651 p. : il., gràf. ; 24 cm. - ( Frank J. Fabozzi series) . ISBN : 978-0-471-69900-2 Inclou índex Idioma : Anglès ( eng) | Matèries : | Accions (Borsa) -- Models matemàtics
Gestió de cartera -- Models matemàtics
| | Classificació : | 75(POR) Gestió de carteres | | Resum : | An inside look at modern approaches to modeling equity portfolios
Financial Modeling of the Equity Market is the most comprehensive, up-to-date 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 real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman 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. | | Permalink : | https://bibliotecatriasfargas.cat/pmb/opac_css/index.php?lvl=notice_display&id=2 |
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