Автор: Back, Kerry E. Название: Asset Pricing and Portfolio Choice Theory ISBN: 0190241144 ISBN-13(EAN): 9780190241148 Издательство: Oxford Academ Рейтинг: Цена: 7806 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is a textbook at the Ph.D. or Masters in Quantitative Finance level. It covers single-period, discrete-time, and continuous-time financial models. It provides introductions to many current research topics, and each chapter contains exercises.
Описание: In this concise yet comprehensive guide to the mathematics of modern portfolio theory the authors discuss mean-variance analysis, factor models, utility theory, stochastic dominance, very long term investing, the capital asset pricing model, risk measures including VAR, coherence, market efficiency, rationality and the modelling of actuarial liabilities. Each topic is clearly explained with assumptions, mathematics, limitations, problems and solutions presented in turn. Joshi's trademark style of clarity and practicality is here brought to classical financial mathematics. The book is suitable for mathematically trained students in actuarial studies, business and economics as well as mathematics and finance, and it can be used for both self-study and as a course text. The authors' experience as both academics and practitioners brings clarity and relevance to the book, whilst ensuring that the limitations of models are highlighted.
Автор: Elton, Edwin J. Gruber, Martin J. Brown, Stephen J Название: Modern portfolio theory and investment analysis ISBN: 1119427290 ISBN-13(EAN): 9781119427292 Издательство: Wiley Рейтинг: Цена: 6270 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Praise for "Robust Portfolio Optimization and Management" - 'In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios,
investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm,
Pachamanova, and Focardi deserve high praise for producing a technically rigoro
s yet remarkably accessible guide to the latest advances in portfolio construction' - Mark Kritzman, President and CEO, Windham Capital Management, LLC.'The topic of robust
optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented
classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor
Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive,
easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike' - John M.
Mulvey, Professor of Operations Research and Financial Engineering, Princeton University.
Описание: Author Robert Isbitts believes that investors should not simply invest in stocks and bonds. In fact, he's fairly critical of any individual holding a lot of bonds. People need to be proactive in planning for their retirement and to do so, they must be looking beyond the stock market. In doing this, they must avoid falling for the hype and misinformation that abounds about alternative investments. He will share the strategies that he has used with his clients and as a fund manager to develop an investment strategy that is profitable over time and allows both advisor and individual investor to withstand the highs and lows of stock market.
Автор: Markowitz, Harry M. Название: Portfolio selection ISBN: 1557861080 ISBN-13(EAN): 9781557861085 Издательство: Wiley Рейтинг: Цена: 6479 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This is a classic book, representing the first major breakthrough in the field of modern financial theory. In effect, it created the mathematics of portfolio selection in a model which has turned out to be the indispensable building block from which the theory of the demand for risky securities is constructed.
Описание: Finally, a book that presents modeling formulas to maximize returns and manage risk for serious traders using empirical, statistical techniques. Specific topics
covered include the importance of understanding investing as a statistical process. From there traditional concepts of money management are explored and many myths
Formulas are given for the probability that a stop loss or stop profit will be executed. The impact of stops on the average return, probability of success, variance,
skew, and kurtosis are examined. The formulas for these mutations in investment outcome have never before appeared in print.
In many cases, readers may be shocked at
the implications of stop loss techniques. A comprehensive set of optimal investment size formulas are developed which include cases of a single investment at a time and multiple
investments both with and without correlations between th
m.In addition, the book explains how to extend these formulas to both the case of standard distributions as well as empirical distributions. The goal of the optimal investment size
formulas is to both maximize long term compounded return while reducing risk.
Individual and professional money managers will also learn how to allocate portfolio assets to
mathematically maximize their Sharpe ratio. The book also offers a unique new investment goal designed to maximize the compounded utility of wealth on a compounded basis.
Автор: Wise Mark, Bhansali Vineer Название: Bond Portfolio Investing and Risk Management ISBN: 0071623701 ISBN-13(EAN): 9780071623704 Издательство: McGraw-Hill Рейтинг: Цена: 8777 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Helps you build portfolios to add value through every kind of economic cycle. This title explores the various risk factors inherent in fixed income investments, including yield curve shifts, twists, liquidity, and evolving risk factors such as government policy.
Автор: Singer, Brian Mandinach, Barry Fedorinchik, Greg Название: Investment leadership and portfolio management ISBN: 0470435402 ISBN-13(EAN): 9780470435403 Издательство: Wiley Рейтинг: Цена: 4964 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Examines the role of investment leadership in portfolio management. From firm governance and firm structure to culture, strategy, and execution, this book covers topics including the differences between leading and managing; investment philosophy, process, and portfolio construction; communication and transparency; and, ethics and integrity.
Описание: The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk as the perception of uncertainty by individuals when faced with a decision problem. Further, the book discusses the pricing of financial instruments as a function of risk factors. Emphasis is put on options, because they exhibit a non-linear exposure to the risk factors. The core of the text is the assessment of risk for financial portfolios by way of estimating the portfolio probability distribution. A new approach, the Barycentric Discretisation with Piecewise Quadratic Approximation (BDPQA), which poses no assumptions on the risk factor distribution and accounts for the non-linearity of the price functions, is introduced.
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