ISBN 13 : 978-0471-69900-2

Contents : Contents

Preface.

Chapter 1. Introduction.
PART 1: Portfolio allocation : classical theory and modern extensions.
Chapter 2. Mean-Variance Analysis and Modern Portfolio Theory.
Chapter 3. Transaction and Trading Costs.
Chapter 4. Applying the Portfolio Selection Framework in Practice.
Chapter 5. Incorporating Higher Moments and Extreme Risk Measures.
Chapter 6. Mathematical and Numerical Optimization.
PART 2 : Managing uncertainty in practice.
Chapter 7. Equity Price Models.
Chapter 8. Forecasting Expected Return and Risk.
Chapter 9. Robust Frameworks for Estimation and Portfolio Allocation.
PART 3 : Dynamic models for equity prices.
Chapter 10. Feedback and Predictors in Stock Markets.
Chapter 11. Individual Price Processes : Univariate Models.
Chapter 12. Multivariate Models.
Chapter 13. Model Selection and its Pitfalls.
PART 4 : Model estimation and risk mitigation.
Chapter 14. Estimation of Regression Models.
Chapter 15. Estimation of Linear Dynamic Models.
Chapter 16. Estimation of Hidden Variable Models.
Chapter 17. Model Risk and its Mitigation.
Appendix A : Differences Equations.
Appendix B : Correlations, Regressions, and Copulas/
Appendix C : Data Description.

Language : English

Series : FINANCE

Figure(s) : Schémas

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque