Linear factor models in finance:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Oxford
Elsevier/Butterworth-Heinemann
2005
|
| Schriftenreihe: | Quantitative finance series
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling. Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives. The book develops the building blocks for one of the most important theories of asset pricing - Linear Factor Modelling. Within this framework, we can include other asset pricing theories such as the Capital Asset Pricing Model (CAPM), arbitrage pricing theory and various pricing formulae for derivatives and option prices. As a bare minimum, the reader of this book must have a working knowledge of basic calculus, simple optimisation and elementary statistics. In particular, the reader must be comfortable with the algebraic manipulation of means, variances (and covariances) of linear combination(s) of random variables. Some topics may require a greater mathematical sophistication. * Covers the latest methods in this area. * Combines actual quantitative finance experience with analytical research rigour * Written by both quantitative analysts and academics who work in this area Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al Includes bibliographical references and index |
| Beschreibung: | 1 Online-Ressource (xiv, 282 p.) |
| ISBN: | 9780750660068 0750660066 0080455328 9780080455327 |
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| 500 | |a Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al | ||
| 500 | |a Includes bibliographical references and index | ||
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Datensatz im Suchindex
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| dewey-full | 332.015118 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.015118 |
| dewey-search | 332.015118 |
| dewey-sort | 3332.015118 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| spelling | Knight, John L. Verfasser aut Linear factor models in finance John Knight and Stephen Satchell Oxford Elsevier/Butterworth-Heinemann 2005 1 Online-Ressource (xiv, 282 p.) txt rdacontent c rdamedia cr rdacarrier Quantitative finance series The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling. Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives. The book develops the building blocks for one of the most important theories of asset pricing - Linear Factor Modelling. Within this framework, we can include other asset pricing theories such as the Capital Asset Pricing Model (CAPM), arbitrage pricing theory and various pricing formulae for derivatives and option prices. As a bare minimum, the reader of this book must have a working knowledge of basic calculus, simple optimisation and elementary statistics. In particular, the reader must be comfortable with the algebraic manipulation of means, variances (and covariances) of linear combination(s) of random variables. Some topics may require a greater mathematical sophistication. * Covers the latest methods in this area. * Combines actual quantitative finance experience with analytical research rigour * Written by both quantitative analysts and academics who work in this area Review of the literature on multifactor asset pricing, M. Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S. Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al Includes bibliographical references and index BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Finance Mathematical models Faktorenanalyse (DE-588)4016338-6 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Finanzwirtschaft (DE-588)4017214-4 s Faktorenanalyse (DE-588)4016338-6 s 2\p DE-604 Satchell, S. Sonstige oth http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=117156 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Knight, John L. Linear factor models in finance BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Finance Mathematical models Faktorenanalyse (DE-588)4016338-6 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| subject_GND | (DE-588)4016338-6 (DE-588)4017214-4 (DE-588)4143413-4 |
| title | Linear factor models in finance |
| title_auth | Linear factor models in finance |
| title_exact_search | Linear factor models in finance |
| title_full | Linear factor models in finance John Knight and Stephen Satchell |
| title_fullStr | Linear factor models in finance John Knight and Stephen Satchell |
| title_full_unstemmed | Linear factor models in finance John Knight and Stephen Satchell |
| title_short | Linear factor models in finance |
| title_sort | linear factor models in finance |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Mathematisches Modell Wirtschaft Finance Mathematical models Faktorenanalyse (DE-588)4016338-6 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Mathematisches Modell Wirtschaft Finance Mathematical models Faktorenanalyse Finanzwirtschaft Aufsatzsammlung |
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