Finance's wrong turns: a new foundation for financial markets, asset management, and social science
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
palgrave macmillan
[2023]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xx, 138 Seiten |
| ISBN: | 9783031218620 |
Internformat
MARC
| LEADER | 00000nam a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV048803146 | ||
| 003 | DE-604 | ||
| 005 | 20230310 | ||
| 007 | t | ||
| 008 | 230207s2023 |||| 00||| eng d | ||
| 020 | |a 9783031218620 |9 978-3-031-21862-0 | ||
| 035 | |a (OCoLC)1372485834 | ||
| 035 | |a (DE-599)BVBBV048803146 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 | ||
| 082 | 0 | |a 330.01 |2 23 | |
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 084 | |a WIR 000 |2 stub | ||
| 100 | 1 | |a Michaud, Richard O. |e Verfasser |0 (DE-588)1031928782 |4 aut | |
| 245 | 1 | 0 | |a Finance's wrong turns |b a new foundation for financial markets, asset management, and social science |c Richard O. Michaud |
| 264 | 1 | |a Cham |b palgrave macmillan |c [2023] | |
| 300 | |a xx, 138 Seiten | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Behavioral Finance | |
| 650 | 4 | |a Investment Appraisal | |
| 650 | 4 | |a Financial Economics | |
| 650 | 4 | |a Financial Technology and Innovation | |
| 650 | 4 | |a Quantitative Economics | |
| 650 | 4 | |a Economics—Psychological aspects | |
| 650 | 4 | |a Valuation | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Financial engineering | |
| 650 | 4 | |a Econometrics | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-3-031-21863-7 |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034069242&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-034069242 | ||
Datensatz im Suchindex
| _version_ | 1804184879565373440 |
|---|---|
| adam_text | Contents 1 The Birth of Modern Finance Rational Investing Birth of Modern Finance The Markowitz MV Efficient Frontier A Different Narrative The Critical Line Algorithm Scientific Investment Management Well-Defined Investment Programs—A Technical Note References 1 1 2 3 4 5 6 7 7 2 Capital Market Theory and Efficient Markets Capital Asset Pricing Model (CAPM) CAPM Utility Assumptions CAPM Formulas CAPM Status Practical Implications Efficient Markets Hypothesis An Academy-Workbench Truce References 9 9 10 11 12 13 14 14 15 3 Rise of Institutional Quantitative Asset Management The Institutional Asset Management Framework The Sharpe (1963) Market Line Model The Importance of Beta 17 18 19 20 xiii
xiv Contents Institutional Quantitative Equity Portfolio Practice Ross APT Risk Model Fama-French Risk Model Principal Component Analysis Risk Models Long-Short MV Optimization The Index Fund Question Roll (1992) Critique Mertons (1987) Information Cost MV Efficiency Institutional Quantitative Return Estimation Long-Term Factors and Practical Value The Dividend Discount Model (DDM) Testing the DDM Multiple Valuation Models A Forward Test Modern Statistical Estimation Hensel et al. (1991) and the Manager Irrelevance Fallacy Institutional Active Management Status References 22 23 23 24 25 26 26 27 27 28 30 31 32 33 35 35 36 37 4 Finance Theory in Crisis CAPM Theory Redux VM Rationality Framework The Allais Paradox Kahneman and Tversky Gains and Losses Roots in the 1930s Crisis in Mathematics Resolutions Consilience Conclusion References 39 40 41 42 44 45 47 48 49 49 5 The Crisis at the Workbench Markowitz Optimization as the Institutional Standard A Simple Example Operations Research and Investment Management Demonstrating MV Optimization Instability Comment on the JK Simulation Framework Fundamental Implications of the JK Experiment Black-Litterman Optimization Out-of-Sample Linear Constrained MV Optimization Information Level, Universe Size, and the Fundamental Law Markowitz’s Revenge 53 53 55 57 58 59 60 61 62 62 64
Contents XV The Role of the Market Portfolio in Theory and Practice Summary Appendix References 65 67 67 68 6 The Michaud Efficient Frontier and Expected Utility Instability in Markowitz MV Optimization Min and Max Michaud Efficient Portfolios The Equal-Return-Rank (ERR) Algorithm The Michaud Frontier in Theory Michaud Better Diversification? A Foundation for Portfolio Resampling Back Test Limitations Efficient Frontier Simulation Tests The Markowitz-Usmen Challenge Different Levels of Investment Information Investment Uncertainty The Necessity of the Forecast Uncertainty Parameter Can Michaud Optimization Fail A Distribution-Free Mean-Variance Efficient Frontier Expected Utility and the Michaud Efficient Frontier Markowitz 2005 Efficient Frontier Triangle Michaud Is not Markowitz Summary References 71 72 73 74 75 76 77 78 79 81 82 83 84 84 85 86 88 89 90 90 7 An Enhanced Investment Process Portfolio Rebalancing in Practice Portfolio Statistical Similarity A Practical Portfolio Similarity Test Similarity Test Enhancements Note on Simulation Research A Note on Optimization and Multivariate Linear Regression Simulation and Optimized Portfolio Analysis Trade Advisor Enhancements Implications for Asset Management References 93 93 94 95 95 98 99 99 101 102 102 103
Contents xvi 8 A New Foundation for Financial Markets and Social Science Knight Uncertainty Keynes Speculative Markets Markowitz (1952) and Investing Norms The Prisoners Dilemma Multiperiod Character of Cooperative Social Norms Social Norm Stability Pure Coordination Games Rationality Local Market Equilibrium Stock Market Evolutionary Norms Sources for Financial Conventions Negative and Positive Feedback Markets Fair Exchange Liquid Market Rationality The Stock Market as a Unique Financial Intermediary Investor Risk Aversion Security Relative Valuation Statistical Nature of Evolutionary Social Markets Conclusions Summary References 105 106 107 108 109 109 110 111 112 113 114 114 116 116 117 118 118 119 119 120 121 Epilogue 123 References 127 Index 135
|
| adam_txt |
Contents 1 The Birth of Modern Finance Rational Investing Birth of Modern Finance The Markowitz MV Efficient Frontier A Different Narrative The Critical Line Algorithm Scientific Investment Management Well-Defined Investment Programs—A Technical Note References 1 1 2 3 4 5 6 7 7 2 Capital Market Theory and Efficient Markets Capital Asset Pricing'Model (CAPM) CAPM Utility Assumptions CAPM Formulas CAPM Status Practical Implications Efficient Markets Hypothesis An Academy-Workbench Truce References 9 9 10 11 12 13 14 14 15 3 Rise of Institutional Quantitative Asset Management The Institutional Asset Management Framework The Sharpe (1963) Market Line Model The Importance of Beta 17 18 19 20 xiii
xiv Contents Institutional Quantitative Equity Portfolio Practice Ross APT Risk Model Fama-French Risk Model Principal Component Analysis Risk Models Long-Short MV Optimization The Index Fund Question Roll (1992) Critique Mertons (1987) Information Cost MV Efficiency Institutional Quantitative Return Estimation Long-Term Factors and Practical Value The Dividend Discount Model (DDM) Testing the DDM Multiple Valuation Models A Forward Test Modern Statistical Estimation Hensel et al. (1991) and the Manager Irrelevance Fallacy Institutional Active Management Status References 22 23 23 24 25 26 26 27 27 28 30 31 32 33 35 35 36 37 4 Finance Theory in Crisis CAPM Theory Redux VM Rationality Framework The Allais Paradox Kahneman and Tversky Gains and Losses Roots in the 1930s Crisis in Mathematics Resolutions Consilience Conclusion References 39 40 41 42 44 45 47 48 49 49 5 The Crisis at the Workbench Markowitz Optimization as the Institutional Standard A Simple Example Operations Research and Investment Management Demonstrating MV Optimization Instability Comment on the JK Simulation Framework Fundamental Implications of the JK Experiment Black-Litterman Optimization Out-of-Sample Linear Constrained MV Optimization Information Level, Universe Size, and the Fundamental Law Markowitz’s Revenge 53 53 55 57 58 59 60 61 62 62 64
Contents XV The Role of the Market Portfolio in Theory and Practice Summary Appendix References 65 67 67 68 6 The Michaud Efficient Frontier and Expected Utility Instability in Markowitz MV Optimization Min and Max Michaud Efficient Portfolios The Equal-Return-Rank (ERR) Algorithm The Michaud Frontier in Theory Michaud Better Diversification? A Foundation for Portfolio Resampling Back Test Limitations Efficient Frontier Simulation Tests The Markowitz-Usmen Challenge Different Levels of Investment Information Investment Uncertainty The Necessity of the Forecast Uncertainty Parameter Can Michaud Optimization Fail A Distribution-Free Mean-Variance Efficient Frontier Expected Utility and the Michaud Efficient Frontier Markowitz 2005 Efficient Frontier Triangle Michaud Is not Markowitz Summary References 71 72 73 74 75 76 77 78 79 81 82 83 84 84 85 86 88 89 90 90 7 An Enhanced Investment Process Portfolio Rebalancing in Practice Portfolio Statistical Similarity A Practical Portfolio Similarity Test Similarity Test Enhancements Note on Simulation Research A Note on Optimization and Multivariate Linear Regression Simulation and Optimized Portfolio Analysis Trade Advisor Enhancements Implications for Asset Management References 93 93 94 95 95 98 99 99 101 102 102 103
Contents xvi 8 A New Foundation for Financial Markets and Social Science Knight Uncertainty Keynes Speculative Markets Markowitz (1952) and Investing Norms The Prisoners Dilemma Multiperiod Character of Cooperative Social Norms Social Norm Stability Pure Coordination Games Rationality Local Market Equilibrium Stock Market Evolutionary Norms Sources for Financial Conventions Negative and Positive Feedback Markets Fair Exchange Liquid Market Rationality The Stock Market as a Unique Financial Intermediary Investor Risk Aversion Security Relative Valuation Statistical Nature of Evolutionary Social Markets Conclusions Summary References 105 106 107 108 109 109 110 111 112 113 114 114 116 116 117 118 118 119 119 120 121 Epilogue 123 References 127 Index 135 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Michaud, Richard O. |
| author_GND | (DE-588)1031928782 |
| author_facet | Michaud, Richard O. |
| author_role | aut |
| author_sort | Michaud, Richard O. |
| author_variant | r o m ro rom |
| building | Verbundindex |
| bvnumber | BV048803146 |
| classification_rvk | QK 600 |
| classification_tum | WIR 000 |
| ctrlnum | (OCoLC)1372485834 (DE-599)BVBBV048803146 |
| dewey-full | 330.01 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.01 |
| dewey-search | 330.01 |
| dewey-sort | 3330.01 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01617nam a2200433zc 4500</leader><controlfield tag="001">BV048803146</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20230310 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">230207s2023 |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9783031218620</subfield><subfield code="9">978-3-031-21862-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1372485834</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048803146</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">330.01</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 000</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Michaud, Richard O.</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1031928782</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Finance's wrong turns</subfield><subfield code="b">a new foundation for financial markets, asset management, and social science</subfield><subfield code="c">Richard O. Michaud</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cham</subfield><subfield code="b">palgrave macmillan</subfield><subfield code="c">[2023]</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xx, 138 Seiten</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Behavioral Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Investment Appraisal</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial Economics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial Technology and Innovation</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantitative Economics</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics—Psychological aspects</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Valuation</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Financial engineering</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Econometrics</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield><subfield code="z">978-3-031-21863-7</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034069242&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-034069242</subfield></datafield></record></collection> |
| id | DE-604.BV048803146 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:28:22Z |
| indexdate | 2024-07-10T09:46:21Z |
| institution | BVB |
| isbn | 9783031218620 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034069242 |
| oclc_num | 1372485834 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR |
| owner_facet | DE-355 DE-BY-UBR |
| physical | xx, 138 Seiten |
| publishDate | 2023 |
| publishDateSearch | 2023 |
| publishDateSort | 2023 |
| publisher | palgrave macmillan |
| record_format | marc |
| spelling | Michaud, Richard O. Verfasser (DE-588)1031928782 aut Finance's wrong turns a new foundation for financial markets, asset management, and social science Richard O. Michaud Cham palgrave macmillan [2023] xx, 138 Seiten txt rdacontent n rdamedia nc rdacarrier Behavioral Finance Investment Appraisal Financial Economics Financial Technology and Innovation Quantitative Economics Economics—Psychological aspects Valuation Finance Financial engineering Econometrics Erscheint auch als Online-Ausgabe 978-3-031-21863-7 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034069242&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Michaud, Richard O. Finance's wrong turns a new foundation for financial markets, asset management, and social science Behavioral Finance Investment Appraisal Financial Economics Financial Technology and Innovation Quantitative Economics Economics—Psychological aspects Valuation Finance Financial engineering Econometrics |
| title | Finance's wrong turns a new foundation for financial markets, asset management, and social science |
| title_auth | Finance's wrong turns a new foundation for financial markets, asset management, and social science |
| title_exact_search | Finance's wrong turns a new foundation for financial markets, asset management, and social science |
| title_exact_search_txtP | Finance's wrong turns a new foundation for financial markets, asset management, and social science |
| title_full | Finance's wrong turns a new foundation for financial markets, asset management, and social science Richard O. Michaud |
| title_fullStr | Finance's wrong turns a new foundation for financial markets, asset management, and social science Richard O. Michaud |
| title_full_unstemmed | Finance's wrong turns a new foundation for financial markets, asset management, and social science Richard O. Michaud |
| title_short | Finance's wrong turns |
| title_sort | finance s wrong turns a new foundation for financial markets asset management and social science |
| title_sub | a new foundation for financial markets, asset management, and social science |
| topic | Behavioral Finance Investment Appraisal Financial Economics Financial Technology and Innovation Quantitative Economics Economics—Psychological aspects Valuation Finance Financial engineering Econometrics |
| topic_facet | Behavioral Finance Investment Appraisal Financial Economics Financial Technology and Innovation Quantitative Economics Economics—Psychological aspects Valuation Finance Financial engineering Econometrics |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034069242&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT michaudrichardo financeswrongturnsanewfoundationforfinancialmarketsassetmanagementandsocialscience |