| Description |
1 online resource (1 volume) : illustrations |
| Bibliography |
Includes bibliographical references and index. |
| Contents |
Title Page; Copyright; About the Editor; Contributors; Preface; TOPIC CATEGORIES; Guide to the Encyclopedia of Financial€Models; ORGANIZATION; Asset Allocation; Mean-Variance Model for Portfolio Selection; SOME BASIC CONCEPTS; MEASURING A PORTFOLIO'S EXPECTED RETURN; MEASURING PORTFOLIO RISK; PORTFOLIO DIVERSIFICATION; CHOOSING A PORTFOLIO OF RISKY ASSETS; ROBUST PORTFOLIO OPTIMIZATION; KEY POINTS; NOTES; REFERENCES; Principles of Optimization for Portfolio Selection; UNCONSTRAINED OPTIMIZATION; CONSTRAINED OPTIMIZATION; KEY POINTS; REFERENCES. |
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Asset Allocation and Portfolio Construction Techniques in Designing the Performance-Seeking PortfolioTHE TANGENCY PORTFOLIO AS THE RATIONALE BEHIND SHARPE RATIO MAXIMIZATION; ROBUST ESTIMATORS FOR COVARIANCE PARAMETERS; ROBUST ESTIMATORS FOR EXPECTED RETURNS; IMPLICATIONS FOR BENCHMARK PORTFOLIO CONSTRUCTION; ASSET ALLOCATION MODELING: PUTTING THE EFFICIENT BUILDING BLOCKS TOGETHER; KEY POINTS; NOTES; REFERENCES; Asset Pricing Models; General Principles of Asset Pricing; ONE-PERIOD FINITE STATE ECONOMY; PORTFOLIOS AND MARKET COMPLETENESS; THE LAW OF ONE PRICE AND LINEAR PRICING. |
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ARBITRAGE AND POSITIVE STATE PRICINGTHE FUNDAMENTAL THEOREM OF ASSET PRICING; DISCOUNT FACTOR MODELS; STOCHASTIC DISCOUNT FACTORS; KEY POINTS; REFERENCES; Capital Asset Pricing Models; INTRODUCTION; SHARPE-LINTNER CAPM; ROY CAPM; CONFUSIONS REGARDING THE CAPM; TWO MEANINGS OF MARKET EFFICIENCY; CAPM INVESTORS DO NOT GET PAID FOR BEARING RISK; THE "TWO BETA" TRAP; KEY POINTS; NOTES; REFERENCES; Modeling Asset Price Dynamics; FINANCIAL TIME SERIES; BINOMIAL TREES; ARITHMETIC RANDOM WALKS; GEOMETRIC RANDOM WALKS; MEAN REVERSION; ADVANCED RANDOM WALK MODELS; STOCHASTIC PROCESSES; KEY POINTS. |
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EQUIVALENT MARTINGALE MEASURES AND COMPLETE MARKETSEQUIVALENT MARTINGALE MEASURES AND STATE PRICES; ARBITRAGE PRICING WITH A PAYOFF RATE; IMPLICATIONS OF THE ABSENCE OF ARBITRAGE; WORKING WITH EQUIVALENT MARTINGALE MEASURES; KEY POINTS; NOTES; REFERENCES; Bayesian Analysis and Financial Modeling Applications; Basic Principles of Bayesian Analysis; THE LIKELIHOOD FUNCTION; BAYES' THEOREM; KEY POINTS; NOTES; REFERENCES; Introduction to Bayesian Inference; PRIOR INFORMATION; POSTERIOR INFERENCE; BAYESIAN PREDICTIVE INFERENCE; ILLUSTRATION: POSTERIOR TRADE-OFF AND THE NORMAL MEAN PARAMETER. |
| Summary |
An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals--ranging from finance professionals to academics and students--understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries--touching on everything from asset pricing and bond valuation models to trading cost models and volatility--and provides readers with a balanced understanding of today's dynamic world of financial modeling. This 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling Each volume includes a complete table of contents and index for easy access to various parts of the encyclopedia Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective. |
| Subject |
Investments -- Management -- Encyclopedias.
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Portfolio management -- Encyclopedias.
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Investments -- Encyclopedias.
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Investissements -- Encyclopédies. |
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Gestion de portefeuille -- Encyclopédies. |
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Investments -- Management |
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Portfolio management |
| Genre |
Encyclopedias
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| Added Author |
Fabozzi, Frank J.
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| ISBN |
9781118539859 (electronic bk.) |
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1118539850 (electronic bk.) |
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