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· 분류 : 외국도서 > 경제경영 > 금융/재정 > 일반
· ISBN : 9780471699002
· 쪽수 : 672쪽
목차
Preface.
Acknowledgments.
About the Authors.
Chapter 1. Introduction.
PART ONE: 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 TWO: 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 THREE: DYNAIC MODELS FOR EQITY 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 FOUR: MODEL ESTIMATION AMD 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.
Index.