Download or read book Residual Based Nodewise Regression in Factor Models with Ultra high Dimensions Analysis of Mean variance Portfolio Efficiency and Estimation of Out of sample and Constrained Maximum Sharpe Ratios written by Mehmet Caner and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are combined with feasible nodewise regression. Returns are generated from increasing number of factors plus idiosyncratic components (errors). The precision matrix of the idiosyncratic terms is assumed to be sparse, but the respective covariance matrix can be non-sparse. Since the nodewise regression is not feasible due to unknown nature of errors, we provide a feasible-residual based nodewise regression to estimate the precision matrix of errors, as a new method. Next, we show that the residual-based nodewise regression provides a consistent estimate for the precision matrix of errors. In another new development, we also show that the precision matrix of returns can be estimated consistently, even with increasing number of factors. Benefiting from the consistency of the precision matrix estimate of returns, we show that: (1) the portfolios in high dimensions are mean-variance efficient; (2) maximum out-of-sample Sharpe ratio estimator is consistent and the number of assets slows the convergence up to a logarithmic factor; (3) the maximum Sharpe ratio estimator is consistent when the portfolio weights sum to one; and (4) the Sharpe ratio estimators are consistent in global minimum-variance and mean-variance portfolios.
Download or read book Factor Residuals in SUR Regressions written by Donald Robertson and published by . This book was released on 2000 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ridge Regression written by Kent Douglas Smith and published by . This book was released on 1981 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Variance Estimation for High Dimensional Regression Models written by Vladimir G. Spokojnyj and published by . This book was released on 1999 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 145 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 Estimation and Testing Under Sparsity written by Sara van de Geer and published by Springer. This book was released on 2016-06-28 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking the Lasso method as its starting point, this book describes the main ingredients needed to study general loss functions and sparsity-inducing regularizers. It also provides a semi-parametric approach to establishing confidence intervals and tests. Sparsity-inducing methods have proven to be very useful in the analysis of high-dimensional data. Examples include the Lasso and group Lasso methods, and the least squares method with other norm-penalties, such as the nuclear norm. The illustrations provided include generalized linear models, density estimation, matrix completion and sparse principal components. Each chapter ends with a problem section. The book can be used as a textbook for a graduate or PhD course.
Download or read book Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting Based Data written by Oliver Entrop and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find evidence that our model yields a significantly better fit of banks' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest rate risk differs between banks of different size and banking group. Additionally, we find structural differences between trading book and non-trading book institutions.
Download or read book Handbook of Risk Management in Energy Production and Trading written by Raimund M. Kovacevic and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.
Download or read book Statistics and Data Analysis for Financial Engineering written by David Ruppert and published by Springer. This book was released on 2015-04-21 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.
Download or read book Handbook of Computational Econometrics written by David A. Belsley and published by John Wiley & Sons. This book was released on 2009-08-18 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations. This book: Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies. Brings together contributions from leading researchers. Develops the techniques needed to carry out computational econometrics. Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation. This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels.
Download or read book Machine Learning Under a Modern Optimization Lens written by Dimitris Bertsimas and published by . This book was released on 2019 with total page 589 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Douglas McGregor Revisited written by Gary Heil and published by John Wiley & Sons. This book was released on 2000-05-01 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: The words of Douglas McGregor, one of the fore-fathers of management theory and one of the top business thinkers of all time, cannot and should not be ignored. McGregor's vision of a more humanistic workplace may not have been widely accepted over three decades ago, but technological advancements that McGregor himself anticipated have paradoxically helped companies become more human. Viewing employees not as cogs in the machine but as living beings with individual goals-what McGregor called "the human side of the enterprise"-has proven to provide a remarkable competitive advantage. Now, with the rise of the networked economy, the growing power of frontline workers, and the shift in power from mass producer to individual consumer, authors Gary Heil, Warren Bennis, and Deborah Stephens assert that McGregor's ideas are more important and relevant than ever before. Douglas McGregor, Revisited emphasizes McGregor's lasting influence and updates his thinking with new concepts, fresh strategies, and modern implementation. This timely work traces McGregor's original thinking, which has emerged in current approaches that stress distributed leadership, open-minded appraisal techniques, and employee/customer commitment. Highlighted throughout with gems of wisdom in McGregor's own words, the book describes the value of his theories for today's managers. The authors carefully outline how to put McGregor's thinking into practice in your own business so you can: * Devise a better performance management system * Form and supervise effective management teams * Build cooperation instead of internal competition * Cultivate an intrinsically motivating, values-driven workplace * Create a cause worthy of employee commitment Also featured are examples from a host of companies and leaders who have flourished under McGregor's approach. Authoritative and highly instructive, Douglas McGregor, Revisited offers new generations of managers important lessons from history and from the field. Praise for Douglas McGregor, Revisited "This book revisits in a contemporary manner the most important question facing management today: given what we know about human nature, how should work be managed so as to unleash the vast creative potential of human beings? The evidence is overwhelming that many people either come to an organization or can be appropriately led to exhibit the behavior McGregor characterized as 'Theory Y.' This book provides a 'how-to' approach for developing people at work and for establishing high performance organizations."-Joseph A. Maciariello, Horton Professor of Management Peter F. Drucker Graduate School of Management, Claremont Graduate University and Claremont McKenna College. Author of Lasting Value: Lessons from a Century of Agility at Lincoln Electric Douglas McGregor's seminal works, The Human Side of the Enterprise and The Professional Manager, debunked Taylorism and described a revolutionary way to manage people. He was the first to apply the findings in behavioral science to the world of business. Based on what had been learned about human behavior, McGregor explored the implications of managing people in a different manner than tradition dictated. The nature of work today makes McGregor's ideas more relevant than ever before. This important book applies his thinking to today's business world, proving again that the human aspect of work is crucial to organizational effectiveness. It also suggests how you can change your thinking and implement his ideas in your own business and workplace.
Download or read book Learning and Generalisation written by Mathukumalli Vidyasagar and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does a machine learn a new concept on the basis of examples? This second edition takes account of important new developments in the field. It also deals extensively with the theory of learning control systems, now comparably mature to learning of neural networks.
Download or read book Auxetic Textiles written by Hong Hu and published by Woodhead Publishing. This book was released on 2019-07-11 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt: Auxetic Textiles provides a detailed introduction to the basic properties of auxetic materials and how they differ from conventional materials, particularly auxetic textiles, such as polymers, fibers, yarns, fabrics and textile composites. The book discusses the beneficial properties of auxetic structures in textiles and how to translate those benefits into actual materials development. Sections cover the deformation mechanism of textile structures to achieve auxetic behavior and the modelling and simulation of auxetic textile structures. Finally, the book provides expert insights into potential application areas. Cutting across textiles disciplines, from technical textiles and advanced composites, to fashion and design, the book is a valuable introduction to the field for newcomers, with potent insights into the potential of these materials. Introduces the concept of auxetic materials and their differences from conventional materials Provides a practical guide to the mechanics of achieving auxetic properties in textile materials, including polymers, fibers, yarns, fabrics and composites Reviews and links up research and development in auxetic materials with the textile industry, helping enable the development of a range of new applications
Download or read book Smoothing Splines written by Yuedong Wang and published by CRC Press. This book was released on 2011-06-22 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: A general class of powerful and flexible modeling techniques, spline smoothing has attracted a great deal of research attention in recent years and has been widely used in many application areas, from medicine to economics. Smoothing Splines: Methods and Applications covers basic smoothing spline models, including polynomial, periodic, spherical, t
Download or read book Nonparametric and Semiparametric Methods in Econometrics and Statistics written by William A. Barnett and published by Cambridge University Press. This book was released on 1991-06-28 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: Papers from a 1988 symposium on the estimation and testing of models that impose relatively weak restrictions on the stochastic behaviour of data.
Download or read book Epoxy Resins and Composites II written by K. Dusek and published by Springer. This book was released on 2014-03-12 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
