Professional Investment Portfolio Management: Boosting Performance with Machine-Made Portfolios and Stock Market Evidence
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham
Palgrave Macmillan
[2023]
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | xxx, 255 Seiten Illustrationen |
| ISBN: | 9783031481680 |
Internformat
MARC
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| 100 | 1 | |a Kolari, James W. |d 1951- |e Verfasser |0 (DE-588)124735878 |4 aut | |
| 245 | 1 | 0 | |a Professional Investment Portfolio Management |b Boosting Performance with Machine-Made Portfolios and Stock Market Evidence |c James W. Kolari, Wei Liu, Seppo Pynnönen |
| 264 | 1 | |a Cham |b Palgrave Macmillan |c [2023] | |
| 300 | |a xxx, 255 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Capital Markets | |
| 650 | 4 | |a Investment Appraisal | |
| 650 | 4 | |a Corporate Finance | |
| 650 | 4 | |a Risk Management | |
| 650 | 4 | |a Capital market | |
| 650 | 4 | |a Valuation | |
| 650 | 4 | |a Business enterprises / Finance | |
| 650 | 4 | |a Financial risk management | |
| 700 | 1 | |a Liu, Wei |e Verfasser |4 aut | |
| 700 | 1 | |a Pynnönen, Seppo |e Verfasser |0 (DE-588)170326837 |4 aut | |
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| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-035521913 | |
Datensatz im Suchindex
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Contents Part I I Part II 2 Introduction Portfolio Theory and Practice 1.1 The Two-Step Portfolio Process 1.2 Real World Portfolio Analyses 1.3 New Investment Parabola Insights 1.4 A New Approach to Finding Efficient Portfolios 1.5 Summary Appendix: Optimal Weights for Many Assets References 3 3 7 14 18 19 20 22 Previous Asset Pricing Models General Equilibrium Asset Pricing Models 2.1 The Present Value Formula 2.2 The САРМ 2.2.1 Existence of a Riskless Asset 2.2.2 Capital Market Line 2.2.3 Deriving the CAPM 2.2.4 Security Market Line 2.3 The Market Model 2.3- 1 Early CAPM Tests 2.3- 2Investment Portfolio Implications 2.4 The Zero-Beta CAPM 2.4.1 Investment Portfolio Implications 27 27 28 28 29 30 32 32 33 34 35 37 xi
xii 3 Contents 2.5 Alternative CAPM Forms 2.6 Road Map of General Equilibrium Models 2.7 Summary References 38 39 40 40 Multifactor Asset Pricing Models 3.1 Arbitrage Pricing Theory 3.2 Fama and French Three-Factor Model 3-3 The Factor Zoo and Multifactor Models З.З.1 Carhart Four-Factor Model З.З.2 Hou, Xue, and Zhang Four-Factor Model З.З.З Stambaugh and Yuan Four-Factor Mispricing Model 3.3.4 Fama and French Five-Factor Model З.З.З Fama and French Six-Factor Model 3.3.6 Machine Learning Models 3.4 Roadmap of Multifactor Models 3.4.1 Investment Portfolio Implications 3.5 Summary References 43 43 44 46 46 47 Part HI 4 5 47 48 48 49 50 51 53 54 The ZCAPM 59 59 59 A New Asset Pricing Model: The ZCAPM 4.1 Theoretical ZCAPM 4.1.1 Markowitz Investment Parabola 4.1.2 Derivation of the ZCAPM Equilibrium Relation 4.2 Graphical Depictions of the ZCAPM 4.2.1 Beta Risk and Zeta Risk in the ZCAPM 4.2.2 Architecture of the Investment Parabola and the ZCAPM 4.3 Summary References 61 63 64 The Empirical ZCAPM 5.I Specification of the Empirical ZCAPM 5-2 Cross-Sectional Test Methodology 5.З Cross-Sectional Test Results 5.4 Portfolio Implications of the ZCAPM 5.5 Recognition of the Empirical ZCAPM 5.6 Summary References 71 71 73 75 81 86 90 92 65 67 68
Contents Part IV 6 Portfolio Performance Portfolio Performance Measures 6.1 Return Metrics 6.2 Performance Comparison 6.2.1 Sharpe Ratio 6.2.2 Manipulation-Proof Performance Measure 6.2.3 Treynor Measure 6.2.4 Jensens Alpha 6.2.5 Market Timing 6.2.6 Value at Risk 6.2.7 Drawdown 6.3 Summary References Part V χίίί 97 97 101 102 103 104 105 105 106 113 116 117 Building Stock Portfolios with the ZCAPM 7 Building the Global Minimum Variance Portfolio G 7.1 Previous Literature 7.2 Global Minimum Variance Portfolio 7.2.1 Mechanics of Building Portfolio G 7.2.2 Second Stage Portfolios 7.3 Empirical Results for the G Portfolio 7.3.1 Overall Sample G Results 7.3.2 Top 3,000 Sample G Results 7.4 Summary References 8 Net Long Portfolio Performance Analyses 8.1 Background Discussion 8.2 Empirical Methods 8.2.1 Review of the ZCAPM 8.3 Building Net Long PortfoliosUsing the ZCAPM 8.4 Empirical Results 8.4.1 Net Long Portfolios in the Analysis Period 8.4.2 Net Long Portfolios for Subperiods 8.5 Summary Appendix: Long-Short Portfolios Based on Zeta Risk Levels References 123 123 126 127 128 136 137 142 143 146 149 149 150 152 154 157 157 159 163 165 166
xiv Contents 9 Net Long Portfolio Risk Analyses 9.1 GRS Risk Metrics 9-2 Value at Risk Metrics 9-3 Drawdown Risk Metrics 9.4 Summary References 169 169 174 174 187 188 10 Long Only Efficient Portfolios 10.1 Empirical Methods 10.1.1 Building Long Only Portfolios 10.2 Empirical Results 10.2.1 Long Only Zeta Risk Portfolios 10.2.2 Long Only Beta Risk Portfolios 10.3 Summary References 191 191 193 194 195 196 202 205 11 The Beta-Zeta Risk Architecture of the Mean-Variance Parabola 11.1 Empirical Methods 11.1.1 Building Long Only Portfolios 11.2 Empirical Results 11.2.1 Zeta-Beta Risk Portfolios 11.2.2 Beta-Zeta Risk Portfolios 11.2.3 Subperiod Results for Beta Risk and Zeta Risk Portfolios 11.2.4 Results After Dropping High Idiosyncratic Risk Stocks 11.3 Summary References 12 Mutual Fund Portfolios 12.1 Empirical Methods 12.1.1Building Mutual Fund Portfolios 12.2 Empirical Results 12.2.1 Mutual Fund Portfolios Sorted on Zeta Risk 12.2.2 Mutual Fund Portfolios Sorted on Beta Risk 12.3 Summary References 207 207 209 210 210 212 212 216 217 222 225 225 227 229 229 230 233 234
Contents Part VI 13 XV Conclusion The Future of Investment Practice, Artificial Intelligence, and Machine Learning 237 13.1 Asset Pricing Discussion 237 13.2 The ZCAPM and Investment Practice 239 13.3 Implications of Artificial Intelligence and Machine Learning 244 References 245 Index 249 |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV050186280 |
| illustrated | Illustrated |
| indexdate | 2025-04-11T10:01:40Z |
| institution | BVB |
| isbn | 9783031481680 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-035521913 |
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| physical | xxx, 255 Seiten Illustrationen |
| publishDate | 2023 |
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| publisher | Palgrave Macmillan |
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| spelling | Kolari, James W. 1951- Verfasser (DE-588)124735878 aut Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence James W. Kolari, Wei Liu, Seppo Pynnönen Cham Palgrave Macmillan [2023] xxx, 255 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises / Finance Financial risk management Liu, Wei Verfasser aut Pynnönen, Seppo Verfasser (DE-588)170326837 aut Erscheint auch als Online-Ausgabe 978-3-031-48169-7 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=035521913&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kolari, James W. 1951- Liu, Wei Pynnönen, Seppo Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises / Finance Financial risk management |
| title | Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence |
| title_auth | Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence |
| title_exact_search | Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence |
| title_full | Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence James W. Kolari, Wei Liu, Seppo Pynnönen |
| title_fullStr | Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence James W. Kolari, Wei Liu, Seppo Pynnönen |
| title_full_unstemmed | Professional Investment Portfolio Management Boosting Performance with Machine-Made Portfolios and Stock Market Evidence James W. Kolari, Wei Liu, Seppo Pynnönen |
| title_short | Professional Investment Portfolio Management |
| title_sort | professional investment portfolio management boosting performance with machine made portfolios and stock market evidence |
| title_sub | Boosting Performance with Machine-Made Portfolios and Stock Market Evidence |
| topic | Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises / Finance Financial risk management |
| topic_facet | Capital Markets Investment Appraisal Corporate Finance Risk Management Capital market Valuation Business enterprises / Finance Financial risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=035521913&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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