Mathematical asset management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, N.J.
Wiley
2008
|
| Schlagworte: | |
| Online-Zugang: | Mathematical asset management Inhaltsverzeichnis |
| Beschreibung: | X, 222 S. graph. Darst. |
| ISBN: | 0470232870 9780470232873 |
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Datensatz im Suchindex
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| adam_text | MATHEMATICAL ASSET MANAGEMENT THOMAS HOGLUND TWILEY- INTERSCIENCE A
JOHN WILEY & SONS, INC., PUBLICATION CONTENTS PREFACE IX 1 INTEREST RATE
1 1.1 FLAT RATE 1 1.1.1 COMPOUND INTEREST 1 1.1.2 PRESENT VALUE 3 1.1.3
CASH STREAMS 3 1.1.4 EFFECTIVE RATE 4 1.1.5 BONDS 5 1.1.6 THE EFFECTIVE
RATE AS A MEASURE OF VALUATION 7 1.2 DEPENDENCE ON THE MATURITY DATE 8
1.2.1 ZERO-COUPON BONDS 8 1.2.2 ARBITRAGE-FREE CASH STREAMS 8 1.2.3 THE
ARBITRAGE THEOREM 9 1.2.4 THE MOVEMENTS OF THE INTEREST RATE CURVE 11
1.2.5 SENSITIVITY TO CHANGE OF RATES 13 VI CONTENTS 1.2.6 IMMUNIZATION
17 1.3 NOTES 20 2 FURTHER FINANCIAL INSTRUMENTS 21 2.1 STOCKS 21 2.1.1
EARNINGS, INTEREST RATE, AND STOCK PRICE 23 2.2 FORWARDS 26 2.3 OPTIONS
27 2.3.1 EUROPEAN OPTIONS 28 2.3.2 AMERICAN OPTIONS 31 2.3.3 OPTION
STRATEGIES 32 2.4 FURTHER EXERCISES 36 2.5 NOTES 36 3 TRADING STRATEGIES
37 3.1 TRADING STRATEGIES 37 3.1.1 MODEL ASSUMPTIONS 43 3.1.2 INTEREST
RATE 44 3.1.3 EXOTIC OPTIONS 44 3.2 AN ASYMPTOTIC RESULT 45 3.2.1 THE
MODEL OF COX, ROSS, AND RUBINSTEIN 45 3.2.2 AN ASYMPTOTIC RESULT 47 3.3
IMPLEMENTING TRADING STRATEGIES 48 3.3.1 PORTFOLIO INSURANCE 50 4
STOCHASTIC PROPERTIES OF STOCK PRICES 53 4.1 GROWTH 55 4.1.1 THE
DISTRIBUTION OF THE GROWTH 55 4.1.2 DRIFT AND VOLATILITY 60 4.1.3 THE
STABILITY OF THE VOLATILITY ESTIMATOR 63 4.2 RETURN 68 4.3 COVARIATION
70 4.3.1 THE ASYMPTOTIC DISTRIBUTION OF THE ESTIMATED COVARIANCE MATRIX
73 I, 5 TRADING STRATEGIES WITH CLOCK TIME HORIZON 75 5.1 CLOCK TIME
HORIZON 75 CONTENTS VLI 5.2 BLACK*SCHOLES PRICING FORMULAS 78 5.2.1
SENSITIVITY TO PERTURBATIONS 81 5.2.2 HEDGING A WRITTEN CALL 83 5.2.3
THREE OPTIONS STRATEGIES AGAIN 84 5.3 THE BLACK-SCHOLES EQUATION 86 5.4
TRADING STRATEGIES FOR SEVERAL ASSETS 90 5.4.1 AN UNSYMMETRICAL
FORMULATION 90 5.4.2 A SYMMETRICAL FORMULATION 92 5.4.3 EXAMPLES 94 5.5
NOTES 97 6 DIVERSIFICATION 99 6.1 RISK AND DIVERSIFICATION 100 6.1.1 THE
MINIMUM-VARIANCE PORTFOLIO 102 6.1.2 STABILITY OF THE ESTIMATES OF THE
WEIGHTS 106 6.2 GROWTH PORTFOLIOS 110 6.2.1 THE AUXILIARY PORTFOLIO 111
6.2.2 MAXIMAL DRIFT 112 6.2.3 CONSTRAINT ON PORTFOLIO VOLATILITY 113
6.2.4 CONSTRAINTS ON TOTAL STOCK WEIGHT 114 6.2.5 CONSTRAINTS ON TOTAL
STOCK WEIGHT AND VOLATILITY 116 6.2.6 THE EFFICIENT FRONTIER 117 6.2.7
SUMMARY 117 6.3 REBALANCING 118 6.3.1 THE PORTFOLIO AS A FUNCTION OF THE
STOCKS 119 6.3.2 EMPIRICAL VERIFICATION . 122 6.4 OPTIMAL PORTFOLIOS
WITH POSITIVE WEIGHTS 126 6.5 NOTES 128 7 COVARIATION WITH THE MARKET
129 7.1 BETA 130 7.1.1 THE MARKET 130 7.1.2 BETA VALUE 130 7.2
PORTFOLIOS RELATED TO THE MARKET 132 7.2.1 THE BETA PORTFOLIO 132 7.2.2
STABILITY OF THE ESTIMATES OF THE WEIGHTS 135 VIH CONTENTS 7.2.3 MARKET
NEUTRAL PORTFOLIOS 137 7.3 CAPITAL ASSET PRICING MODEL 138 7.3.1 THE
CAPM IDENTITY 138 7.3.2 CONSEQUENCES OF CAPM 141 7.3.3 THE MARKET
PORTFOLIO 147 7.4 NOTES 148 8 PERFORMANCE AND RISK MEASURES 149 8.1
PERFORMANCE MEASURES 149 8.2 RISK MEASURES 154 8.2.1 VALUE AT RISK 154
8.2.2 DOWNSIDE RISK 156 8.3 RISK ADJUSTMENT 158 9 SIMPLE COVARIATION 163
9.1 EQUAL CORRELATIONS 164 9.1.1 MATRIX CALCULATIONS 164 9.1.2 OPTIMAL
PORTFOLIOS 165 9.1.3 COMPARISON WITH THE GENERAL MODEL 167 9.1.4
POSITIVE WEIGHTS 168 9.2 MULTIPLICATIVE CORRELATIONS 171 9.2.1
UNIQUENESS OF THE PARAMETERS 172 9.2.2 MATRIX CALCULATIONS 172 9.2.3
PARAMETER ESTIMATION 173 9.2.4 OPTIMAL PORTFOLIOS 174 9.2.5 POSITIVE
WEIGHTS 175 9.3 NOTES 180 APPENDIX A: ANSWERS AND SOLUTIONS TO EXERCISES
181 REFERENCES 217 INDEX 219
|
| adam_txt |
MATHEMATICAL ASSET MANAGEMENT THOMAS HOGLUND TWILEY- 'INTERSCIENCE A
JOHN WILEY & SONS, INC., PUBLICATION CONTENTS PREFACE IX 1 INTEREST RATE
1 1.1 FLAT RATE 1 1.1.1 COMPOUND INTEREST 1 1.1.2 PRESENT VALUE 3 1.1.3
CASH STREAMS 3 1.1.4 EFFECTIVE RATE 4 1.1.5 BONDS 5 1.1.6 THE EFFECTIVE
RATE AS A MEASURE OF VALUATION 7 1.2 DEPENDENCE ON THE MATURITY DATE 8
1.2.1 ZERO-COUPON BONDS 8 1.2.2 ARBITRAGE-FREE CASH STREAMS 8 1.2.3 THE
ARBITRAGE THEOREM 9 1.2.4 THE MOVEMENTS OF THE INTEREST RATE CURVE 11
1.2.5 SENSITIVITY TO CHANGE OF RATES 13 VI CONTENTS 1.2.6 IMMUNIZATION
17 1.3 NOTES' 20 2 FURTHER FINANCIAL INSTRUMENTS 21 2.1 STOCKS 21 2.1.1
EARNINGS, INTEREST RATE, AND STOCK PRICE 23 2.2 FORWARDS 26 2.3 OPTIONS
27 2.3.1 EUROPEAN OPTIONS 28 2.3.2 AMERICAN OPTIONS 31 2.3.3 OPTION
STRATEGIES 32 2.4 FURTHER EXERCISES 36 2.5 NOTES 36 3 TRADING STRATEGIES
37 3.1 TRADING STRATEGIES 37 3.1.1 MODEL ASSUMPTIONS 43 3.1.2 INTEREST
RATE 44 3.1.3 EXOTIC OPTIONS 44 3.2 AN ASYMPTOTIC RESULT 45 3.2.1 THE
MODEL OF COX, ROSS, AND RUBINSTEIN 45 3.2.2 AN ASYMPTOTIC RESULT 47 3.3
IMPLEMENTING TRADING STRATEGIES 48 3.3.1 PORTFOLIO INSURANCE 50 4
STOCHASTIC PROPERTIES OF STOCK PRICES 53 4.1 GROWTH 55 4.1.1 THE
DISTRIBUTION OF THE GROWTH 55 4.1.2 DRIFT AND VOLATILITY 60 4.1.3 THE
STABILITY OF THE VOLATILITY ESTIMATOR 63 4.2 RETURN 68 4.3 COVARIATION
70 4.3.1 THE ASYMPTOTIC DISTRIBUTION OF THE ESTIMATED COVARIANCE MATRIX
73 I, 5 TRADING STRATEGIES WITH CLOCK TIME HORIZON 75 5.1 CLOCK TIME
HORIZON 75 CONTENTS VLI 5.2 BLACK*SCHOLES PRICING FORMULAS 78 5.2.1
SENSITIVITY TO PERTURBATIONS 81 5.2.2 HEDGING A WRITTEN CALL 83 5.2.3
THREE OPTIONS STRATEGIES AGAIN 84 5.3 THE BLACK-SCHOLES EQUATION 86 5.4
TRADING STRATEGIES FOR SEVERAL ASSETS 90 5.4.1 AN UNSYMMETRICAL
FORMULATION 90 5.4.2 A SYMMETRICAL FORMULATION 92 5.4.3 EXAMPLES 94 5.5
NOTES 97 6 DIVERSIFICATION 99 6.1 RISK AND DIVERSIFICATION 100 6.1.1 THE
MINIMUM-VARIANCE PORTFOLIO 102 6.1.2 STABILITY OF THE ESTIMATES OF THE
WEIGHTS 106 6.2 GROWTH PORTFOLIOS 110 6.2.1 THE AUXILIARY PORTFOLIO 111
6.2.2 MAXIMAL DRIFT 112 6.2.3 CONSTRAINT ON PORTFOLIO VOLATILITY 113
6.2.4 CONSTRAINTS ON TOTAL STOCK WEIGHT 114 6.2.5 CONSTRAINTS ON TOTAL
STOCK WEIGHT AND VOLATILITY 116 6.2.6 THE EFFICIENT FRONTIER 117 6.2.7
SUMMARY 117 6.3 REBALANCING 118 6.3.1 THE PORTFOLIO AS A FUNCTION OF THE
STOCKS 119 6.3.2 EMPIRICAL VERIFICATION . 122 6.4 OPTIMAL PORTFOLIOS
WITH POSITIVE WEIGHTS 126 6.5 NOTES 128 7 COVARIATION WITH THE MARKET
129 7.1 BETA 130 7.1.1 THE MARKET 130 7.1.2 BETA VALUE 130 7.2
PORTFOLIOS RELATED TO THE MARKET 132 7.2.1 THE BETA PORTFOLIO 132 7.2.2
STABILITY OF THE ESTIMATES OF THE WEIGHTS 135 VIH CONTENTS 7.2.3 MARKET
NEUTRAL PORTFOLIOS 137 7.3 CAPITAL ASSET PRICING MODEL 138 7.3.1 THE
CAPM IDENTITY 138 7.3.2 CONSEQUENCES OF CAPM 141 7.3.3 THE MARKET
PORTFOLIO 147 7.4 NOTES 148 8 PERFORMANCE AND RISK MEASURES 149 8.1
PERFORMANCE MEASURES 149 8.2 RISK MEASURES 154 8.2.1 VALUE AT RISK 154
8.2.2 DOWNSIDE RISK 156 8.3 RISK ADJUSTMENT 158 9 SIMPLE COVARIATION 163
9.1 EQUAL CORRELATIONS 164 9.1.1 MATRIX CALCULATIONS ' 164 9.1.2 OPTIMAL
PORTFOLIOS 165 9.1.3 COMPARISON WITH THE GENERAL MODEL 167 9.1.4
POSITIVE WEIGHTS 168 9.2 MULTIPLICATIVE CORRELATIONS 171 9.2.1
UNIQUENESS OF THE PARAMETERS 172 9.2.2 MATRIX CALCULATIONS 172 9.2.3
PARAMETER ESTIMATION 173 9.2.4 OPTIMAL PORTFOLIOS 174 9.2.5 POSITIVE
WEIGHTS 175 9.3 NOTES 180 APPENDIX A: ANSWERS AND SOLUTIONS TO EXERCISES
181 REFERENCES 217 INDEX 219 |
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| spellingShingle | Höglund, Thomas Mathematical asset management Mathematisches Modell Derivative securities Mathematical models Investment analysis Mathematical models Risk management Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4121590-4 (DE-588)4114528-8 (DE-588)4006432-3 |
| title | Mathematical asset management |
| title_auth | Mathematical asset management |
| title_exact_search | Mathematical asset management |
| title_exact_search_txtP | Mathematical asset management |
| title_full | Mathematical asset management Thomas Höglund |
| title_fullStr | Mathematical asset management Thomas Höglund |
| title_full_unstemmed | Mathematical asset management Thomas Höglund |
| title_short | Mathematical asset management |
| title_sort | mathematical asset management |
| topic | Mathematisches Modell Derivative securities Mathematical models Investment analysis Mathematical models Risk management Mathematical models Derivat Wertpapier (DE-588)4381572-8 gnd Risikomanagement (DE-588)4121590-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Mathematisches Modell Derivative securities Mathematical models Investment analysis Mathematical models Risk management Mathematical models Derivat Wertpapier Risikomanagement Bibliografie |
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