Financial modeling of the equity market from CAPM to cointegration FRANK j FABOZZI SERGIO m FOCARDI PETTER n KOLM

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... Management: Framework, Methods and Practice; and, The Mathematics of Financial Modeling and Investment Management) Sergio holds a degree in Electronic Engineering from the University of Genoa... ffirst.frm Page iii Tuesday, December 13, 2005 9:08 PM Financial Modeling of the Equity Market From CAPM to Cointegration FRANK J FABOZZI SERGIO M FOCARDI PETTER N KOLM John Wiley & Sons, Inc ffirst.frm... Mann Fat-Tailed and Skewed Asset Return Distributions by Svetlozar T Rachev, Christian Menn, and Frank J Fabozzi Financial Modeling of the Equity Market: From CAPM to Cointegration by Frank J

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Financial Modeling of the Equity Market
Contents
Preface
Acknowledgments
About the Authors
Chapter 1: Introduction
- HISTORICAL PERSPECTIVE ON THE FINANCIAL MODELING OF THE EQUITY MARKET
- CENTRAL THEMES OF THE BOOK
- ORGANIZATION OF THE BOOK
- Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory
  - THE BENEFITS OF DIVERSIFICATION
  - MEAN-VARIANCE ANALYSIS: OVERVIEW
  - CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION
  - THE CAPITAL MARKET LINE
  - SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET
  - MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE
  - SUMMARY
  - Chapter 3: Transaction and Trading Costs
    - A TAXONOMY OF TRANSACTION COSTS
    - LIQUIDITY AND TRANSACTION COSTS
    - MARKET IMPACT MEASUREMENTS AND EMPIRICAL FINDINGS
    - FORECASTING AND MODELING MARKET IMPACT
    - INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS

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Financial modeling of the equity market from CAPM to cointegration FRANK j FABOZZI SERGIO m FOCARDI PETTER n KOLM

Thông tin tài liệu

Từ khóa liên quan

Mục lục

Financial Modeling of the Equity Market

Contents

Preface

Acknowledgments

About the Authors

Chapter 1: Introduction

HISTORICAL PERSPECTIVE ON THE FINANCIAL MODELING OF THE EQUITY MARKET

CENTRAL THEMES OF THE BOOK

ORGANIZATION OF THE BOOK

Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory

THE BENEFITS OF DIVERSIFICATION

MEAN-VARIANCE ANALYSIS: OVERVIEW

CLASSICAL FRAMEWORK FOR MEAN-VARIANCE OPTIMIZATION

THE CAPITAL MARKET LINE

SELECTION OF THE OPTIMAL PORTFOLIO WHEN THERE IS A RISK-FREE ASSET

MORE ON UTILITY FUNCTIONS: A GENERAL FRAMEWORK FOR PORTFOLIO CHOICE

SUMMARY

Chapter 3: Transaction and Trading Costs

A TAXONOMY OF TRANSACTION COSTS

LIQUIDITY AND TRANSACTION COSTS

MARKET IMPACT MEASUREMENTS AND EMPIRICAL FINDINGS

FORECASTING AND MODELING MARKET IMPACT

INCORPORATING TRANSACTION COSTS IN ASSET-ALLOCATION MODELS

Tài liệu cùng người dùng

Tài liệu liên quan