Quantitative Portfolio Management : with Applications in Python. 1st ed. 2020

種類:

電子ブック

責任表示:

by Pierre Brugière

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2020

著者名:

• Brugière, Pierre.
• SpringerLink (Online service)

シリーズ名:

Springer Texts in Business and Economics ;

ISBN:

9783030377403 [3030377407]    

注記:

Returns and the Gaussian Hypothesis -- Utility Functions and the Theory of Choice -- The Markowitz Framework -- Markowitz Without a Risk-Free Asset -- Markowitz with a Risk-Free Asset -- Performance and Diversification Indicators -- Risk Measures and Capital Allocation -- Factor Models -- Identification of the Factors -- Exercises and Problems.
This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management

ローカル注記:

学内専用E-BOOKS (local access only)