Out Of Sample Performance Based Estimation Methods For Portfolio Selection

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Predictions, Nonlinearities and Portfolio Choice

Author : Friedrich Christian Kruse
Publisher : BoD – Books on Demand
ISBN 13 : 3844101853
Total Pages : 222 pages
Book Rating : 4.8/5 (441 download)

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Book Synopsis Predictions, Nonlinearities and Portfolio Choice by : Friedrich Christian Kruse

Download or read book Predictions, Nonlinearities and Portfolio Choice written by Friedrich Christian Kruse and published by BoD – Books on Demand. This book was released on 2012 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance researchers and asset management practitioners put a lot of effort into the question of optimal asset allocation. With this respect, a lot of research has been conducted on portfolio decision making as well as quantitative modeling and prediction models. This study brings together three fields of research, which are usually analyzed in an isolated manner in the literature: - Predictability of asset returns and their covariance matrix - Optimal portfolio decision making - Nonlinear modeling, performed by artificial neural networks, and their impact on predictions as well as optimal portfolio construction Including predictability in asset allocation is the focus of this work and it pays special attention to issues related to nonlinearities. The contribution of this study to the portfolio choice literature is twofold. First, motivated by the evidence of linear predictability, the impact of nonlinear predictions on portfolio performances is analyzed. Predictions are empirically performed for an investor who invests in equities (represented by the DAX index), bonds (represented by the REXP index) and a risk-free rate. Second, a solution to the dynamic programming problem for intertemporal portfolio choice is presented. The method is based on functional approximations of the investor's value function with artificial neural networks. The method is easily capable of handling multiple state variables. Hence, the effect of adding predictive parameters to the state space is the focus of analysis as well as the impacts of estimation biases and the view of a Bayesian investor on intertemporal portfolio choice. One important empirical result shows that residual correlation among state variables have an impact on intertemporal portfolio decision making.

Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data

Author : Norman R. Swanson
Publisher : MDPI
ISBN 13 : 303650852X
Total Pages : 196 pages
Book Rating : 4.0/5 (365 download)

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Book Synopsis Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data by : Norman R. Swanson

Download or read book Recent Advances in Theory and Methods for the Analysis of High Dimensional and High Frequency Financial Data written by Norman R. Swanson and published by MDPI. This book was released on 2021-08-31 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recently, considerable attention has been placed on the development and application of tools useful for the analysis of the high-dimensional and/or high-frequency datasets that now dominate the landscape. The purpose of this Special Issue is to collect both methodological and empirical papers that develop and utilize state-of-the-art econometric techniques for the analysis of such data.

Handbook of Asian Finance

Author : David Lee Kuo Chuen
Publisher : Academic Press
ISBN 13 : 0128010630
Total Pages : 531 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis Handbook of Asian Finance by : David Lee Kuo Chuen

Download or read book Handbook of Asian Finance written by David Lee Kuo Chuen and published by Academic Press. This book was released on 2014-05-15 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. - Presents the only micro- and market-related analysis of pan-Asian finance available today - Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries - Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes

High-Frequency Trading

Author : Irene Aldridge
Publisher : John Wiley and Sons
ISBN 13 : 0470579773
Total Pages : 258 pages
Book Rating : 4.4/5 (75 download)

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Book Synopsis High-Frequency Trading by : Irene Aldridge

Download or read book High-Frequency Trading written by Irene Aldridge and published by John Wiley and Sons. This book was released on 2009-12-22 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: A hands-on guide to the fast and ever-changing world of high-frequency, algorithmic trading Financial markets are undergoing rapid innovation due to the continuing proliferation of computer power and algorithms. These developments have created a new investment discipline called high-frequency trading. This book covers all aspects of high-frequency trading, from the business case and formulation of ideas through the development of trading systems to application of capital and subsequent performance evaluation. It also includes numerous quantitative trading strategies, with market microstructure, event arbitrage, and deviations arbitrage discussed in great detail. Contains the tools and techniques needed for building a high-frequency trading system Details the post-trade analysis process, including key performance benchmarks and trade quality evaluation Written by well-known industry professional Irene Aldridge Interest in high-frequency trading has exploded over the past year. This book has what you need to gain a better understanding of how it works and what it takes to apply this approach to your trading endeavors.

ECML PKDD 2018 Workshops

Author : Carlos Alzate
Publisher : Springer
ISBN 13 : 3030134636
Total Pages : 179 pages
Book Rating : 4.0/5 (31 download)

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Book Synopsis ECML PKDD 2018 Workshops by : Carlos Alzate

Download or read book ECML PKDD 2018 Workshops written by Carlos Alzate and published by Springer. This book was released on 2019-02-06 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes revised selected papers from two workshops held at the 18th European Conference on Machine Learning and Knowledge Discovery in Databases, ECML PKDD 2018, in Dublin, Ireland, in September 2018, namely: MIDAS 2018 – Third Workshop on Mining Data for Financial Applications and PAP 2018 – Second International Workshop on Personal Analytics and Privacy. The 12 papers presented in this volume were carefully reviewed and selected from a total of 17 submissions.

The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets

Author : Greg N. Gregoriou
Publisher : McGraw Hill Professional
ISBN 13 : 0071663711
Total Pages : 529 pages
Book Rating : 4.0/5 (716 download)

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Book Synopsis The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets by : Greg N. Gregoriou

Download or read book The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets written by Greg N. Gregoriou and published by McGraw Hill Professional. This book was released on 2010-02-12 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Addresses newly exposed weaknesses of financial risk models in the context of market stress scenarios This will be the definitive book for readers looking to improve their approach to modeling financial risk

The Oxford Handbook of Quantitative Asset Management

Author : Bernd Scherer
Publisher : Oxford University Press
ISBN 13 : 0199553432
Total Pages : 530 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis The Oxford Handbook of Quantitative Asset Management by : Bernd Scherer

Download or read book The Oxford Handbook of Quantitative Asset Management written by Bernd Scherer and published by Oxford University Press. This book was released on 2012 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Econometrics of Risk

Author : Van-Nam Huynh
Publisher : Springer
ISBN 13 : 3319134493
Total Pages : 486 pages
Book Rating : 4.3/5 (191 download)

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Book Synopsis Econometrics of Risk by : Van-Nam Huynh

Download or read book Econometrics of Risk written by Van-Nam Huynh and published by Springer. This book was released on 2014-12-15 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econometric techniques to real-life economic situations. The book presents new methods developed just recently, in particular, methods using non-Gaussian heavy-tailed distributions, methods using non-Gaussian copulas to properly take into account dependence between different quantities, methods taking into account imprecise ("fuzzy") expert knowledge, and many other innovative techniques. This versatile volume helps practitioners to learn how to apply new techniques of econometrics of risk, and researchers to further improve the existing models and to come up with new ideas on how to best take into account economic risks.

Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science

Author : Sven Knoth
Publisher : Springer Nature
ISBN 13 : 3031691113
Total Pages : 503 pages
Book Rating : 4.0/5 (316 download)

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Book Synopsis Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science by : Sven Knoth

Download or read book Advanced Statistical Methods in Process Monitoring, Finance, and Environmental Science written by Sven Knoth and published by Springer Nature. This book was released on with total page 503 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Empirical Asset Pricing

Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)

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Book Synopsis Empirical Asset Pricing by : Wayne Ferson

Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
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.

Behavioral Predictive Modeling in Economics

Author : Songsak Sriboonchitta
Publisher : Springer Nature
ISBN 13 : 3030497283
Total Pages : 445 pages
Book Rating : 4.0/5 (34 download)

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Book Synopsis Behavioral Predictive Modeling in Economics by : Songsak Sriboonchitta

Download or read book Behavioral Predictive Modeling in Economics written by Songsak Sriboonchitta and published by Springer Nature. This book was released on 2020-08-05 with total page 445 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents both methodological papers on and examples of applying behavioral predictive models to specific economic problems, with a focus on how to take into account people's behavior when making economic predictions. This is an important issue, since traditional economic models assumed that people make wise economic decisions based on a detailed rational analysis of all the relevant aspects. However, in reality – as Nobel Prize-winning research has shown – people have a limited ability to process information and, as a result, their decisions are not always optimal. Discussing the need for prediction-oriented statistical techniques, since many statistical methods currently used in economics focus more on model fitting and do not always lead to good predictions, the book is a valuable resource for researchers and students interested in the latest results and challenges and for practitioners wanting to learn how to use state-of-the-art techniques.

Applications of Evolutionary Computation

Author : Cecilia Di Chio
Publisher : Springer
ISBN 13 : 3642122426
Total Pages : 504 pages
Book Rating : 4.6/5 (421 download)

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Book Synopsis Applications of Evolutionary Computation by : Cecilia Di Chio

Download or read book Applications of Evolutionary Computation written by Cecilia Di Chio and published by Springer. This book was released on 2010-04-03 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolutionary computation (EC) techniques are e?cient, nature-inspired me- ods based on the principles of natural evolution and genetics. Due to their - ciency and simple underlying principles, these methods can be used for a diverse rangeofactivitiesincludingproblemsolving,optimization,machinelearningand pattern recognition. A large and continuously increasing number of researchers and professionals make use of EC techniques in various application domains. This volume presents a careful selection of relevant EC examples combined with a thorough examination of the techniques used in EC. The papers in the volume illustrate the current state of the art in the application of EC and should help and inspire researchers and professionals to develop e?cient EC methods for design and problem solving. All papers in this book were presented during EvoApplications 2010, which included a range of events on application-oriented aspects of EC. Since 1998, EvoApplications — formerly known as EvoWorkshops — has provided a unique opportunity for EC researchers to meet and discuss application aspects of EC and has been an important link between EC research and its application in a variety of domains. During these 12 years, new events have arisen, some have disappeared,whileothershavematuredtobecomeconferencesoftheirown,such as EuroGP in 2000, EvoCOP in 2004, and EvoBIO in 2007. And from this year, EvoApplications has become a conference as well.

Advances in Investment Analysis and Portfolio Management

Author : Cheng-Few Lee
Publisher : Elsevier
ISBN 13 : 008054505X
Total Pages : 289 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Advances in Investment Analysis and Portfolio Management by : Cheng-Few Lee

Download or read book Advances in Investment Analysis and Portfolio Management written by Cheng-Few Lee and published by Elsevier. This book was released on 2002-07-12 with total page 289 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

Quantitative Equity Investing

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470262478
Total Pages : 528 pages
Book Rating : 4.4/5 (72 download)

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Book Synopsis Quantitative Equity Investing by : Frank J. Fabozzi

Download or read book Quantitative Equity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2010-03-01 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

A risk-gain-sparsity optimization approach

Author : Alessandra Congedo
Publisher : Roma TrE-Press
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.2/5 (597 download)

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Book Synopsis A risk-gain-sparsity optimization approach by : Alessandra Congedo

Download or read book A risk-gain-sparsity optimization approach written by Alessandra Congedo and published by Roma TrE-Press. This book was released on 2024-06-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Uno dei principi fondamentali dei modelli di selezione del portafoglio è la minimizzazione del rischio attraverso la diversificazione degli investimenti. Tuttavia, i benefici della diversificazione si riducono in presenza di un'elevata correlazione tra gli asset. È noto che la diversificazione attraverso l'uso di portafogli più ampi non è il modo migliore per ottenere un miglioramento della performance fuori campione. Inoltre, l'inclusione di un numero elevato di posizioni nel portafoglio aumenta i costi di gestione e di transazione. Mentre i modelli classici di selezione del portafoglio si concentrano sulla minimizzazione del rischio e sulla massimizzazione del rendimento, lo scopo di questo lavoro è quello di includere un terzo obiettivo: la norma-1. Ciò consente di selezionare portafogli sparsi, cioè con un numero limitato di attività, che sono più facili da gestire e consentono di ottenere buoni risultati in termini di rischio-rendimento. La nostra analisi empirica si basa su un dataset di riferimento disponibile pubblicamente e spesso utilizzato in letteratura. DOI: 10.13134/979-12-5977-332-6

Implementing Models in Quantitative Finance: Methods and Cases

Author : Gianluca Fusai
Publisher : Springer Science & Business Media
ISBN 13 : 3540499598
Total Pages : 606 pages
Book Rating : 4.5/5 (44 download)

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Book Synopsis Implementing Models in Quantitative Finance: Methods and Cases by : Gianluca Fusai

Download or read book Implementing Models in Quantitative Finance: Methods and Cases written by Gianluca Fusai and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 606 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.