Quantitative methods for portfolio analysis: MTV model approach
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Dordrecht u.a.
Kluwer
1993
|
| Series: | [Theory and decision library / B]
23 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | X, 308 S. graph. Darst. |
| ISBN: | 0792322541 |
Staff View
MARC
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| 245 | 1 | 0 | |a Quantitative methods for portfolio analysis |b MTV model approach |c by Takeaki Kariya |
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| 650 | 7 | |a Wiskundige modellen |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Portfolio management -- Mathematical models | |
| 650 | 4 | |a Investment analysis -- Mathematical models | |
| 650 | 4 | |a Time-series analysis | |
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Record in the Search Index
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| adam_text | CONTENTS
Preface vi i
PART I QUANTITATIVE MODELS FOR PORTFOLIO ANALYSIS
Chapter 1 Quantitative Approach to Asset Allocation 1
1. The aim of this book (1) 2. Demand for variability
and for quants portfolio construction system (3)
3. Modern portfolio theory (MPT) and quants (9)
Chapter 2 Empirical Features of Financial Returns 15
1. Introduction (15) 2. Random walk and
nonnormality (19) 3. Nonindependent and
nonlinear features of a return process (24)
Chapter 3 Univariate Financial Time Series Models 33
1. Modelling financial time series (33)
2. Stationarity, trend and return (35)
3. Taylor model (41) 4. ARCH model (44)
5. Some other nonlinear models (51)
Chapter 4 Multivariate Financial Time Series Models 58
1. Multifactor models (58) 2. A review on some
basic multivariate time series models (59) 3. State
space approach and Kalman Filter model (65)
4. Some special multifactor models (75)
Chapter 5 MTV Model and Its Applications •* 83
1. Introduction (83) 2. Theoretical foundation
of MTV model (84) 3. How to use the MTV model and
estimation (90) 4. MTV exchange rate analysis (95)
5. Prediction of stock prices (101)
PART n QUANTITATIVE ASSET ALLOCATION SYSTEMS
Chapter 6 Quantitative Portfolio Construction Procedures 108
1. A comprehensive asset allocation (108)
2. Basic notation and concept (113)
3. Markowitz theory and its implications (116)
4. Mathematical structure of asset allocation (123)
Chapter 7 Multifactor Models and their Applications 130
1. Introduction (130) 2. CAPM (131) 3. APT
(Arbitrage pricing theory) (139) 4. Two multifactor
models in Japan (146) 5. Regression MTV model (152)
Chapter 8 B. Rosenberg Models and their Applications 159
1. Market model portfolio (159) 2. Time varying
coefficient models (162) 3. Prediction of future
returns and risk (164) 4. A model in Japan (169)
5. Convergent parameter model (174)
vi CONTENTS
Chapter 9 Selection of Portfolio Population 177
1. Introduction (177) 2. Information coefficient
(IC) for selection of a portfolio population (179)
3. Classification procedure (181) 4. Robust
classification analysis (189)
Chapter 10 Optimal MTV Market Portfolio 195
1. MTV MP system (195) 2. Extraction of
common market components and selection of a target
population (196) 3. Optimal MTV portfolio (200)
4. Prediction errors in MTV model (203)
Chapter 11 Index Portfolio and Canonical
Correlation Portfolio 205
1. Basic concept of index portfolio (205)
2. MTV Index portfolio (207) 3. Cluster analysis
for grouping (209) 4. Index plus a premium minus
jS risk historical portfolio (212) 5. Canonical
correlation portfolio (215)
PART ffl STATISTICAL APPROACH TO OPTION PRICING AND BOND PRICING ^
Chapter 12 Black Scholes Option Theory and
Its Applications 220
1. Introduction (220) 2. Black Scholes option
pricing formula (224) 3. Basic formulae for BS
option portfolios (231) 4. Portfolio insurance (235)
5. Estimation of volatilities (239)
Chapter 13 Practical Option Pricing and Related Topics 242
1. Practical option pricing (242) 2. Gram Charlier
option pricing (245) 3. Practical option pricing
under a Taylor model and under an ARCH model (249)
4. Fractional Brownian motion and option pricing (254)
5. Asian options (260)
Chapter 14 Statistical Bond Pricing Models 263
1. Introduction (263) 2. Basic structure of bond
analysis (264) 3. Market spot rate function (266)
4. Market spot rate function of zero coupon bond (270)
5. Statistical model for market discount function of
coupon bonds (275) 6. Prediction of market discount
function (278) 7. Duration in our statistical models (278)
Appendix 283
References 295
Index 305
|
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| dewey-sort | 3332.6 11 251 220 |
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| spelling | Kariya, Takeaki Verfasser aut Quantitative methods for portfolio analysis MTV model approach by Takeaki Kariya Dordrecht u.a. Kluwer 1993 X, 308 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier [Theory and decision library / B] 23 Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Matematica larpcal Portfolio-analyse gtt Série chronologique Wiskundige modellen gtt Mathematisches Modell Portfolio management -- Mathematical models Investment analysis -- Mathematical models Time-series analysis Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Quantitative Methode (DE-588)4232139-6 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Quantitative Methode (DE-588)4232139-6 s Portfolio Selection (DE-588)4046834-3 s DE-188 B] [Theory and decision library 23 (DE-604)BV000021513 23 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=005275241&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kariya, Takeaki Quantitative methods for portfolio analysis MTV model approach Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Matematica larpcal Portfolio-analyse gtt Série chronologique Wiskundige modellen gtt Mathematisches Modell Portfolio management -- Mathematical models Investment analysis -- Mathematical models Time-series analysis Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Quantitative Methode (DE-588)4232139-6 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4115601-8 (DE-588)4114528-8 (DE-588)4232139-6 |
| title | Quantitative methods for portfolio analysis MTV model approach |
| title_auth | Quantitative methods for portfolio analysis MTV model approach |
| title_exact_search | Quantitative methods for portfolio analysis MTV model approach |
| title_full | Quantitative methods for portfolio analysis MTV model approach by Takeaki Kariya |
| title_fullStr | Quantitative methods for portfolio analysis MTV model approach by Takeaki Kariya |
| title_full_unstemmed | Quantitative methods for portfolio analysis MTV model approach by Takeaki Kariya |
| title_short | Quantitative methods for portfolio analysis |
| title_sort | quantitative methods for portfolio analysis mtv model approach |
| title_sub | MTV model approach |
| topic | Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Matematica larpcal Portfolio-analyse gtt Série chronologique Wiskundige modellen gtt Mathematisches Modell Portfolio management -- Mathematical models Investment analysis -- Mathematical models Time-series analysis Portfolio Selection (DE-588)4046834-3 gnd Portfoliomanagement (DE-588)4115601-8 gnd Mathematisches Modell (DE-588)4114528-8 gnd Quantitative Methode (DE-588)4232139-6 gnd |
| topic_facet | Analyse financière - Modèles mathématiques Gestion de portefeuille - Modèles mathématiques Matematica Portfolio-analyse Série chronologique Wiskundige modellen Mathematisches Modell Portfolio management -- Mathematical models Investment analysis -- Mathematical models Time-series analysis Portfolio Selection Portfoliomanagement Quantitative Methode |
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