Quantitative methods for portfolio analysis : MTV model approach
著者
書誌事項
Quantitative methods for portfolio analysis : MTV model approach
（Theory and decision library, . Series B . Mathematical and statistical methods ; v. 23）
Kluwer Academic, c1993
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注記
Includes bibliographical references (p. 295-304) and index
内容説明・目次
内容説明
This text aims to provide practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, it should be helpful reading for "Quants" (quantitatively-inclined analysts) in financial industries, financial engineers in investment banks; securities companies, derivative-trading companies, and software houses who are developing portfolio trading systems; graduate students and specialists in the areas of finance, business, hardbound economics, statistics, financial engineering; investors who are interested in Japanese financial markets. Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, analysis, models for Japanese financial markets.
目次
Part 1 Quantitative Models for Portfolio Analysis: 1. Quantitative Approach to Asset Allocation. 2. Empirical Features of Financial Returns. 3. Univariate Financial Time Series Models. 4. Multivariate Financial Time Series Models. 5. MTV Model and its Applications. Part 2 Quantitative Asset Allocation Systems: 6. Quantitative Portfolio Construction Procedures. 7. Multifactor Models and their Applications. B.B. Rosenberg Models and their Applications. 9. Selection of Portfolio Population. 10. Optimal MTV Market Portfolio. 11. Index Portfolio and Canonical Correlation Portfolio. Part 3 Statistical Approach to Option Pricing and Bond Pricing. 12. Black-Scholes Option Theory and its Applications. 13. Practical Option Pricing and Related Topics. 14. Statistical Bond Pricing Models.
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