Quantitative Methods For Portfolio And Analysis

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Quantitative Methods for Portfolio Analysis

Author : T. Kariya
Publisher : Springer Science & Business Media
ISBN 13 : 9401117217
Total Pages : 321 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Quantitative Methods for Portfolio Analysis by : T. Kariya

Download or read book Quantitative Methods for Portfolio Analysis written by T. Kariya and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 321 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for: (1) `Quants' (quantitatively-inclined analysts) in financial industries; (2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems; (3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and (4) 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, with practical analysis, models for Japanese financial markets.

Quantitative Equity Portfolio Management

Author : Ludwig B Chincarini
Publisher : McGraw Hill Professional
ISBN 13 : 9780071492386
Total Pages : 658 pages
Book Rating : 4.4/5 (923 download)

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Book Synopsis Quantitative Equity Portfolio Management by : Ludwig B Chincarini

Download or read book Quantitative Equity Portfolio Management written by Ludwig B Chincarini and published by McGraw Hill Professional. This book was released on 2010-08-18 with total page 658 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.

Quantitative Investment Analysis

Author : Richard A. DeFusco
Publisher : John Wiley & Sons
ISBN 13 : 1119104602
Total Pages : 635 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Quantitative Investment Analysis by : Richard A. DeFusco

Download or read book Quantitative Investment Analysis written by Richard A. DeFusco and published by John Wiley & Sons. This book was released on 2015-10-15 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use of statistics within the context of finance and investment. With equal focus on theoretical concepts and their practical applications, this approachable resource offers features, such as learning outcome statements, that are targeted at helping you understand, retain, and apply the information you have learned. Throughout the text's chapters, you explore a wide range of topics, such as the time value of money, discounted cash flow applications, common probability distributions, sampling and estimation, hypothesis testing, and correlation and regression. Applying quantitative analysis to the investment process is an important task for investment pros and students. A reference that provides even subject matter treatment, consistent mathematical notation, and continuity in topic coverage will make the learning process easier—and will bolster your success. Explore the materials you need to apply quantitative analysis to finance and investment data—even if you have no previous knowledge of this subject area Access updated content that offers insight into the latest topics relevant to the field Consider a wide range of subject areas within the text, including chapters on multiple regression, issues in regression analysis, time-series analysis, and portfolio concepts Leverage supplemental materials, including the companion Workbook and Instructor's Manual, sold separately Quantitative Investment Analysis, Third Edition is a fundamental resource that covers the wide range of quantitative methods you need to know in order to apply quantitative analysis to the investment process.

Quantitative Methods for Investment Analysis

Author : Richard Armand DeFusco
Publisher : Ingram
ISBN 13 :
Total Pages : 776 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Quantitative Methods for Investment Analysis by : Richard Armand DeFusco

Download or read book Quantitative Methods for Investment Analysis written by Richard Armand DeFusco and published by Ingram. This book was released on 2004 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed for use in the CFA program or by investment professionals, this textbook provides a guide to applying quantitative analysis to the investment process. From the perspective of an investment generalist, it covers the knowledge, skills, and abilities needed to utilize quantitative methods. Chapters address the time value of money, discounted cash flow applications, market returns, statistical concepts, probability concepts, probability distributions, sampling and estimation, hypothesis testing, correlation and regression, time series analysis, and portfolio concepts. The authors are CFAs affiliated with universities or private companies. c. Book News Inc.

Quantitative Equity Portfolio Management

Author : Edward E. Qian
Publisher : CRC Press
ISBN 13 : 1420010794
Total Pages : 462 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Quantitative Equity Portfolio Management by : Edward E. Qian

Download or read book Quantitative Equity Portfolio Management written by Edward E. Qian and published by CRC Press. This book was released on 2007-05-11 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

Quantitative Methods for Portfolio Analysis

Author : T Kariya
Publisher :
ISBN 13 : 9789401117227
Total Pages : 326 pages
Book Rating : 4.1/5 (172 download)

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Book Synopsis Quantitative Methods for Portfolio Analysis by : T Kariya

Download or read book Quantitative Methods for Portfolio Analysis written by T Kariya and published by . This book was released on 1993-05-31 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Applied Quantitative Methods for Trading and Investment

Author : Christian L. Dunis
Publisher : John Wiley & Sons
ISBN 13 : 0470871342
Total Pages : 426 pages
Book Rating : 4.4/5 (78 download)

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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

Quantitative Portfolio Management

Author : Pierre Brugière
Publisher : Springer Nature
ISBN 13 : 3030377407
Total Pages : 212 pages
Book Rating : 4.0/5 (33 download)

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Book Synopsis Quantitative Portfolio Management by : Pierre Brugière

Download or read book Quantitative Portfolio Management written by Pierre Brugière and published by Springer Nature. This book was released on 2020-03-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.

Quantitative methods for portfolio and analysis

Author : Takeaki Kariya (author)
Publisher :
ISBN 13 : 9780792922544
Total Pages : 308 pages
Book Rating : 4.9/5 (225 download)

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Book Synopsis Quantitative methods for portfolio and analysis by : Takeaki Kariya (author)

Download or read book Quantitative methods for portfolio and analysis written by Takeaki Kariya (author) and published by . This book was released on with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Quantitative Management of Bond Portfolios

Author : Lev Dynkin
Publisher : Princeton University Press
ISBN 13 : 069120277X
Total Pages : 998 pages
Book Rating : 4.6/5 (912 download)

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Book Synopsis Quantitative Management of Bond Portfolios by : Lev Dynkin

Download or read book Quantitative Management of Bond Portfolios written by Lev Dynkin and published by Princeton University Press. This book was released on 2020-05-26 with total page 998 pages. Available in PDF, EPUB and Kindle. Book excerpt: The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.

Market Risk Analysis, Quantitative Methods in Finance

Author : Carol Alexander
Publisher : John Wiley & Sons
ISBN 13 : 047077102X
Total Pages : 318 pages
Book Rating : 4.4/5 (77 download)

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Book Synopsis Market Risk Analysis, Quantitative Methods in Finance by : Carol Alexander

Download or read book Market Risk Analysis, Quantitative Methods in Finance written by Carol Alexander and published by John Wiley & Sons. This book was released on 2008-04-30 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by leading market risk academic, Professor Carol Alexander, Quantitative Methods in Finance forms part one of the Market Risk Analysis four volume set. Starting from the basics, this book helps readers to take the first step towards becoming a properly qualified financial risk manager and asset manager, roles that are currently in huge demand. Accessible to intelligent readers with a moderate understanding of mathematics at high school level or to anyone with a university degree in mathematics, physics or engineering, no prior knowledge of finance is necessary. Instead the emphasis is on understanding ideas rather than on mathematical rigour, meaning that this book offers a fast-track introduction to financial analysis for readers with some quantitative background, highlighting those areas of mathematics that are particularly relevant to solving problems in financial risk management and asset management. Unique to this book is a focus on both continuous and discrete time finance so that Quantitative Methods in Finance is not only about the application of mathematics to finance; it also explains, in very pedagogical terms, how the continuous time and discrete time finance disciplines meet, providing a comprehensive, highly accessible guide which will provide readers with the tools to start applying their knowledge immediately. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Principal component analysis of European equity indices; Calibration of Student t distribution by maximum likelihood; Orthogonal regression and estimation of equity factor models; Simulations of geometric Brownian motion, and of correlated Student t variables; Pricing European and American options with binomial trees, and European options with the Black-Scholes-Merton formula; Cubic spline fitting of yields curves and implied volatilities; Solution of Markowitz problem with no short sales and other constraints; Calculation of risk adjusted performance metrics including generalised Sharpe ratio, omega and kappa indices.

Quantitative Investment Analysis

Author : Richard A. DeFusco
Publisher : John Wiley & Sons
ISBN 13 : 1118044789
Total Pages : 576 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis Quantitative Investment Analysis by : Richard A. DeFusco

Download or read book Quantitative Investment Analysis written by Richard A. DeFusco and published by John Wiley & Sons. This book was released on 2011-01-06 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Second Edition of Quantitative Investment Analysis, financial experts Richard DeFusco, Dennis McLeavey, Jerald Pinto, and David Runkle outline the tools and techniques needed to understand and apply quantitative methods to today's investment process. Now, in Quantitative Investment Analysis Workbook, Second Edition, they offer you a wealth of practical information and exercises that will further enhance your understanding of this discipline. This essential study guide--which parallels the main book chapter by chapter--contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews. If you're looking to successfully navigate today's dynamic investment environment, the lessons found within these pages can show you how. Topics reviewed include: The time value of money Discounted cash flow Probability distributions Sampling and estimation Hypothesis testing Multiple regression Time-series analysis And much more

Quantitative Methods for Finance and Investments

Author : John Teall
Publisher : John Wiley & Sons
ISBN 13 : 1405141840
Total Pages : 296 pages
Book Rating : 4.4/5 (51 download)

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Book Synopsis Quantitative Methods for Finance and Investments by : John Teall

Download or read book Quantitative Methods for Finance and Investments written by John Teall and published by John Wiley & Sons. This book was released on 2009-02-04 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Methods for Finance and Investments ensures that readers come away from reading it with a reasonable degree of comfort and proficiency in applying elementary mathematics to several types of financial analysis. All of the methodology in this book is geared toward the development, implementation, and analysis of financial models to solve financial problems.

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

Author : M. Rasmussen
Publisher : Springer
ISBN 13 : 0230512852
Total Pages : 453 pages
Book Rating : 4.2/5 (35 download)

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Book Synopsis Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by : M. Rasmussen

Download or read book Quantitative Portfolio Optimisation, Asset Allocation and Risk Management written by M. Rasmussen and published by Springer. This book was released on 2002-12-13 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

Risk and Portfolio Analysis

Author : Henrik Hult
Publisher : Springer Science & Business Media
ISBN 13 : 146144103X
Total Pages : 343 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Risk and Portfolio Analysis by : Henrik Hult

Download or read book Risk and Portfolio Analysis written by Henrik Hult and published by Springer Science & Business Media. This book was released on 2012-07-20 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment and risk management problems are fundamental problems for financial institutions and involve both speculative and hedging decisions. A structured approach to these problems naturally leads one to the field of applied mathematics in order to translate subjective probability beliefs and attitudes towards risk and reward into actual decisions. In Risk and Portfolio Analysis the authors present sound principles and useful methods for making investment and risk management decisions in the presence of hedgeable and non-hedgeable risks using the simplest possible principles, methods, and models that still capture the essential features of the real-world problems. They use rigorous, yet elementary mathematics, avoiding technically advanced approaches which have no clear methodological purpose and are practically irrelevant. The material progresses systematically and topics such as the pricing and hedging of derivative contracts, investment and hedging principles from portfolio theory, and risk measurement and multivariate models from risk management are covered appropriately. The theory is combined with numerous real-world examples that illustrate how the principles, methods, and models can be combined to approach concrete problems and to draw useful conclusions. Exercises are included at the end of the chapters to help reinforce the text and provide insight. This book will serve advanced undergraduate and graduate students, and practitioners in insurance, finance as well as regulators. Prerequisites include undergraduate level courses in linear algebra, analysis, statistics and probability.

Quantitative Portfolio Management

Author : Michael Isichenko
Publisher : John Wiley & Sons
ISBN 13 : 1119821215
Total Pages : 306 pages
Book Rating : 4.1/5 (198 download)

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Book Synopsis Quantitative Portfolio Management by : Michael Isichenko

Download or read book Quantitative Portfolio Management written by Michael Isichenko and published by John Wiley & Sons. This book was released on 2021-09-10 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.

EQUITY MANAGEMENT QUANTITIVE ANALYSIS

Author : Bruce I. Jacobs
Publisher : McGraw Hill Professional
ISBN 13 : 9780071371339
Total Pages : 428 pages
Book Rating : 4.3/5 (713 download)

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Book Synopsis EQUITY MANAGEMENT QUANTITIVE ANALYSIS by : Bruce I. Jacobs

Download or read book EQUITY MANAGEMENT QUANTITIVE ANALYSIS written by Bruce I. Jacobs and published by McGraw Hill Professional. This book was released on 2000 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing. About the Authors: Bruce I. Jacobs and Kenneth N. Levy are Principals of Jacobs Levy Equity Management. Based in Florham Park, New Jersey, Jacobs Levy Equity Management is widely recognized as a leading provider of quantitative equity strategies for institutional clients. Jacobs Levy currently manages over $15 billion in various strategies for a prestigious global roster of 50 corporate pension plans, public retirement systems, multi-employer funds, endowments, and foundations, including over 25 of Pensions & Investments' "Top 200 Pension Funds/Sponsors." Bruce I. Jacobs holds a PhD in finance from the Wharton School of the University of Pennsylvania. He is the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes and co-editor, with Ken Levy, of Market Neutral Strategies. He serves on the advisory board of the Journal of Portfolio Management. Kenneth N. Levy holds an MBA and an MA in applied economics from the Wharton School of the University of Pennsylvania. He is co-editor, with Bruce Jacobs, of Market Neutral Strategies. A Chartered Financial Analyst, he has served on the CFA Institute's candidate curriculum committee and on the advisory board of POSIT.