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Developments In Forecast Combination And Portfolio Choice
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Book Synopsis Developments in Forecast Combination and Portfolio Choice by : Christian L. Dunis
Download or read book Developments in Forecast Combination and Portfolio Choice written by Christian L. Dunis and published by Wiley. This book was released on 2001-10-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio management.
Book Synopsis Optimal Portfolio Choice Under Decision-based Model Combinations by : Davide Pettenuzzo
Download or read book Optimal Portfolio Choice Under Decision-based Model Combinations written by Davide Pettenuzzo and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Advances in Portfolio Construction and Implementation by : Alan Scowcroft
Download or read book Advances in Portfolio Construction and Implementation written by Alan Scowcroft and published by Elsevier. This book was released on 2003-06-25 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance. *Provides practical guidance on financial risk management*Covers the latest developments in investment portfolio construction*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)
Book Synopsis Handbook of Economic Forecasting by : G. Elliott
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-07-14 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Book Synopsis Applied Quantitative Methods for Trading and Investment by : Christian L. Dunis
Download or read book Applied Quantitative Methods for Trading and Investment written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 2004-01-09 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Book Synopsis Multi-moment Asset Allocation and Pricing Models by : Emmanuel Jurczenko
Download or read book Multi-moment Asset Allocation and Pricing Models written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2006-10-02 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
Book Synopsis Portfolio Structuring and the Value of Forecasting by : Jacques Lussier
Download or read book Portfolio Structuring and the Value of Forecasting written by Jacques Lussier and published by CFA Institute Research Foundation. This book was released on 2016-10-10 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Economic and Statistical Value of Forecast Combinations Under Regime Switching by : Massimo Guidolin
Download or read book The Economic and Statistical Value of Forecast Combinations Under Regime Switching written by Massimo Guidolin and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Long-Memory Processes by : Jan Beran
Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Book Synopsis Forecasting in the Presence of Structural Breaks and Model Uncertainty by : David E. Rapach
Download or read book Forecasting in the Presence of Structural Breaks and Model Uncertainty written by David E. Rapach and published by Emerald Group Publishing. This book was released on 2008-02-29 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Book Synopsis INTERNATIONAL JOURNAL OF FORECASTING by : JAN G. DE GOOIJER
Download or read book INTERNATIONAL JOURNAL OF FORECASTING written by JAN G. DE GOOIJER and published by . This book was released on 2002 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Modeling Under Non-Gaussian Distributions by : Eric Jondeau
Download or read book Financial Modeling Under Non-Gaussian Distributions written by Eric Jondeau and published by Springer Science & Business Media. This book was released on 2007-04-05 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Book Synopsis Advances in Economic Forecasting by : Matthew L. Higgins
Download or read book Advances in Economic Forecasting written by Matthew L. Higgins and published by W.E. Upjohn Institute. This book was released on 2011 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book's contributors assess the performance of economic forecasting methods, argue that data can be better exploited through model and forecast combination, and advocate for models that are adaptive and perform well in the presence of nonlinearity and structural change.
Book Synopsis Developments in Mean-Variance Efficient Portfolio Selection by : M. Agarwal
Download or read book Developments in Mean-Variance Efficient Portfolio Selection written by M. Agarwal and published by Springer. This book was released on 2015-12-11 with total page 259 pages. Available in PDF, EPUB and Kindle. Book 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.
Book Synopsis Forecasting Expected Returns in the Financial Markets by : Stephen Satchell
Download or read book Forecasting Expected Returns in the Financial Markets written by Stephen Satchell and published by Elsevier. This book was released on 2011-04-08 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
Book Synopsis Automated Option Trading by : Sergey Izraylevich
Download or read book Automated Option Trading written by Sergey Izraylevich and published by FT Press. This book was released on 2012 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first and only book of its kind, Automated Options Trading describes a comprehensive, step-by-step process for creating automated options trading systems. Using the authors' techniques, sophisticated traders can create powerful frameworks for the consistent, disciplined realization of well-defined, formalized, and carefully-tested trading strategies based on their specific requirements. Unlike other books on automated trading, this book focuses specifically on the unique requirements of options, reflecting philosophy, logic, quantitative tools, and valuation procedures that are completely different from those used in conventional automated trading algorithms. Every facet of the authors' approach is optimized for options, including strategy development and optimization; capital allocation; risk management; performance measurement; back-testing and walk-forward analysis; and trade execution. The authors' system reflects a continuous process of valuation, structuring and long-term management of investment portfolios (not just individual instruments), introducing systematic approaches for handling portfolios containing option combinations related to different underlying assets. With these techniques, it is finally possible to effectively automate options trading at the portfolio level. This book will be an indispensable resource for serious options traders working individually, in hedge funds, or in other institutions.
Book Synopsis Yield Curve Forecast Combinations Based on Bond Portfolio Performance by : João Caldeira
Download or read book Yield Curve Forecast Combinations Based on Bond Portfolio Performance written by João Caldeira and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem is used to highlight the advantages of the proposed approach with respect to combination methods based on statistical measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond portfolios obtained with 9 alternative yield curve specifications, as well as with 12 different forecast combination strategies. Return-based forecast combination schemes clearly outperformed approaches based on statistical measures of forecast accuracy in terms of economic criteria. Moreover, return-based approaches that dynamically selects only the model with highest weight each period and discard all other models delivered even better results, evidencing not only the advantages of trimming forecast combinations but also the ability of the proposed approach to detect best performing models. To analyze the robustness of our results, different levels of risk aversion and a different data set are considered.
