Download or read book Reproducible Finance with R written by Jonathan K. Regenstein, Jr. and published by CRC Press. This book was released on 2018-09-24 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis is a unique introduction to data science for investment management that explores the three major R/finance coding paradigms, emphasizes data visualization, and explains how to build a cohesive suite of functioning Shiny applications. The full source code, asset price data and live Shiny applications are available at reproduciblefinance.com. The ideal reader works in finance or wants to work in finance and has a desire to learn R code and Shiny through simple, yet practical real-world examples. The book begins with the first step in data science: importing and wrangling data, which in the investment context means importing asset prices, converting to returns, and constructing a portfolio. The next section covers risk and tackles descriptive statistics such as standard deviation, skewness, kurtosis, and their rolling histories. The third section focuses on portfolio theory, analyzing the Sharpe Ratio, CAPM, and Fama French models. The book concludes with applications for finding individual asset contribution to risk and for running Monte Carlo simulations. For each of these tasks, the three major coding paradigms are explored and the work is wrapped into interactive Shiny dashboards.
Download or read book Portfolio Theory and Capital Markets written by William F. Sharpe and published by McGraw-Hill Companies. This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Thirty years ago, Portfolio Theory and Capital Markets laid the groundwork for today's investment standards, from modern portfolio theory to derivatives, pricing and investment, equity index funds, and more. By providing invaluable insights into the Capital Asset Pricing Model (CAPM) and introducing such innovations as the Sharpe Ratio, Dr. William Sharpe established himself as one of the most influential financial minds of the twentieth century. Now, in Portfolio Theory and Capital Markets, The Original Edition, complete with a new foreword written by Dr. Sharpe, McGraw-Hill reintroduces this essential book - and places its lessons in a meaningful context for modern investors throughout the world."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.
Download or read book Finance Literature Index written by and published by . This book was released on 1994 with total page 622 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Optimization Using Fundamental Indicators Based on Multi Objective EA written by Antonio Daniel Silva and published by Springer. This book was released on 2016-02-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage
Download or read book How to Invest in Structured Products written by Andreas Bluemke and published by John Wiley & Sons. This book was released on 2009-09-15 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is essential in understanding, investing and risk managing the holy grail of investments - structured products. The book begins by introducing structured products by way of a basic guide so that readers will be able to understand a payoff graphic, read a termsheet or assess a payoff formula, before moving on to the key asset classes and their peculiarities. Readers will then move on to the more advanced subjects such as structured products construction and behaviour during their lifetime. It also explains how to avoid important pitfalls in products across all asset classes, pitfalls that have led to huge losses over recent years, including detailed coverage of counterparty risk, the fall of Lehman Brothers and other key aspects of the financial crisis related to structured products. The second part of the book presents an original approach to implementing structured products in a portfolio. Key features include: A comprehensive list of factors an investor needs to take into consideration before investing. This makes it a great help to any buyer of structured products; Unbiased advice on product investments across several asset classes: equities, fixed income, foreign exchange and commodities; Guidance on how to implement structured products in a portfolio context; A comprehensive questionnaire that will help investors to define their own investment preferences, allowing for a greater precision when facing investment decisions; An original approach determining the typical distribution of returns for major product types, essential for product classification and optimal portfolio implementation purposes; Written in a fresh, clear and understandable style, with many figures illustrating the products and very little mathematics. This book will enable you to better comprehend the use of structured products in everyday banking, quickly analyzing a product, assessing which of your clients it suits, and recognizing its major pitfalls. You will be able to see the added value versus the cost of a product and if the payoff is compatible with the market expectations.
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Download or read book Comprehensive Dissertation Index written by and published by . This book was released on 1989 with total page 978 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Security Analysis and Portfolio Management 2nd Edition written by Pandian Punithavathy and published by Vikas Publishing House. This book was released on with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the current scenario, investing in the stock markets poses a significant challenge even for seasoned professionals. Not surprisingly, many students find the subject Security Analysis and Portfolio Management difficult. This book offers conceptual clarity and in-depth coverage with a student-friendly approach. Targeted at the postgraduate students of management and commerce, it is an attempt to demystify the difficult subject. The book is divided into three parts. Part I explains the Indian stock market; Part II exclusively deals with the different aspects of security analysis; Part III is devoted to portfolio analysis.
Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Download or read book Business Periodicals Index written by and published by . This book was released on 1993 with total page 1788 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Python for Finance written by Yuxing Yan and published by Packt Publishing Ltd. This book was released on 2017-06-30 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Learn and implement various Quantitative Finance concepts using the popular Python libraries About This Book Understand the fundamentals of Python data structures and work with time-series data Implement key concepts in quantitative finance using popular Python libraries such as NumPy, SciPy, and matplotlib A step-by-step tutorial packed with many Python programs that will help you learn how to apply Python to finance Who This Book Is For This book assumes that the readers have some basic knowledge related to Python. However, he/she has no knowledge of quantitative finance. In addition, he/she has no knowledge about financial data. What You Will Learn Become acquainted with Python in the first two chapters Run CAPM, Fama-French 3-factor, and Fama-French-Carhart 4-factor models Learn how to price a call, put, and several exotic options Understand Monte Carlo simulation, how to write a Python program to replicate the Black-Scholes-Merton options model, and how to price a few exotic options Understand the concept of volatility and how to test the hypothesis that volatility changes over the years Understand the ARCH and GARCH processes and how to write related Python programs In Detail This book uses Python as its computational tool. Since Python is free, any school or organization can download and use it. This book is organized according to various finance subjects. In other words, the first edition focuses more on Python, while the second edition is truly trying to apply Python to finance. The book starts by explaining topics exclusively related to Python. Then we deal with critical parts of Python, explaining concepts such as time value of money stock and bond evaluations, capital asset pricing model, multi-factor models, time series analysis, portfolio theory, options and futures. This book will help us to learn or review the basics of quantitative finance and apply Python to solve various problems, such as estimating IBM's market risk, running a Fama-French 3-factor, 5-factor, or Fama-French-Carhart 4 factor model, estimating the VaR of a 5-stock portfolio, estimating the optimal portfolio, and constructing the efficient frontier for a 20-stock portfolio with real-world stock, and with Monte Carlo Simulation. Later, we will also learn how to replicate the famous Black-Scholes-Merton option model and how to price exotic options such as the average price call option. Style and approach This book takes a step-by-step approach in explaining the libraries and modules in Python, and how they can be used to implement various aspects of quantitative finance. Each concept is explained in depth and supplemented with code examples for better understanding.
Download or read book An Introduction to Capital Markets written by Andrew M. Chisholm and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive introduction to the global capital markets, explaining the key instruments used in the markets and their practical applications. Containing numerous illustrations and examples it explains how each product or instrument is structured, how it is used in practice, what the principle risks are and how these are monitored and controlled. An Introduction to Capital Markets is an ideal resource for those wanting to understand how the global capital markets operate.
Download or read book Currency Risk and the Corporation written by Boris Antl and published by . This book was released on 1980 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Analyzing Financial Data and Implementing Financial Models Using R written by Clifford S. Ang and published by Springer Nature. This book was released on 2021-06-23 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This advanced undergraduate/graduate textbook teaches students in finance and economics how to use R to analyse financial data and implement financial models. It demonstrates how to take publically available data and manipulate, implement models and generate outputs typical for particular analyses. A wide spectrum of timely and practical issues in financial modelling are covered including return and risk measurement, portfolio management, option pricing and fixed income analysis. This new edition updates and expands upon the existing material providing updated examples and new chapters on equities, simulation and trading strategies, including machine learnings techniques. Select data sets are available online.
Download or read book Dynamic Portfolio Theory and Management written by Richard E. Oberuc and published by McGraw Hill Professional. This book was released on 2004 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
