Quantitative Methods for Portfolio Analysis - Kariya, T.

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Résumé :
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-inclined analysts) in financial industries; (2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems; (3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and (4) investors who are interested in Japanese financial markets. Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, with practical analysis, models for Japanese financial markets.

Sommaire:
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.

` ... exceptional contribution to advanced portfolio analysis and optimization. ... strong theoretical contribution ... to the field ... covers a broad array of models and methods and gives step-by-step instructions and examples on some significant models. ... consider it as part of your research and reference library.' Interfaces, 26:2 (1996)