Commentaire :

ISBN 13 : 978-0-387-77438-1

Sommaire : Contents

Contributeurs : Haim Levy, Ran Duchin, Paul A. Samuelson, Andrew H. Chen, Frank J. Fabozzi, Dashan Huang, James H. VanderWeide, Richard W. Cottle, Gerd Infanger, William T. Ziemba, Bernell K. Stone, John B. Guerard, Jr., R. Douglas Martin, Andrew Clark, Christopher G. Green, Andras Niedermayer, Daniel Niedermayer, Gregory Connor, Robert A. Korajczyk, Edwin J. Elton, Martin J. Gruber, Christopher R. Blake, Jose Menchero, Andrei Morozov, Peter Shepard, Dean M. Petrich, Ronald N. Kahn, Svetlozar T. Rachev, Borjana Racheva-Iotova, Stoyan V. Stoyanov, Frank J. Fabozzi, John M. Mulvey, Woo Chang Kim, Mehmet Bilgili, Bruce I. Jacobs, Kenneth N. Levy, Sheng Li, Oliver Linton, Martin W.P. Savelsbergh, Robert A. Stubbs, Dieter Vandenbussche, Cheng-few Lee, Alice C. Lee, Nathan Liu, Robert A. Haugen, Nardin L. Baker, Sundaram Chettiappan, GanLin Xu, Ekaterina N. Sereda, EfimM. Bronshtein, Wei Sun, Makoto Suzuki, Alan J. King, Olga Streltchenko, Yelena Yesha, Dimitrios D. Thomakos, Tao Wang, TimothyW. Viezer

Part 1. Markowitz for the Masses: Portfolio Construction Techniques
1. Markowitz for the Masses : The Risk and Return of Equity and Portfolio Construction Techniques
2. Markowitz and the Expanding Definition of Risk : Applications of Multi-factor Risk Models
3. Markowitz Applications in the 1990s and the New Century : DataMining Corrections and the 130/30
4. Markowitz's Mean - Variance Rule and the Talmudic Diversification Recommendation
5. On the Himalayan Shoulders of Harry Markowitz
6. Models for Portfolio Revision with Transaction Costs in the Mean - Variance Framework
7. Principles for Lifetime Portfolio Selection : Lessons from Portfolio Theory
8. Harry Markowitz and the Early History of Quadratic Programming
9. Ideas in Asset and Asset-Liability Management in the Tradition of H.M. Markowitz
10. Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration
11. Robust Portfolio Construction

Part 2. Owitz and the Expanding Definition of Risk : Applications of Multi-Factor Risk Models
12. Applying Markowitz's Critical Line Algorithm
13. Factor Models in Portfolio and Asset Pricing Theory
14. Applications of Markowitz Portfolio Theory To Pension Fund Design
15. Global Equity Risk Modeling
16. What Matters Most in Portfolio Construction ?
17. Risk Management and Portfolio Optimization for Volatile Markets

Part 3. Applications of Portfolio Construction, Performance Measurement and Markowitz DataMining Corrections Tests
18. Linking Momentum Strategies with Single-Period Portfolio Models
19. Reflections on Portfolio Insurance, Portfolio Theory and Market Simulation with Harry Markowitz.
20. Evaluating Hedge Fund Performance : A Stochastic Dominance Approach
21. Multiportfolio Optimization : A Natural Next Step
22. Alternative Model to Evaluate Selectivity and Timing Performance of Mutual Fund Managers : Theory and Evidence
23. Case Closed
24. Stock-Selection Modeling and Data Mining Corrections : Long-Only Versus 130/30Models
25. Distortion Risk Measures in Portfolio Optimization
26. A Benefit from the Modern Portfolio Theoryfor Japanese Pension Investment
27. Private Valuation of Contingent Claims in a Discrete Time/State Model
28. Volatility Timing and Portfolio Construction Using Realized Volatility for the S&P500 Futures Index
29. The Application of Modern Portfolio Theory to Real Estate : A Brief Survey

Langue : Anglais

Illustration(s) : Graphique(s) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque