UID:
almafu_9959328122002883
Format:
1 online resource (xiv, 297 pages) :
,
illustrations
ISBN:
9781119197515
,
1119197511
,
0470260858
,
9780470260852
Content:
Features various ideas in portfolio management. This book provides readers with trading and risk control models using various modeling programs, Excel and the statistical modeling language, R. It presents modeling formulas that allow readers to maximize the performance, minimize the drawdown, and manage the risk of their portfolios.
Note:
Cover -- About the Author -- Contents -- Preface -- Acknowledgments -- Chapter 1: Modeling Market Microstructure-Randomness in Markets -- THE RANDOM WALK MODEL -- WHAT YOU CANNOT PREDICT IS RANDOM TO YOU -- MARKET MICROSTRUCTURE -- EFFICIENT MARKET HYPOTHESIS -- ARBITRAGE PRICING THEORY -- Chapter 2: Distribution of Price Changes -- THE NORMAL DISTRIBUTION -- REFLECTION PRINCIPLE -- APPROXIMATION OF THE NORMAL DISTRIBUTION BY RATIONAL POLYNOMIAL -- LOGNORMAL DISTRIBUTION -- SYMMETRY OF THE NORMAL AND LOGNORMAL -- WHY PICK A DISTRIBUTION AT ALL? -- THE EMPIRICAL DISTRIBUTION -- THE LOGNORMAL AS AN APPROXIMATION -- Chapter 3: Investment Objectives -- STATISTICIAN'S FAIR GAME -- A FAIR GAME IS A LOSER! -- CRITERIA FOR A FAVORABLE GAME -- GAMBLER'S RUIN -- OPTIMAL RETURN MODELS -- MARKETS ARE RATIONAL, PSYCHOLOGISTS ARE NOT -- THE ST. PETERSBURG PARADOX -- COMPOUNDED RETURN IS THE REAL OBJECTIVE -- DEFINING RISK -- MINIMUM RISK MODELS -- CORRELATION OF ASSETS -- SUMMARY OF CORRELATION RELATIONSHIPS -- BETA AND ALPHA -- THE EFFICIENT FRONTIER AND THE MARKET PORTFOLIO -- THE SHARPE RATIO -- LIMITATIONS OF MODERN PORTFOLIO THEORY -- Chapter 4: Modeling Risk Management and Stop-loss Myths -- STOP-LOSS ORDERS -- STOPS: EFFECT ON THE MEAN RETURN -- STOPS: EFFECT ON THE PROBABILITY OF GAIN -- STOPS: PROBABILITY OF BEING STOPPED OUT -- STOPS: EFFECT ON VARIANCE AND STANDARD DEVIATION -- EFFECT ON SKEW -- EFFECT ON THE KURTOSIS -- STOP-LOSS: SUMMARY -- MODELING STOPS -- IDENTIFYING WHEN TO USE STOPS AND WHEN NOT TO -- STOP-PROFITS -- PUTS AND CALLS -- Chapter 5: Maximal Compounded Return Model -- OPTIMAL COMPOUND RETURN MODELS -- RELATIVE RETURNS -- AVERAGE STOCK RETURNS, BUT COMPOUND PORTFOLIO RETURNS -- LOGARITHMS AND THE OPTIMAL EXPONENTIAL GROWTH MODEL -- POSITION SIZING AS THE ONLY GUARANTEED RISK CONTROL -- CONTROLLING RISK THROUGH OPTIMAL POSITION SIZING -- MAXIMIZE COMPOUNDED PORTFOLIO RETURN -- MAXIMAL COMPOUNDED RETURN MODELS -- WHAT THE MODEL IS AND IS NOT -- MODELING THE EMPIRICAL DISTRIBUTION -- CORRELATIONS -- THE ENHANCED MAXIMUM INVESTMENT FORMULAS -- EXPECTED DRAWDOWNS MAY BE LARGE -- Chapter 6: Utility Models-Preferences Toward Risk and Return -- BASIS FOR A UTILITY MODEL -- HISTORY OF LOGARITHMS -- OPTIMAL COMPOUNDED UTILITY MODEL -- THE SHARPE RATIO -- OPTIMAL MODEL FOR THE SHARPE RATIO -- OPTIMIZATION WITH EXCEL SOLVER -- Chapter 7: Money Management Formulas Using the Joint Multiasset Distribution -- THE CONTINUOUS THEORETICAL DISTRIBUTIONS -- MAXIMAL LOG LOG MODEL IN THE PRESENCE OF CORRELATION -- OPTIMAL SHARPE MODEL WITH CORRELATION -- THE EMPIRICAL DISTRIBUTION -- MAXIMAL LOG LOG MODEL IN THE PRESENCE OF CORRELATION -- MAXIMIZING THE SHARPE RATIO IN THE PRESENCE OF CORRELATION -- MODELING COINCIDENT CORRELATION -- Chapter 8: Proper Backtesting for Portfolio Models -- ASSURING GOOD DATA -- SYNCHRONIZE DATA -- USE NET CHANGES NOT LEVELS -- ONLY USE INFORMATION FROM THE PAST -- PREDICTIVE STUDIES VERSUS NONPREDICTIVE STUDIES -- USE INTRADAY HIGHS AND LOWS FOR MODEL ACCURACY -- ADJUSTED DATA MAY BE ERRONEOUS -- ADJUSTING YOUR OWN DATA --T$121.
Additional Edition:
Print version: McDonnell, Philip J., 1949- Optimal portfolio modeling. Hoboken, N.J. : John Wiley & Sons, ©2008
Language:
English
Keywords:
Electronic books.
;
Electronic books.
;
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119197515
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119197515
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781119197515
Bookmarklink
