Portfolio Construction and Analytics.
Frank J. Fabozzi
Bok Engelsk 2016 · Electronic books.
| Omfang | 1 online resource (603 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- The Frank J. Fabozzi Series -- Title Page -- Copyright -- Table of Contents -- Dedication -- Preface -- Central Themes -- Software -- Teaching -- Disclosure -- About the Authors -- Acknowledgments -- Chapter 1: Introduction to Portfolio Management and Analytics -- 1.1 Asset Classes and the Asset Allocation Decision -- 1.2 The Portfolio Management Process -- 1.3 Traditional versus Quantitative Asset Management -- 1.4 Overview of Portfolio Analytics -- 1.5 Outline of Topics Covered in the Book -- Part One: Statistical Models of Risk and Uncertainty -- Chapter 2: Random Variables, Probability Distributions, and Important Statistical Concepts -- 2.1 What Is a Probability Distribution? -- 2.2 The Bernoulli Probability Distribution and Probability Mass Functions -- 2.3 The Binomial Probability Distribution and Discrete Distributions -- 2.4 The Normal Distribution and Probability Density Functions -- 2.5 The Concept of Cumulative Probability -- 2.6 Describing Distributions -- 2.7 Dependence between Two Random Variables: Covariance and Correlation -- 2.8 Sums of Random Variables -- 2.9 Joint Probability Distributions and Conditional Probability -- 2.10 Copulas -- 2.11 From Probability Theory to Statistical Measurement: Probability Distributions and Sampling -- Chapter 3: Important Probability Distributions -- 3.1 Examples of Probability Distributions -- 3.2 Modeling Financial Return Distributions -- 3.3 Modeling Tails of Financial Return Distributions -- Chapter 4: Statistical Estimation Models -- 4.1 Commonly Used Return Estimation Models -- 4.2 Regression Analysis -- 4.3 Factor Analysis -- 4.4 Principal Components Analysis -- 4.5 Autoregressive Conditional Heteroscedastic Models -- Part Two: Simulation and Optimization Modeling -- Chapter 5: Simulation Modeling -- 5.1 Monte Carlo Simulation: A Simple Example -- 5.2 Why Use Simulation?.. - 11.4 Multiaccount Optimization -- 11.5 Incorporating Taxes -- 11.6 Robust Parameter Estimation -- 11.7 Portfolio Resampling -- 11.8 Robust Portfolio Optimization -- Chapter 12: Factor-Based Equity Portfolio Construction and Performance Evaluation -- 12.1 Equity Factors Used in Practice -- 12.2 Stock Screens -- 12.3 Portfolio Selection -- 12.4 Risk Decomposition -- 12.5 Stress Testing -- 12.6 Portfolio Performance Evaluation -- 12.7 Risk Forecasts and Simulation -- Part Five: Fixed Income Portfolio Management -- Chapter 13: Fundamentals of Fixed Income Portfolio Management -- 13.1 Fixed Income Instruments and Major Sectors of the Bond Market -- 13.2 Features of Fixed Income Securities -- 13.3 Major Risks Associated with Investing in Bonds -- 13.4 Fixed Income Analytics -- 13.5 The Spectrum of Fixed Income Portfolio Strategies -- 13.6 Value-Added Fixed Income Strategies -- Chapter 14: Factor-Based Fixed Income Portfolio Construction and Evaluation -- 14.1 Fixed Income Factors Used in Practice -- 14.2 Portfolio Selection -- 14.3 Risk Decomposition -- Chapter 15: Constructing Liability-Driven Portfolios -- 15.1 Risks Associated with Liabilities -- 15.2 Liability-Driven Strategies of Life Insurance Companies -- 15.3 Liability-Driven Strategies of Defined Benefit Pension Funds -- Part Six: Derivatives and Their Application to Portfolio Management -- Chapter 16: Basics of Financial Derivatives -- 16.1 Overview of the Use of Derivatives in Portfolio Management -- 16.2 Forward and Futures Contracts -- 16.3 Options -- 16.4 Swaps -- Chapter 17: Using Derivatives in Equity Portfolio Management -- 17.1 Stock Index Futures and Portfolio Management Applications -- 17.2 Equity Options and Portfolio Management Applications -- 17.3 Equity Swaps -- Chapter 18: Using Derivatives in Fixed Income Portfolio Management.. - 18.1 Controlling Interest Rate Risk Using Treasury Futures -- 18.2 Controlling Interest Rate Risk Using Treasury Futures Options -- 18.3 Controlling Interest Rate Risk Using Interest Rate Swaps -- 18.4 Controlling Credit Risk with Credit Default Swaps -- Appendix: Basic Linear Algebra Concepts -- A.1 Systems of Equations -- A.2 Vectors and Matrices -- A.3 Matrix Algebra -- A.4 Important Definitions -- References -- Index -- End User License Agreement.. - 5.3 How Many Scenarios? -- 5.4 Random Number Generation -- Chapter 6: Optimization Modeling -- 6.1 Optimization Formulations -- 6.2 Important Types of Optimization Problems -- 6.3 A Simple Optimization Problem Formulation Example: Portfolio Allocation -- 6.4 Optimization Algorithms -- 6.5 Optimization Software -- 6.6 A Software Implementation Example -- Chapter 7: Optimization under Uncertainty -- 7.1 Dynamic Programming -- 7.2 Stochastic Programming -- 7.3 Robust Optimization -- Part Three: Three Portfolio Theory -- Chapter 8: Asset Diversification -- 8.1 The Case for Diversification -- 8.2 The Classical Mean-Variance Optimization Framework -- 8.3 Efficient Frontiers -- 8.4 Alternative Formulations of the Classical Mean-Variance Optimization Problem -- 8.5 The Capital Market Line -- 8.6 Expected Utility Theory -- 8.7 Diversification Redefined -- Chapter 9: Factor Models -- 9.1 Factor Models in the Financial Economics Literature -- 9.2 Mean-Variance Optimization with Factor Models -- 9.3 Factor Selection in Practice -- 9.4 Factor Models for Alpha Construction -- 9.5 Factor Models for Risk Estimation -- 9.6 Data Management and Quality Issues -- 9.7 Risk Decomposition, Risk Attribution, and Performance Attribution -- 9.8 Factor Investing -- Chapter 10: Benchmarks and the Use of Tracking Error in Portfolio Construction -- 10.1 Tracking Error versus Alpha: Calculation and Interpretation -- 10.2 Forward-Looking versus Backward-Looking Tracking Error -- 10.3 Tracking Error and Information Ratio -- 10.4 Predicted Tracking Error Calculation -- 10.5 Benchmarks and Indexes -- 10.6 Smart Beta Investing -- Part Four: Equity Portfolio Management -- Chapter 11: Advances in Quantitative Equity Portfolio Management -- 11.1 Portfolio Constraints Commonly Used in Practice -- 11.2 Portfolio Optimization with Tail Risk Measures -- 11.3 Incorporating Transaction Costs.
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| ISBN | 9781119238164
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