Introduction to statistical methods for financial models / Thomas A. Severini (Northwestern University, Evanston, Illinois, USA)

By:

Severini, Thomas A, 1959- [VerfasserIn]

Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Chapman & Hall / CRC Texts in Statistical SciencePublisher: Boca Raton ; London ; New York : CRC Press, [2018]Description: 1 Online-Ressource (355 p)ISBN:

9781315270388
9781351981910
9781351981903
9781351981897

Subject(s):

Additional physical formats: 9781138198371. | Erscheint auch als: Introduction to statistical methods for financial models. Druck-Ausgabe Boca Raton, FL : CRC Press, Taylor & Francis Group, 2018. xvi, 370 SeitenRVK: RVK: QK 000LOC classification:

HG176.5

Online resources:

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Summary: "This book provides an introduction to the use of statistical concepts and methods to model and analyze financial data. The ten chapters of the book fall naturally into three sections. Chapters 1 to 3 cover some basic concepts of finance, focusing on the properties of returns on an asset. Chapters 4 through 6 cover aspects of portfolio theory and the methods of estimation needed to implement that theory. The remainder of the book, Chapters 7 through 10, discusses several models for financial data, along with the implications of those models for portfolio theory and for understanding the properties of return data. The audience for the book is students majoring in Statistics and Economics as well as in quantitative fields such as Mathematics and Engineering. Readers are assumed to have some background in statistical methods along with courses in multivariate calculus and linear algebra. "--Provided by publisherSummary: 4.1 Introduction4.2 Basic Concepts; 4.3 Negative Portfolio Weights: Short Sales; 4.4 Optimal Portfolios of Two Assets; 4.5 Risk-Free Assets; 4.6 Portfolios of Two Risky Assets and a Risk-Free Asset; 4.7 Suggestions for Further Reading; 4.8 Exercises; 5 Efficient Portfolio Theory; 5.1 Introduction; 5.2 Portfolios of N Assets; 5.3 Minimum-Risk Frontier; 5.4 The Minimum-Variance Portfolio; 5.5 The Efficient Frontier; 5.6 Risk-Aversion Criterion; 5.7 The Tangency Portfolio; 5.8 Portfolio Constraints; 5.9 Suggestions for Further Reading; 5.10 Exercises; 6 Estimation; 6.1 IntroductionSummary: 6.2 Basic Sample Statistics6.3 Estimation of the Mean Vector and Covariance Matrix; 6.4 Weighted Estimators; 6.5 Shrinkage Estimators; 6.6 Estimation of Portfolio Weights; 6.7 Using Monte Carlo Simulation to Study the Properties of Estimators; 6.8 Suggestions for Further Reading; 6.9 Exercises; 7 Capital Asset Pricing Model; 7.1 Introduction; 7.2 Security Market Line; 7.3 Implications of the CAPM; 7.4 Applying the CAPM to a Portfolio; 7.5 Mispriced Assets; 7.6 The CAPM without a Risk-Free Asset; 7.7 Using the CAPM to Describe the Expected Returns on a Set of AssetsSummary: 7.8 Suggestions for Further Reading7.9 Exercises; 8 The Market Model; 8.1 Introduction; 8.2 Market Indices; 8.3 The Model and Its Estimation; 8.4 Testing the Hypothesis that an Asset Is Priced Correctly; 8.5 Decomposition of Risk; 8.6 Shrinkage Estimation and Adjusted Beta; 8.7 Applying the Market Model to Portfolios; 8.8 Diversification and the Market Model; 8.9 Measuring Portfolio Performance; 8.10 Standard Errors of Estimated Performance Measures; 8.11 Suggestions for Further Reading; 8.12 Exercises; 9 The Single-Index Model; 9.1 Introduction; 9.2 The ModelSummary: Title Page; Copyright Page; Dedication; Table of Contents; Preface; 1 Introduction; 2 Returns; 2.1 Introduction; 2.2 Basic Concepts; 2.3 Adjusted Prices; 2.4 Statistical Properties of Returns; 2.5 Analyzing Return Data; 2.6 Suggestions for Further Reading; 2.7 Exercises; 3 Random Walk Hypothesis; 3.1 Introduction; 3.2 Conditional Expectation; 3.3 Efficient Markets and the Martingale Model; 3.4 Random Walk Models for Asset Prices; 3.5 Tests of the Random Walk Hypothesis; 3.6 Do Stock Returns Follow the Random Walk Model?; 3.7 Suggestions for Further Reading; 3.8 Exercises; 4 PortfoliosSummary: "This book provides an introduction to the use of statistical concepts and methods to model and analyze financial data. The ten chapters of the book fall naturally into three sections. Chapters 1 to 3 cover some basic concepts of finance, focusing on the properties of returns on an asset. Chapters 4 through 6 cover aspects of portfolio theory and the methods of estimation needed to implement that theory. The remainder of the book, Chapters 7 through 10, discusses several models for financial data, along with the implications of those models for portfolio theory and for understanding the properties of return data. The audience for the book is students majoring in Statistics and Economics as well as in quantitative fields such as Mathematics and Engineering. Readers are assumed to have some background in statistical methods along with courses in multivariate calculus and linear algebra. "--Provided by publisherPPN: PPN: 898058287Package identifier: Produktsigel: ZDB-4-NLEBK

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