Financial modeling of the equity market: from CAPM to cointegration
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, NJ
Wiley
2006
|
| Series: | Frank J. Fabozzi series
Wiley finance |
| Subjects: | |
| Online Access: | Publisher description Contributor biographical information Table of contents only Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XX, 651 S. graph. Darst. |
| ISBN: | 0471699004 9780471699002 |
Staff View
MARC
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| 245 | 1 | 0 | |a Financial modeling of the equity market |b from CAPM to cointegration |c Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2006 | |
| 300 | |a XX, 651 S. |b graph. Darst. | ||
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| 490 | 0 | |a Wiley finance | |
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Record in the Search Index
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| adam_text |
Preface xiii
Acknowledgments xvii
About the Authors xix
CHAPTER 1
Introduction 1
Historical Perspective on the Financial Modeling of the Equity Market 1
Central Themes of the Book 8
Organization of the Book 9
PART ONE
Portfolio Allocation: Classical Theory and Modern Extensions 13
CHAPTER 2
Mean Variance Analysis and Modern Portfolio Theory 15
The Benefits of Diversification 17
Mean Variance Analysis: Overview 19
Classical Framework for Mean Variance Optimization 22
The Capital Market Line 34
Selection of the Optimal Portfolio When there Is a Risk Free Asset 40
More on Utility Functions: A General Framework for Portfolio Choice 42
Summary 48
CHAPTER 3
Transaction and Trading Costs 51
A Taxonomy of Transaction Costs S2
Liquidity and Transaction Costs 60
Market Impact Measurements and Fmpirical Findings 6 i
Forecasting and Modeling Market Impact 68
Incorporating Transaction Costs in Asset Allocation Models ~4
Optimal Trading SO
vii
yjjj Contents
Integrated Portfolio Management:
Beyond Expected Return and Portfolio Risk 82
Summary 85
CHAPTER 4
Applying the Portfolio Selection Framework in Practice 87
Rebalancing in the Mean Variance Optimization Framework 88
Portfolio Constraints Commonly Used in Practice 100
Summary 113
CHAPTER 5
Incorporating Higher Moments and Extreme Risk Measures 115
Dispersion and Downside Measures 116
Portfolio Selection with Higher Moments through Expansions of Utility 131
Polynomial Goal Programming for Portfolio
Optimization with Higher Moments 139
Some Remarks on the Estimation of Higher Moments 141
The Approach of Malevergne and Sornerte 142
Summary 147
CHAPTER 6
Mathematical and Numerical Optimization 149
Mathematical Programming 150
Necessary Conditions for Optimality for
Continuous Optimization Problems 158
How Do Optimization Algorithms Work? 159
Optimization Software 176
Practical Considerations when Using Optimization Software 180
Summary 187
PART TWO
Managing Uncertainty in Practice 189
CHAPTER 7
Equity Price Models 191
Definitions 191
Theoretical and Econometric Models 193
Random Walk Models 194
General Equilibrium Theories 207
Capital Asset Pricing Model (CAPM) 208
Arbitrage Pricing Theory (APT) 212
Summary 213
Contents iX
CHAPTER 8
Forecasting Expected Return and Risk 215
Dividend Discount and Residual Income Valuation Models 217
The Sample Mean and Covariance Estimator 222
Random Matrices 231
Arbitrage Pricing Theory and Factor Models 234
Factor Models in Practice 241
Factor Models in Practice: An Example 245
Other Approaches to Volatility Estimation 259
Application to Investment Strategies and Proprietary Trading 264
Summary 265
CHAPTER 9
Robust Frameworks for Estimation and Portfolio Allocation 267
Robust Frameworks for Estimation and Portfolio Allocation 267
Practical Problems Encountered in Mean Variance Optimization 269
Shrinkage Estimation 275
Bayesian Approaches 281
Incorporating Estimation Error and Uncertainty in the
Portfolio Allocation Process 304
Summary 318
PART THREE
Dynamic Models for Equity Prices 321
CHAPTER 10
Feedback and Predictors in Stock Markets 323
Random Walk Models and Their Shortcomings 323
Time Diversification j3]
A Multiagent Economy: Effects of Agent Heterogeneity and Interactions 339
Market Predictors 343
Time Aggregation 345
Summary 345
CHAPTER 11
Individual Price Processes: Univariate Models 347
Time Series Concepts 348
Digression on White Noise and Martingale Difference Sequences 350
The Lag Operator L 353
Univariate Autoregressive Moving Average (ARMA) Models 353
Stationarity Conditions 354
Auto Correlations at Different Lags 357
Solutions of an AR(p) Process 358
X Contents
MA(g) Moving Average Models 362
ARMA(p,q) Models 363
Integrated Processes 364
Summary 365
CHAPTER 12
Multivariate Models 367
Dynamic Models: A Historical Perspective 368
Vector Auto regressive Models 370
Vector Autoregressive Moving Average Models (VARMA) 385
Distributional Properties 386
Cointegration 386
Stochastic and Deterministic Cointegration 392
Common Trends 393
Error Correction Models 395
Forecasting with VAR Models 396
State Space Models 397
Autoregressive Distributed Lag Models 399
Dynamic Factor Models 402
The ARCH/GARCH Family of Models 402
Nonlinear Markov Switching Models 404
Summary 405
CHAPTER 13
Model Selection and its Pitfalls 407
Model Selection and Estimation 407
The (Machine) Learning Approach to Model Selection 410
Sample Size and Model Complexity 415
Dangerous Patterns of Behavior 419
Data Snooping 424
Survivorship Biases and Other Sample Defects 426
Moving Training Windows 428
Model Risk 430
Model Selection in a Nutshell 431
Summary 433
PART FOUR
Model Estimation amd Model Risk Mitigation 437
CHAPTER 14
Estimation of Regression Models 439
Probability Theory and Statistics 439
Populations of Prices and Returns 442
Contents Xi
Estimation at Work 444
Estimators 445
Sampling Distributions 446
Critical Values and Confidence Intervals 450
Maximum Likelihood, OLS, and Regressions 450
The Fisher Information Matrix and the Cramer Rao Bound 453
Regressions 454
Linear Regressions 456
Sampling Distributions of Regressions 464
Relaxing the Normality and Uncorrelated Noise Assumptions 468
Pitfalls of Regressions 469
The Method of Moments and its Generalizations 471
Summary 475
CHAPTER 15
Estimation of Linear Dynamic Models 477
An Approach to Estimation 477
Unit Root Testing 478
Estimation of Linear Regression Models 479
Estimation of Stable Vector Autoregressive (VAR) Models 482
Estimating the Number of Lags 499
Autocorrelation and Distributional Properties of Residuals 501
Stationary Autoregressive Distributed Lag Models 502
Applying Stable VAR Processes to Financial Econometrics 503
Stationary Dynamic Factor Models 506
Estimation of Nonstationary VAR Models 509
Estimation with Canonical Correlations 520
Estimation with Principal Component Analysis 521
Estimation with the Eigenvalues of the Companion Matrix 523
Estimation with Subspace Methods and Dynamic Factor Analysis 524
Application of Cointegration Methods to the Analysis of Predictors 524
Summary 525
CHAPTER 16
Estimation of Hidden Variable Models 529
Estimation of State Space Models 530
Estimation of Factor Analytic Models 543
Estimation Methods for Markov Switching Models 546
Applications 548
Summary 552
CHAPTER 17
Model Risk and its Mitigation 555
Sources of Model Risk 555
The Information Theory Approach to Model Risk 558
Xii Contents
Bayesian Modeling 563
Model Averaging and the Shrinkage Approach to Model Risk 573
Random Coefficients Models 574
Summary 575
APPENDICES 577
APPENDIX A
Difference Equations 579
Homogeneous Difference Equations 579
Nonhomogeneous Difference Equations 588
Systems of Linear Difference Equations 594
Systems of Homogeneous Linear Difference Equations 595
APPENDIX B
Correlations, Regressions, and Copulas 603
Probability Density Function, Marginal Density, and Conditional Density 603
Expectations and Conditional Expectations 604
Variances, Covariances, and Correlations 606
Normal Distributions 608
Regression 610
Multivariate Extension 612
Multiple and Multivariate Regressions 613
Canonical Correlations 615
Copula Functions 616
APPENDIX C
Data Description 619
INDEX 629 |
| adam_txt |
Preface xiii
Acknowledgments xvii
About the Authors xix
CHAPTER 1
Introduction 1
Historical Perspective on the Financial Modeling of the Equity Market 1
Central Themes of the Book 8
Organization of the Book 9
PART ONE
Portfolio Allocation: Classical Theory and Modern Extensions 13
CHAPTER 2
Mean Variance Analysis and Modern Portfolio Theory 15
The Benefits of Diversification 17
Mean Variance Analysis: Overview 19
Classical Framework for Mean Variance Optimization 22
The Capital Market Line 34
Selection of the Optimal Portfolio When there Is a Risk Free Asset 40
More on Utility Functions: A General Framework for Portfolio Choice 42
Summary 48
CHAPTER 3
Transaction and Trading Costs 51
A Taxonomy of Transaction Costs S2
Liquidity and Transaction Costs 60
Market Impact Measurements and Fmpirical Findings 6 i
Forecasting and Modeling Market Impact 68
Incorporating Transaction Costs in Asset Allocation Models ~4
Optimal Trading SO
vii
yjjj Contents
Integrated Portfolio Management:
Beyond Expected Return and Portfolio Risk 82
Summary 85
CHAPTER 4
Applying the Portfolio Selection Framework in Practice 87
Rebalancing in the Mean Variance Optimization Framework 88
Portfolio Constraints Commonly Used in Practice 100
Summary 113
CHAPTER 5
Incorporating Higher Moments and Extreme Risk Measures 115
Dispersion and Downside Measures 116
Portfolio Selection with Higher Moments through Expansions of Utility 131
Polynomial Goal Programming for Portfolio
Optimization with Higher Moments 139
Some Remarks on the Estimation of Higher Moments 141
The Approach of Malevergne and Sornerte 142
Summary 147
CHAPTER 6
Mathematical and Numerical Optimization 149
Mathematical Programming 150
Necessary Conditions for Optimality for
Continuous Optimization Problems 158
How Do Optimization Algorithms Work? 159
Optimization Software 176
Practical Considerations when Using Optimization Software 180
Summary 187
PART TWO
Managing Uncertainty in Practice 189
CHAPTER 7
Equity Price Models 191
Definitions 191
Theoretical and Econometric Models 193
Random Walk Models 194
General Equilibrium Theories 207
Capital Asset Pricing Model (CAPM) 208
Arbitrage Pricing Theory (APT) 212
Summary 213
Contents iX
CHAPTER 8
Forecasting Expected Return and Risk 215
Dividend Discount and Residual Income Valuation Models 217
The Sample Mean and Covariance Estimator 222
Random Matrices 231
Arbitrage Pricing Theory and Factor Models 234
Factor Models in Practice 241
Factor Models in Practice: An Example 245
Other Approaches to Volatility Estimation 259
Application to Investment Strategies and Proprietary Trading 264
Summary 265
CHAPTER 9
Robust Frameworks for Estimation and Portfolio Allocation 267
Robust Frameworks for Estimation and Portfolio Allocation 267
Practical Problems Encountered in Mean Variance Optimization 269
Shrinkage Estimation 275
Bayesian Approaches 281
Incorporating Estimation Error and Uncertainty in the
Portfolio Allocation Process 304
Summary 318
PART THREE
Dynamic Models for Equity Prices 321
CHAPTER 10
Feedback and Predictors in Stock Markets 323
Random Walk Models and Their Shortcomings 323
Time Diversification j3]
A Multiagent Economy: Effects of Agent Heterogeneity and Interactions 339
Market Predictors 343
Time Aggregation 345
Summary 345
CHAPTER 11
Individual Price Processes: Univariate Models 347
Time Series Concepts 348
Digression on White Noise and Martingale Difference Sequences 350
The Lag Operator L 353
Univariate Autoregressive Moving Average (ARMA) Models 353
Stationarity Conditions 354
Auto Correlations at Different Lags 357
Solutions of an AR(p) Process 358
X Contents
MA(g) Moving Average Models 362
ARMA(p,q) Models 363
Integrated Processes 364
Summary 365
CHAPTER 12
Multivariate Models 367
Dynamic Models: A Historical Perspective 368
Vector Auto regressive Models 370
Vector Autoregressive Moving Average Models (VARMA) 385
Distributional Properties 386
Cointegration 386
Stochastic and Deterministic Cointegration 392
Common Trends 393
Error Correction Models 395
Forecasting with VAR Models 396
State Space Models 397
Autoregressive Distributed Lag Models 399
Dynamic Factor Models 402
The ARCH/GARCH Family of Models 402
Nonlinear Markov Switching Models 404
Summary 405
CHAPTER 13
Model Selection and its Pitfalls 407
Model Selection and Estimation 407
The (Machine) Learning Approach to Model Selection 410
Sample Size and Model Complexity 415
Dangerous Patterns of Behavior 419
Data Snooping 424
Survivorship Biases and Other Sample Defects 426
Moving Training Windows 428
Model Risk 430
Model Selection in a Nutshell 431
Summary 433
PART FOUR
Model Estimation amd Model Risk Mitigation 437
CHAPTER 14
Estimation of Regression Models 439
Probability Theory and Statistics 439
Populations of Prices and Returns 442
Contents Xi
Estimation at Work 444
Estimators 445
Sampling Distributions 446
Critical Values and Confidence Intervals 450
Maximum Likelihood, OLS, and Regressions 450
The Fisher Information Matrix and the Cramer Rao Bound 453
Regressions 454
Linear Regressions 456
Sampling Distributions of Regressions 464
Relaxing the Normality and Uncorrelated Noise Assumptions 468
Pitfalls of Regressions 469
The Method of Moments and its Generalizations 471
Summary 475
CHAPTER 15
Estimation of Linear Dynamic Models 477
An Approach to Estimation 477
Unit Root Testing 478
Estimation of Linear Regression Models 479
Estimation of Stable Vector Autoregressive (VAR) Models 482
Estimating the Number of Lags 499
Autocorrelation and Distributional Properties of Residuals 501
Stationary Autoregressive Distributed Lag Models 502
Applying Stable VAR Processes to Financial Econometrics 503
Stationary Dynamic Factor Models 506
Estimation of Nonstationary VAR Models 509
Estimation with Canonical Correlations 520
Estimation with Principal Component Analysis 521
Estimation with the Eigenvalues of the Companion Matrix 523
Estimation with Subspace Methods and Dynamic Factor Analysis 524
Application of Cointegration Methods to the Analysis of Predictors 524
Summary 525
CHAPTER 16
Estimation of Hidden Variable Models 529
Estimation of State Space Models 530
Estimation of Factor Analytic Models 543
Estimation Methods for Markov Switching Models 546
Applications 548
Summary 552
CHAPTER 17
Model Risk and its Mitigation 555
Sources of Model Risk 555
The Information Theory Approach to Model Risk 558
Xii Contents
Bayesian Modeling 563
Model Averaging and the Shrinkage Approach to Model Risk 573
Random Coefficients Models 574
Summary 575
APPENDICES 577
APPENDIX A
Difference Equations 579
Homogeneous Difference Equations 579
Nonhomogeneous Difference Equations 588
Systems of Linear Difference Equations 594
Systems of Homogeneous Linear Difference Equations 595
APPENDIX B
Correlations, Regressions, and Copulas 603
Probability Density Function, Marginal Density, and Conditional Density 603
Expectations and Conditional Expectations 604
Variances, Covariances, and Correlations 606
Normal Distributions 608
Regression 610
Multivariate Extension 612
Multiple and Multivariate Regressions 613
Canonical Correlations 615
Copula Functions 616
APPENDIX C
Data Description 619
INDEX 629 |
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| id | DE-604.BV022365397 |
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| index_date | 2024-07-02T17:05:02Z |
| indexdate | 2024-07-20T07:58:58Z |
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| series2 | Frank J. Fabozzi series Wiley finance |
| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Financial modeling of the equity market from CAPM to cointegration Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm Hoboken, NJ Wiley 2006 XX, 651 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Frank J. Fabozzi series Wiley finance Includes bibliographical references and index Mathematisches Modell Stocks Mathematical models Portfolio management Mathematical models Modell (DE-588)4039798-1 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Modell (DE-588)4039798-1 s DE-604 Focardi, Sergio Sonstige oth Kolm, Petter N. Sonstige oth http://www.loc.gov/catdir/enhancements/fy0645/2006295820-d.html Publisher description http://www.loc.gov/catdir/enhancements/fy0653/2006295820-b.html Contributor biographical information http://www.loc.gov/catdir/enhancements/fy0658/2006295820-t.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015574660&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fabozzi, Frank J. 1948- Financial modeling of the equity market from CAPM to cointegration Mathematisches Modell Stocks Mathematical models Portfolio management Mathematical models Modell (DE-588)4039798-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| subject_GND | (DE-588)4039798-1 (DE-588)4029578-3 |
| title | Financial modeling of the equity market from CAPM to cointegration |
| title_auth | Financial modeling of the equity market from CAPM to cointegration |
| title_exact_search | Financial modeling of the equity market from CAPM to cointegration |
| title_exact_search_txtP | Financial modeling of the equity market from CAPM to cointegration |
| title_full | Financial modeling of the equity market from CAPM to cointegration Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| title_fullStr | Financial modeling of the equity market from CAPM to cointegration Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| title_full_unstemmed | Financial modeling of the equity market from CAPM to cointegration Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| title_short | Financial modeling of the equity market |
| title_sort | financial modeling of the equity market from capm to cointegration |
| title_sub | from CAPM to cointegration |
| topic | Mathematisches Modell Stocks Mathematical models Portfolio management Mathematical models Modell (DE-588)4039798-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd |
| topic_facet | Mathematisches Modell Stocks Mathematical models Portfolio management Mathematical models Modell Kapitalmarkt |
| url | http://www.loc.gov/catdir/enhancements/fy0645/2006295820-d.html http://www.loc.gov/catdir/enhancements/fy0653/2006295820-b.html http://www.loc.gov/catdir/enhancements/fy0658/2006295820-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015574660&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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