Mean Variance Analysis in Portfolio Choice and Capital Markets Book

Mean Variance Analysis in Portfolio Choice and Capital Markets


  • Author : Harry M. Markowitz
  • Publisher : John Wiley & Sons
  • Release Date : 2000-02-15
  • Genre: Business & Economics
  • Pages : 400
  • ISBN 10 : 1883249759

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Mean Variance Analysis in Portfolio Choice and Capital Markets Excerpt :

In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.

Advances in Investment Analysis and Portfolio Management Book

Advances in Investment Analysis and Portfolio Management


  • Author : Cheng-Few Lee
  • Publisher : Elsevier
  • Release Date : 2002-07-12
  • Genre: Business & Economics
  • Pages : 288
  • ISBN 10 : 008054505X

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Advances in Investment Analysis and Portfolio Management Excerpt :

Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

Financial Analytics with R Book

Financial Analytics with R


  • Author : Mark J. Bennett
  • Publisher : Cambridge University Press
  • Release Date : 2016-10-06
  • Genre: Business & Economics
  • Pages : 390
  • ISBN 10 : 9781107150751

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Financial Analytics with R Excerpt :

Financial Analytics with R sharpens readers' skills in time-series, forecasting, portfolio selection, covariance clustering, prediction, and derivative securities.

Strategic Asset Allocation Book

Strategic Asset Allocation


  • Author : John Y. Campbell
  • Publisher : OUP Oxford
  • Release Date : 2002-01-03
  • Genre: Business & Economics
  • Pages : 272
  • ISBN 10 : 9780191606915

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Strategic Asset Allocation Excerpt :

Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how

Developments in Mean Variance Efficient Portfolio Selection Book

Developments in Mean Variance Efficient Portfolio Selection


  • Author : M. Agarwal
  • Publisher : Springer
  • Release Date : 2014-11-11
  • Genre: Business & Economics
  • Pages : 242
  • ISBN 10 : 9781137359926

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Developments in Mean Variance Efficient Portfolio Selection Excerpt :

This book discusses new determinants for optimal portfolio selection. It reviews the existing modelling framework and creates mean-variance efficient portfolios from the securities companies on the National Stock Exchange. Comparisons enable researchers to rank them in terms of their effectiveness in the present day Indian securities market.

Introduction to Financial Forecasting in Investment Analysis Book

Introduction to Financial Forecasting in Investment Analysis


  • Author : John B. Guerard, Jr.
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-01-04
  • Genre: Business & Economics
  • Pages : 236
  • ISBN 10 : 9781461452393

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Introduction to Financial Forecasting in Investment Analysis Excerpt :

Forecasting—the art and science of predicting future outcomes—has become a crucial skill in business and economic analysis. This volume introduces the reader to the tools, methods, and techniques of forecasting, specifically as they apply to financial and investing decisions. With an emphasis on "earnings per share" (eps), the author presents a data-oriented text on financial forecasting, understanding financial data, assessing firm financial strategies (such as share buybacks and R&D spending), creating efficient portfolios, and hedging stock portfolios with financial futures. The opening chapters explain how to understand economic fluctuations and how the stock market leads the general economic trend; introduce the concept of portfolio construction and how movements in the economy influence stock price movements; and introduce the reader to the forecasting process, including exponential smoothing and time series model estimations. Subsequent chapters examine the composite index of leading economic indicators (LEI); review financial statement analysis and mean-variance efficient portfolios; and assess the effectiveness of analysts’ earnings forecasts. Using data from such firms as Intel, General Electric, and Hitachi, Guerard demonstrates how forecasting tools can be applied to understand the business cycle, evaluate market risk, and demonstrate the impact of global stock selection modeling and portfolio construction.

Portfolio Construction  Measurement  and Efficiency Book

Portfolio Construction Measurement and Efficiency


  • Author : John B. Guerard, Jr.
  • Publisher : Springer
  • Release Date : 2016-09-23
  • Genre: Business & Economics
  • Pages : 453
  • ISBN 10 : 9783319339764

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Portfolio Construction Measurement and Efficiency Excerpt :

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.

Advances in Corporate Finance and Asset Pricing Book

Advances in Corporate Finance and Asset Pricing


  • Author : Luc Renneboog
  • Publisher : Emerald Group Publishing
  • Release Date : 2006
  • Genre: Business & Economics
  • Pages : 537
  • ISBN 10 : 9780444527233

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Advances in Corporate Finance and Asset Pricing Excerpt :

The past decade was remarkable: it is characterized by an unprecedented number of corporate restructurings in terms of mergers and acquisitions, initial public offerings, public-to-private transactions, spin-offs and divestitures, bank sector consolidation and leveraged recapitalizations. There have also been many changes in corporate governance regulation, triggered by a host of corporate scandals. This book also deals with the effectiveness of specific corporate governance devices like shareholder lock-in agreements and managerial stock options. The focus is also on the changes in and the determinants of capital structure and risk management. Book jacket.

The Mathematics of Financial Modeling and Investment Management Book
Score: 2
From 2 Ratings

The Mathematics of Financial Modeling and Investment Management


  • Author : Sergio M. Focardi
  • Publisher : John Wiley & Sons
  • Release Date : 2004-03-29
  • Genre: Business & Economics
  • Pages : 800
  • ISBN 10 : 0471465992

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The Mathematics of Financial Modeling and Investment Management Excerpt :

the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

Harry Markowitz Book

Harry Markowitz


  • Author : Harry Markowitz
  • Publisher : World Scientific
  • Release Date : 2009-03-03
  • Genre: Business & Economics
  • Pages : 720
  • ISBN 10 : 9789812833655

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Harry Markowitz Excerpt :

Harry M Markowitz received the Nobel Prize in Economics in 1990 for his pioneering work in portfolio theory. He also received the von Neumann Prize from the Institute of Management Science and the Operations Research Institute of America in 1989 for his work in portfolio theory, sparse matrices and the SIMSCRIPT computer language. While Dr Markowitz is well-known for his work on portfolio theory, his work on sparse matrices remains an essential part of linear optimization calculations. In addition, he designed and developed SIMSCRIPT OCo a computer programming language. SIMSCRIPT has been widely used for simulations of systems such as air transportation and communication networks."

Handbook of Asset and Liability Management Book
Score: 4
From 3 Ratings

Handbook of Asset and Liability Management


  • Author : Stavros A. Zenios
  • Publisher : Elsevier
  • Release Date : 2006-07-17
  • Genre: Business & Economics
  • Pages : 508
  • ISBN 10 : 0080478204

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Handbook of Asset and Liability Management Excerpt :

This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well. *Each volume presents an accurate survey of a sub-field of finance *Fills a substantial gap in this field *Broad in scope

ARCH Models and Financial Applications Book

ARCH Models and Financial Applications


  • Author : Christian Gourieroux
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-12-06
  • Genre: Business & Economics
  • Pages : 229
  • ISBN 10 : 9781461218609

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ARCH Models and Financial Applications Excerpt :

The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.

Robust Portfolio Optimization and Management Book

Robust Portfolio Optimization and Management


  • Author : Frank J. Fabozzi
  • Publisher : John Wiley & Sons
  • Release Date : 2007-08-10
  • Genre: Business & Economics
  • Pages : 512
  • ISBN 10 : 9780470164891

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Robust Portfolio Optimization and Management Excerpt :

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 rigorous 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 performance. 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