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Quantitative Methods for Portfolio Analysis: MTV Model Approach: v. 23 (Theory and Decision Library) - Hardcover

Kariya, Takeaki

 
9780792322542: Quantitative Methods for Portfolio Analysis: MTV Model Approach: v. 23 (Theory and Decision Library)
Hardcover
ISBN 10: 0792322541 ISBN 13: 9780792322542
Publisher: Kluwer Academic Publishers, 1993

Synopsis

Preface. Part I: Quantitative Models for Portfolio Analysis. 1. Quantitative Approach to Asset Allocation. 2. Empirical Features of Financial Returns. 3. Univariate Financial Time Series Models. 4. Multivariate Financial Time Series Models. 5. MTV Model and its Applications. Part II: Quantitative Asset Allocation Systems. 6. Quantitative Portfolio Construction Procedures. 7. Multifactor Models and their Applications. 8. B. Rosenberg Models and their Applications. 9. Selection of Portfolio Population. 10. Optimal MTV Market Portfolio. 11. Index Portfolio and Canonical Correlation Portfolio. Part II: Statistical Approach to Option Pricing and Bond Pricing. 12. Black-Scholes Option Theory and its Applications. 13. Practical Option Pricing and Related Topics. 14. Statistical Bond Pricing Models. Appendix. References. Index.

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Review

` ... exceptional contribution to advanced portfolio analysis and optimization. ... strong theoretical contribution ... to the field ... covers a broad array of models and methods and gives step-by-step instructions and examples on some significant models. ... consider it as part of your research and reference library.'
Interfaces, 26:2 (1996)

"About this title" may belong to another edition of this title.

Publisher
Kluwer Academic Publishers
Publication date
1993
Language
English
ISBN 10 
0792322541
ISBN 13 
9780792322542
Binding
Hardcover
Number of pages
324