Robust Portfolio Optimization and Management

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Publisher : John Wiley & Sons
ISBN 13 : 0470164891
Total Pages : 513 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Robust Portfolio Optimization and Management by : Frank J. Fabozzi

Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book 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

Bayesian Forecasting and Dynamic Models

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Publisher : Springer Science & Business Media
ISBN 13 : 0387227776
Total Pages : 695 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Bayesian Forecasting and Dynamic Models by : Mike West

Download or read book Bayesian Forecasting and Dynamic Models written by Mike West and published by Springer Science & Business Media. This book was released on 2006-05-02 with total page 695 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text is concerned with Bayesian learning, inference and forecasting in dynamic environments. We describe the structure and theory of classes of dynamic models and their uses in forecasting and time series analysis. The principles, models and methods of Bayesian forecasting and time - ries analysis have been developed extensively during the last thirty years. Thisdevelopmenthasinvolvedthoroughinvestigationofmathematicaland statistical aspects of forecasting models and related techniques. With this has come experience with applications in a variety of areas in commercial, industrial, scienti?c, and socio-economic ?elds. Much of the technical - velopment has been driven by the needs of forecasting practitioners and applied researchers. As a result, there now exists a relatively complete statistical and mathematical framework, presented and illustrated here. In writing and revising this book, our primary goals have been to present a reasonably comprehensive view of Bayesian ideas and methods in m- elling and forecasting, particularly to provide a solid reference source for advanced university students and research workers.

Bayesian Statistics 6

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Publisher : Oxford University Press
ISBN 13 : 9780198504856
Total Pages : 886 pages
Book Rating : 4.5/5 (48 download)

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Book Synopsis Bayesian Statistics 6 by : J. M. Bernardo

Download or read book Bayesian Statistics 6 written by J. M. Bernardo and published by Oxford University Press. This book was released on 1999-08-12 with total page 886 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian statistics is a dynamic and fast-growing area of statistical research and the Valencia International Meetings provide the main forum for discussion. These resulting proceedings form an up-to-date collection of research.

Bayesian Model Selection and Statistical Modeling

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Publisher : CRC Press
ISBN 13 : 9781439836156
Total Pages : 300 pages
Book Rating : 4.8/5 (361 download)

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Book Synopsis Bayesian Model Selection and Statistical Modeling by : Tomohiro Ando

Download or read book Bayesian Model Selection and Statistical Modeling written by Tomohiro Ando and published by CRC Press. This book was released on 2010-05-27 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: Along with many practical applications, Bayesian Model Selection and Statistical Modeling presents an array of Bayesian inference and model selection procedures. It thoroughly explains the concepts, illustrates the derivations of various Bayesian model selection criteria through examples, and provides R code for implementation. The author shows how to implement a variety of Bayesian inference using R and sampling methods, such as Markov chain Monte Carlo. He covers the different types of simulation-based Bayesian model selection criteria, including the numerical calculation of Bayes factors, the Bayesian predictive information criterion, and the deviance information criterion. He also provides a theoretical basis for the analysis of these criteria. In addition, the author discusses how Bayesian model averaging can simultaneously treat both model and parameter uncertainties. Selecting and constructing the appropriate statistical model significantly affect the quality of results in decision making, forecasting, stochastic structure explorations, and other problems. Helping you choose the right Bayesian model, this book focuses on the framework for Bayesian model selection and includes practical examples of model selection criteria.

Financial Modeling of the Equity Market

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Publisher : John Wiley & Sons
ISBN 13 : 0470037695
Total Pages : 673 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Financial Modeling of the Equity Market by : Frank J. Fabozzi

Download or read book Financial Modeling of the Equity Market written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2006-03-31 with total page 673 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based 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.

The Oxford Handbook of Applied Bayesian Analysis

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Publisher : OUP Oxford
ISBN 13 : 0191613894
Total Pages : 924 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis The Oxford Handbook of Applied Bayesian Analysis by : Anthony O' Hagan

Download or read book The Oxford Handbook of Applied Bayesian Analysis written by Anthony O' Hagan and published by OUP Oxford. This book was released on 2010-03-18 with total page 924 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian analysis has developed rapidly in applications in the last two decades and research in Bayesian methods remains dynamic and fast-growing. Dramatic advances in modelling concepts and computational technologies now enable routine application of Bayesian analysis using increasingly realistic stochastic models, and this drives the adoption of Bayesian approaches in many areas of science, technology, commerce, and industry. This Handbook explores contemporary Bayesian analysis across a variety of application areas. Chapters written by leading exponents of applied Bayesian analysis showcase the scientific ease and natural application of Bayesian modelling, and present solutions to real, engaging, societally important and demanding problems. The chapters are grouped into five general areas: Biomedical & Health Sciences; Industry, Economics & Finance; Environment & Ecology; Policy, Political & Social Sciences; and Natural & Engineering Sciences, and Appendix material in each touches on key concepts, models, and techniques of the chapter that are also of broader pedagogic and applied interest.

The Oxford Handbook of Bayesian Econometrics

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Author :
Publisher : Oxford University Press, USA
ISBN 13 : 0199559082
Total Pages : 571 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis The Oxford Handbook of Bayesian Econometrics by : John Geweke

Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press, USA. This book was released on 2011-09-29 with total page 571 pages. Available in PDF, EPUB and Kindle. Book excerpt: A broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing.

Bayesian Inference in the Social Sciences

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Publisher : John Wiley & Sons
ISBN 13 : 1118771125
Total Pages : 266 pages
Book Rating : 4.1/5 (187 download)

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Book Synopsis Bayesian Inference in the Social Sciences by : Ivan Jeliazkov

Download or read book Bayesian Inference in the Social Sciences written by Ivan Jeliazkov and published by John Wiley & Sons. This book was released on 2014-11-04 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents new models, methods, and techniques and considers important real-world applications in political science, sociology, economics, marketing, and finance Emphasizing interdisciplinary coverage, Bayesian Inference in the Social Sciences builds upon the recent growth in Bayesian methodology and examines an array of topics in model formulation, estimation, and applications. The book presents recent and trending developments in a diverse, yet closely integrated, set of research topics within the social sciences and facilitates the transmission of new ideas and methodology across disciplines while maintaining manageability, coherence, and a clear focus. Bayesian Inference in the Social Sciences features innovative methodology and novel applications in addition to new theoretical developments and modeling approaches, including the formulation and analysis of models with partial observability, sample selection, and incomplete data. Additional areas of inquiry include a Bayesian derivation of empirical likelihood and method of moment estimators, and the analysis of treatment effect models with endogeneity. The book emphasizes practical implementation, reviews and extends estimation algorithms, and examines innovative applications in a multitude of fields. Time series techniques and algorithms are discussed for stochastic volatility, dynamic factor, and time-varying parameter models. Additional features include: Real-world applications and case studies that highlight asset pricing under fat-tailed distributions, price indifference modeling and market segmentation, analysis of dynamic networks, ethnic minorities and civil war, school choice effects, and business cycles and macroeconomic performance State-of-the-art computational tools and Markov chain Monte Carlo algorithms with related materials available via the book’s supplemental website Interdisciplinary coverage from well-known international scholars and practitioners Bayesian Inference in the Social Sciences is an ideal reference for researchers in economics, political science, sociology, and business as well as an excellent resource for academic, government, and regulation agencies. The book is also useful for graduate-level courses in applied econometrics, statistics, mathematical modeling and simulation, numerical methods, computational analysis, and the social sciences.

Markov Chain Monte Carlo

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Publisher : CRC Press
ISBN 13 : 148229642X
Total Pages : 342 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Markov Chain Monte Carlo by : Dani Gamerman

Download or read book Markov Chain Monte Carlo written by Dani Gamerman and published by CRC Press. This book was released on 2006-05-10 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: While there have been few theoretical contributions on the Markov Chain Monte Carlo (MCMC) methods in the past decade, current understanding and application of MCMC to the solution of inference problems has increased by leaps and bounds. Incorporating changes in theory and highlighting new applications, Markov Chain Monte Carlo: Stochastic Simul

Handbook of Quantitative Finance and Risk Management

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Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Case studies in Bayesian statistics. 6 (2002)

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Publisher : Springer Science & Business Media
ISBN 13 : 9780387954721
Total Pages : 404 pages
Book Rating : 4.9/5 (547 download)

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Book Synopsis Case studies in Bayesian statistics. 6 (2002) by : Constantine Gatsonis

Download or read book Case studies in Bayesian statistics. 6 (2002) written by Constantine Gatsonis and published by Springer Science & Business Media. This book was released on 2002-08-12 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains invited case studies with the accompanying discussion as well as contributed papers selected by a refereeing process of 6th Workshop on Case Studies in Bayesian Statistics was held at the Carnegie Mellon University in October, 2001.

Recent Advances in Applied Probability

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Publisher : Springer Science & Business Media
ISBN 13 : 0387233946
Total Pages : 497 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Recent Advances in Applied Probability by : Ricardo Baeza-Yates

Download or read book Recent Advances in Applied Probability written by Ricardo Baeza-Yates and published by Springer Science & Business Media. This book was released on 2006-02-28 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Applied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability.

Advanced Techniques for Modelling Maternal and Child Health in Africa

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Publisher : Springer Science & Business Media
ISBN 13 : 9400767781
Total Pages : 336 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Advanced Techniques for Modelling Maternal and Child Health in Africa by : Ngianga-Bakwin Kandala

Download or read book Advanced Techniques for Modelling Maternal and Child Health in Africa written by Ngianga-Bakwin Kandala and published by Springer Science & Business Media. This book was released on 2013-09-06 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents both theoretical contributions and empirical applications of advanced statistical techniques including geo-additive models that link individual measures with area variables to account for spatial correlation; multilevel models that address the issue of clustering within family and household; multi-process models that account for interdependencies over life-course events and non-random utilization of health services; and flexible parametric alternatives to existing intensity models. These analytical techniques are illustrated mainly through modeling maternal and child health in the African context, using data from demographic and health surveys. In the past, the estimation of levels, trends and differentials in demographic and health outcomes in developing countries was heavily reliant on indirect methods that were devised to suit limited or deficient data. In recent decades, world-wide surveys like the World Fertility Survey and its successor, the Demographic and Health Survey have played an important role in filling the gap in survey data from developing countries. Such modern demographic and health surveys enable investigators to make in-depth analyses that guide policy intervention strategies, and such analyses require the modern and advanced statistical techniques covered in this book. The text is ideally suited for academics, professionals, and decision makers in the social and health sciences, as well as others with an interest in statistical modelling, demographic and health surveys. Scientists and students in applied statistics, epidemiology, medicine, social and behavioural sciences will find it of value.

Statistics for Spatio-Temporal Data

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Publisher : John Wiley & Sons
ISBN 13 : 1119243068
Total Pages : 596 pages
Book Rating : 4.1/5 (192 download)

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Book Synopsis Statistics for Spatio-Temporal Data by : Noel Cressie

Download or read book Statistics for Spatio-Temporal Data written by Noel Cressie and published by John Wiley & Sons. This book was released on 2015-11-02 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the 2013 DeGroot Prize. A state-of-the-art presentation of spatio-temporal processes, bridging classic ideas with modern hierarchical statistical modeling concepts and the latest computational methods Noel Cressie and Christopher K. Wikle, are also winners of the 2011 PROSE Award in the Mathematics category, for the book “Statistics for Spatio-Temporal Data” (2011), published by John Wiley and Sons. (The PROSE awards, for Professional and Scholarly Excellence, are given by the Association of American Publishers, the national trade association of the US book publishing industry.) Statistics for Spatio-Temporal Data has now been reprinted with small corrections to the text and the bibliography. The overall content and pagination of the new printing remains the same; the difference comes in the form of corrections to typographical errors, editing of incomplete and missing references, and some updated spatio-temporal interpretations. From understanding environmental processes and climate trends to developing new technologies for mapping public-health data and the spread of invasive-species, there is a high demand for statistical analyses of data that take spatial, temporal, and spatio-temporal information into account. Statistics for Spatio-Temporal Data presents a systematic approach to key quantitative techniques that incorporate the latest advances in statistical computing as well as hierarchical, particularly Bayesian, statistical modeling, with an emphasis on dynamical spatio-temporal models. Cressie and Wikle supply a unique presentation that incorporates ideas from the areas of time series and spatial statistics as well as stochastic processes. Beginning with separate treatments of temporal data and spatial data, the book combines these concepts to discuss spatio-temporal statistical methods for understanding complex processes. Topics of coverage include: Exploratory methods for spatio-temporal data, including visualization, spectral analysis, empirical orthogonal function analysis, and LISAs Spatio-temporal covariance functions, spatio-temporal kriging, and time series of spatial processes Development of hierarchical dynamical spatio-temporal models (DSTMs), with discussion of linear and nonlinear DSTMs and computational algorithms for their implementation Quantifying and exploring spatio-temporal variability in scientific applications, including case studies based on real-world environmental data Throughout the book, interesting applications demonstrate the relevance of the presented concepts. Vivid, full-color graphics emphasize the visual nature of the topic, and a related FTP site contains supplementary material. Statistics for Spatio-Temporal Data is an excellent book for a graduate-level course on spatio-temporal statistics. It is also a valuable reference for researchers and practitioners in the fields of applied mathematics, engineering, and the environmental and health sciences.

Cointegration and Long-Horizon Forecasting

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Author :
Publisher : International Monetary Fund
ISBN 13 : 1451848137
Total Pages : 31 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Cointegration and Long-Horizon Forecasting by : Mr.Peter F. Christoffersen

Download or read book Cointegration and Long-Horizon Forecasting written by Mr.Peter F. Christoffersen and published by International Monetary Fund. This book was released on 1997-05-01 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.

Bayesian Hierarchical Models in Characterizing Molecular Adaptation

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Publisher :
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.:/5 (25 download)

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Book Synopsis Bayesian Hierarchical Models in Characterizing Molecular Adaptation by : Sabeli Datta

Download or read book Bayesian Hierarchical Models in Characterizing Molecular Adaptation written by Sabeli Datta and published by . This book was released on 2011 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of Econometrics

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Publisher :
ISBN 13 :
Total Pages : 814 pages
Book Rating : 4.:/5 (45 download)

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Book Synopsis Journal of Econometrics by :

Download or read book Journal of Econometrics written by and published by . This book was released on 2002 with total page 814 pages. Available in PDF, EPUB and Kindle. Book excerpt: