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Quantitative Methods for Portfolio Analysis: MTV Model Approach

by Takeaki Kariya
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Current price ₹5,619.00
Original price ₹8,027.00
Original price ₹8,027.00
Original price ₹8,027.00
(-30%)
₹5,619.00
Current price ₹5,619.00

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Book cover type: Hardcover
  • ISBN13: 9780792322542
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Kluwer Academic Publishers
  • Publication Date:
  • Pages: 324
  • Original Price: EUR 79.95
  • Language: English
  • Edition: N/A
  • Item Weight: 631 grams
  • BISAC Subject(s): Investments & Securities / General, Finance / General, and Statistics

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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