Quantitative Methods for Portfolio Analysis MTV Model Approach

Quantitative Methods for Portfolio Analysis MTV Model Approach / by T. Kariya.

Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for: (1) ̀Quants' (quantitatively-in...

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Bibliographic Details
Main Author: Kariya, T. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Dordrecht : Springer Netherlands : Imprint: Springer, 1993.
Edition:1st ed. 1993.
Series:Theory and Decision Library B, Mathematical and Statistical Methods ; 23
Springer eBook Collection.
Subjects:
Finance.
Econometrics.
Statistics .
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • I 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
  • II Quantitative Asset Allocation Systems
  • 6 Quantitative Portfolio Construction Procedures
  • 7 Multifactor Models and their Applications
  • 8 B. Rosenberg Models and their Applications
  • 9 Selection of Port folio Population
  • 10 Optimal MTV Market Portfolio
  • 11 Index Portfolio and Canonical Correlation Portfolio
  • III 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
  • References.

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