Download or read book Black Litterman Model for Continuous Distributions written by Jan Palczewski and published by . This book was released on 2018 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Black-Litterman methodology of portfolio optimization, developed at the turn of the 1990s, combines statistical information on asset returns with investor's views within the Markowitz mean-variance framework. The main assumption underlying the Black-Litterman model is that asset returns and investor's views are multivariate normally distributed. However, empirical research demonstrates that the distribution of asset returns has fat tails and is asymmetric, which contradicts normality. Recent advances in risk measurement advocate replacing the variance by risk measures that take account of tail behavior of the portfolio return distribution. This paper extends the Black-Litterman model into general continuous distributions and deviation measures of risk. Using ideas from the Black-Litterman methodology, we design numerical methods (with variance reduction techniques) for the inverse portfolio optimization that extracts statistical information from historical data in a stable way. We introduce a quantitative model for stating investor's views and blending them consistently with the market information. The theory is complemented by efficient numerical methods with the implementation distributed in the form of publicly available R packages. We conduct practical tests, which demonstrate significant impact of the choice of distributions on optimal portfolio weights to the extent that the classical Black-Litterman procedure cannot be viewed as an adequate approximation.

Download or read book Application of Decision Science in Business and Management written by Fausto Pedro García Márquez and published by BoD – Books on Demand. This book was released on 2020-03-04 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Application of Decision Science in Business and Management is a book where each chapter has been contributed by a different author(s). The chapters introduce and demonstrate a decision-making theory to practice case studies. It demonstrates key results for each sector with diverse real-world case studies. Theory is accompanied by relevant analysis techniques, with a progressive approach building from simple theory to complex and dynamic decisions with multiple data points, including big data, lot of data, etc. Computational techniques, dynamic analysis, probabilistic methods, and mathematical optimization techniques are expertly blended to support analysis of multi-criteria decision-making problems with defined constraints and requirements. The book provides an interface between the main disciplines of engineering/technology and the organizational, administrative, and planning abilities of decision making. It is complementary to other sub-disciplines such as economics, finance, marketing, decision and risk analysis, etc.

Download or read book Handbook of Finance Financial Markets and Instruments written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-11-03 with total page 868 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume I: Financial Markets and Instruments skillfully covers the general characteristics of different asset classes, derivative instruments, the markets in which financial instruments trade, and the players in those markets. It also addresses the role of financial markets in an economy, the structure and organization of financial markets, the efficiency of markets, and the determinants of asset pricing and interest rates. Incorporating timely research and in-depth analysis, the Handbook of Finance is a comprehensive 3-Volume Set that covers both established and cutting-edge theories and developments in finance and investing. Other volumes in the set: Handbook of Finance Volume II: Investment Management and Financial Management and Handbook of Finance Volume III: Valuation, Financial Modeling, and Quantitative Tools.

Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

Download or read book Financial Risk Modelling and Portfolio Optimization with R written by Bernhard Pfaff and published by John Wiley & Sons. This book was released on 2016-08-22 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Modelling and Portfolio Optimization with R, 2nd Edition Bernhard Pfaff, Invesco Global Asset Allocation, Germany A must have text for risk modelling and portfolio optimization using R. This book introduces the latest techniques advocated for measuring financial market risk and portfolio optimization, and provides a plethora of R code examples that enable the reader to replicate the results featured throughout the book. This edition has been extensively revised to include new topics on risk surfaces and probabilistic utility optimization as well as an extended introduction to R language. Financial Risk Modelling and Portfolio Optimization with R: Demonstrates techniques in modelling financial risks and applying portfolio optimization techniques as well as recent advances in the field. Introduces stylized facts, loss function and risk measures, conditional and unconditional modelling of risk; extreme value theory, generalized hyperbolic distribution, volatility modelling and concepts for capturing dependencies. Explores portfolio risk concepts and optimization with risk constraints. Is accompanied by a supporting website featuring examples and case studies in R. Includes updated list of R packages for enabling the reader to replicate the results in the book. Graduate and postgraduate students in finance, economics, risk management as well as practitioners in finance and portfolio optimization will find this book beneficial. It also serves well as an accompanying text in computer-lab classes and is therefore suitable for self-study.

Download or read book Risk and Asset Allocation written by Attilio Meucci and published by Springer Science & Business Media. This book was released on 2009-05-22 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site

Download or read book Bayesian Methods in Finance written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2008-02-13 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.

Download or read book Applied Probabilistic Calculus for Financial Engineering written by Bertram K. C. Chan and published by John Wiley & Sons. This book was released on 2017-09-11 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: Illustrates how R may be used successfully to solve problems in quantitative finance Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations, before moving on to topics related to asset allocation and portfolio optimization with R codes illustrated for various examples. This clear and concise book covers financial engineering, using R in data analysis, and univariate, bivariate, and multivariate data analysis. It examines probabilistic calculus for modeling financial engineering—walking the reader through building an effective financial model from the Geometric Brownian Motion (GBM) Model via probabilistic calculus, while also covering Ito Calculus. Classical mathematical models in financial engineering and modern portfolio theory are discussed—along with the Two Mutual Fund Theorem and The Sharpe Ratio. The book also looks at R as a calculator and using R in data analysis in financial engineering. Additionally, it covers asset allocation using R, financial risk modeling and portfolio optimization using R, global and local optimal values, locating functional maxima and minima, and portfolio optimization by performance analytics in CRAN. Covers optimization methodologies in probabilistic calculus for financial engineering Answers the question: What does a "Random Walk" Financial Theory look like? Covers the GBM Model and the Random Walk Model Examines modern theories of portfolio optimization, including The Markowitz Model of Modern Portfolio Theory (MPT), The Black-Litterman Model, and The Black-Scholes Option Pricing Model Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R s an ideal reference for professionals and students in economics, econometrics, and finance, as well as for financial investment quants and financial engineers.

Download or read book Analyzing Dependent Data with Vine Copulas written by Claudia Czado and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a step-by-step introduction to the class of vine copulas, their statistical inference and applications. It focuses on statistical estimation and selection methods for vine copulas in data applications. These flexible copula models can successfully accommodate any form of tail dependence and are vital to many applications in finance, insurance, hydrology, marketing, engineering, chemistry, aviation, climatology and health. The book explains the pair-copula construction principles underlying these statistical models and discusses how to perform model selection and inference. It also derives simulation algorithms and presents real-world examples to illustrate the methodological concepts. The book includes numerous exercises that facilitate and deepen readers understanding, and demonstrates how the R package VineCopula can be used to explore and build statistical dependence models from scratch. In closing, the book provides insights into recent developments and open research questions in vine copula based modeling. The book is intended for students as well as statisticians, data analysts and any other quantitatively oriented researchers who are new to the field of vine copulas. Accordingly, it provides the necessary background in multivariate statistics and copula theory for exploratory data tools, so that readers only need a basic grasp of statistics and probability.

Download or read book Encyclopedia of Financial Models Volume I written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-09-26 with total page 948 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1 of the Encyclopedia of Financial Models 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 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, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume 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 thirty-nine informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 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 Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Download or read book Risk sensitive Investment Management written by Mark H A Davis and published by World Scientific. This book was released on 2014-07-21 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems.This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes.With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management.This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful.

Download or read book Encyclopedia of Financial Models written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-10-15 with total page 3180 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com 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.

Download or read book Financial Modeling fifth edition written by Simon Benninga and published by MIT Press. This book was released on 2022-02-08 with total page 1049 pages. Available in PDF, EPUB and Kindle. Book excerpt: A substantially updated new edition of the essential text on financial modeling, with revised material, new data, and implementations shown in Excel, R, and Python. Financial Modeling has become the gold-standard text in its field, an essential guide for students, researchers, and practitioners that provides the computational tools needed for modeling finance fundamentals. This fifth edition has been substantially updated but maintains the straightforward, hands-on approach, with an optimal mix of explanation and implementation, that made the previous editions so popular. Using detailed Excel spreadsheets, it explains basic and advanced models in the areas of corporate finance, portfolio management, options, and bonds. This new edition offers revised material on valuation, second-order and third-order Greeks for options, value at risk (VaR), Monte Carlo methods, and implementation in R. The examples and implementation use up-to-date and relevant data. Parts I to V cover corporate finance topics, bond and yield curve models, portfolio theory, options and derivatives, and Monte Carlo methods and their implementation in finance. Parts VI and VII treat technical topics, with part VI covering Excel and R issues and part VII (now on the book’s auxiliary website) covering Excel’s programming language, Visual Basic for Applications (VBA), and Python implementations. Knowledge of technical chapters on VBA and R is not necessary for understanding the material in the first five parts. The book is suitable for use in advanced finance classes that emphasize the need to combine modeling skills with a deeper knowledge of the underlying financial models.

Download or read book Fundamental Models in Financial Theory written by Doron Peleg and published by MIT Press. This book was released on 2014-04-11 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding and applying complex modern financial models in real life scenarios, including the Black-Litterman model for constructing an optimal portfolio while incorporating personal views. This book provides an innovative, integrated, and methodical approach to understanding complex financial models, integrating topics usually presented separately into a comprehensive whole. The book brings together financial models and high-level mathematics, reviewing the mathematical background necessary for understanding these models organically and in context. It begins with underlying assumptions and progresses logically through increasingly complex models to operative conclusions. Readers who have mastered the material will gain the tools needed to put theory into practice and incorporate financial models into real-life investment, financial, and business scenarios. Modern finance's most bothersome shortcoming is that the two basic models for building an optimal investment portfolio, Markowitz's mean-variance model and Sharpe and Treynor's Capital Asset Pricing Model (CAPM), fall short when we try to apply them using Excel Solver. This book explores these two models in detail, and for the first time in a textbook the Black-Litterman model for building an optimal portfolio constructed from a small number of assets (developed at Goldman Sachs) is thoroughly presented. The model's integration of personal views and its application using Excel templates are demonstrated. The book also offers innovative presentations of the Modigliani–Miller model and the Consumption-Based Capital Asset Pricing Model (CCAPM). Problems at the end of each chapter invite the reader to put the models into immediate use. Fundamental Models in Financial Theory is suitable for classroom use or as a reference for finance practitioners.

Download or read book Predicting movie ratings and recommender systems written by Arkadiusz Paterek and published by Arkadiusz Paterek. This book was released on 2012-06-19 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: A 195-page monograph by a top-1% Netflix Prize contestant. Learn about the famous machine learning competition. Improve your machine learning skills. Learn how to build recommender systems. What's inside:introduction to predictive modeling,a comprehensive summary of the Netflix Prize, the most known machine learning competition, with a $1M prize,detailed description of a top-50 Netflix Prize solution predicting movie ratings,summary of the most important methods published - RMSE's from different papers listed and grouped in one place,detailed analysis of matrix factorizations / regularized SVD,how to interpret the factorization results - new, most informative movie genres,how to adapt the algorithms developed for the Netflix Prize to calculate good quality personalized recommendations,dealing with the cold-start: simple content-based augmentation,description of two rating-based recommender systems,commentary on everything: novel and unique insights, know-how from over 9 years of practicing and analysing predictive modeling.

Download or read book Continuous Distributions written by and published by Bookboon. This book was released on with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Encyclopedia of Financial Models Volume III written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2012-09-12 with total page 734 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 3 of the Encyclopedia of Financial Models 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 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, Volume 3 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume 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 forty-four informative entries and provides readers with a balanced understanding of today’s dynamic world of financial modeling. Volume 3 covers Mortgage-Backed Securities Analysis and Valuation, Operational Risk, Optimization Tools, Probability Theory, Risk Measures, Software for Financial Modeling, Stochastic Processes and Tools, Term Structure Modeling, Trading Cost Models, and Volatility Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 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 Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.