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Quantitative Methods for Portfolio Analysis: MTV Model Approach

Quantitative Methods for Portfolio Analysis: MTV Model Approach

Hardcover

Series: NATO Asi Series. Series C, Mathematical and Physical Science, Book 23

Business GeneralInvesting & Finance

ISBN10: 0792322541
ISBN13: 9780792322542
Publisher: Springer Nature
Published: May 31 1993
Pages: 324
Weight: 1.39
Height: 0.75 Width: 6.14 Depth: 9.21
Language: English
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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