Quantitative Methods for Portfolio Analysis: MTV Model Approach

Quantitative Methods for Portfolio Analysis: MTV Model Approach

by T. Kariya

Paperback(Softcover reprint of the original 1st ed. 1993)

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Product Details

ISBN-13: 9789401047548
Publisher: Springer Netherlands
Publication date: 10/23/2012
Series: Theory and Decision Library B , #23
Edition description: Softcover reprint of the original 1st ed. 1993
Pages: 310
Product dimensions: 6.30(w) x 9.45(h) x 0.03(d)

Table of Contents

Preface. Part 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. Part 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 Portfolio Population. 10. Optimal MTV Market Portfolio. 11. Index Portfolio and Canonical Correlation Portfolio. Part II: 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. Appendix. References. Index.

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