Quantitative Methods for Portfolio Analysis : MTV Model Approach

By: Takeaki Kariya

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Hardcover
324 Pages

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24.4 x 16.2 x 2.3

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This text aims to provide practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, it should be helpful reading for "Quants" (quantitatively-inclined analysts) in financial industries, financial engineers in investment banks; securities companies, derivative-trading companies, and software houses who are developing portfolio trading systems; graduate students and specialists in the areas of finance, business, hardbound economics, statistics, financial engineering; investors who are interested in Japanese financial markets. Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, analysis, models for Japanese financial markets.

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You Can Find This Book In

Non-Fiction Accounting & Finance Finance Investment & Securities Mathematics Probability & Statistics Economics Econometrics Economic Statistics

Preface
Quantitative Approach to Asset Allocation	p. 1
Empirical Features of Financial Returns	p. 15
Univariate Financial Time Series Models	p. 33
Multivariate Financial Time Series Models	p. 58
MTV Model and Its Applications	p. 83
Quantitative Portfolio Construction Procedures	p. 108
Multifactor Models and their Applications	p. 130
B. Rosenberg Models and their Applications	p. 159
Selection of Portfolio Population	p. 177
Optimal MTV Market Portfolio	p. 195
Index Portfolio and Canonical Correlation Portfolio	p. 205
Black-Scholes Option Theory and Its Applications	p. 220
Practical Option Pricing and Related Topics	p. 242
Statistical Bond Pricing Models	p. 263
Appendix	p. 283
References	p. 295
Index	p. 305
Table of Contents provided by Blackwell. All Rights Reserved.

Quantitative Methods for Portfolio Analysis : MTV Model Approach

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Hardcover

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How to return your order

Defective items

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