Portfolio Diversification
Portfolio Diversification

Author: Francois-Serge Lhabitant

Publisher: Elsevier

Published: 2017-09-26

Total Pages: 276

ISBN-13: 0081017863

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Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification

Confirmatory Factor Analysis for Applied Research, Second Edition
Confirmatory Factor Analysis for Applied Research, Second Edition

Author: Timothy A. Brown

Publisher: Guilford Publications

Published: 2015-01-07

Total Pages: 482

ISBN-13: 146251779X

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This accessible book has established itself as the go-to resource on confirmatory factor analysis (CFA) for its emphasis on practical and conceptual aspects rather than mathematics or formulas. Detailed, worked-through examples drawn from psychology, management, and sociology studies illustrate the procedures, pitfalls, and extensions of CFA methodology. The text shows how to formulate, program, and interpret CFA models using popular latent variable software packages (LISREL, Mplus, EQS, SAS/CALIS); understand the similarities ...

Linear Factor Models in Finance
Linear Factor Models in Finance

Author: John Knight

Publisher: Elsevier

Published: 2004-12-01

Total Pages: 298

ISBN-13: 0080455328

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The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes that include asset valuation, portfolio theory and applications, linear factor models and applications, dynamic asset allocation strategies, portfolio performance measurement, risk management, international perspectives, and the use of derivatives. The book develops the building blocks for one of the most important theories of asset pricing - Linear Factor Modelling. Within this framework, we can include other asset pricing theories such as the Capital Asset Pricing Model (CAPM), arbitrage pricing theory and various pricing formulae for derivatives and option prices. As a bare minimum, the reader of this book must have a working knowledge of basic calculus, simple optimisation and elementary statistics. In particular, the reader must be comfortable with the algebraic manipulation of means, variances (and covariances) of linear combination(s) of random variables. Some topics may require a greater mathematical sophistication.* Covers the latest methods in this area.* Combines actual quantitative finance experience with analytical research rigour* Written by both quantitative analysts and academics who work in this area

Quantitative Equity Portfolio Management
Quantitative Equity Portfolio Management

Author: Edward E. Qian

Publisher: CRC Press

Published: 2007-05-11

Total Pages: 462

ISBN-13: 1420010794

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Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

Latent Variable Models and Factor Analysis
Latent Variable Models and Factor Analysis

Author: David J. Bartholomew

Publisher: Wiley

Published: 1999-08-10

Total Pages: 214

ISBN-13: 9780340692431

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Hitherto latent variable modelling has hovered on the fringes of the statistical mainstream but if the purpose of statistics is to deal with real problems, there is every reason for it to move closer to centre stage. In the social sciences especially, latent variables are common and if they are to be handled in a truly scientific manner, statistical theory must be developed to include them. This book aims to show how that should be done. This second edition is a complete re-working of the book of the same name which appeared in the Griffin’s Statistical Monographs in 1987. Since then there has been a surge of interest in latent variable methods which has necessitated a radical revision of the material but the prime object of the book remains the same. It provides a unified and coherent treatment of the field from a statistical perspective. This is achieved by setting up a sufficiently general framework to enable the derivation of the commonly used models. The subsequent analysis is then done wholly within the realm of probability calculus and the theory of statistical inference. Numerical examples are provided as well as the software to carry them out ( where this is not otherwise available). Additional data sets are provided in some cases so that the reader can aquire a wider experience of analysis and interpretation.

The Oxford Handbook of the Five Factor Model
The Oxford Handbook of the Five Factor Model

Author: Thomas A. Widiger

Publisher: Oxford University Press

Published: 2017-03-27

Total Pages: 609

ISBN-13: 0199352496

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The Five Factor Model, which measures individual differences on extraversion, agreeableness, conscientiousness, emotional stability, and openness to experience, is arguably the most prominent dimensional model of general personality structure. In fact, there is now a considerable body of research supporting its construct validity and practical application in clinical, health, and organizational settings. Taking this research to the forefront, The Oxford Handbook of the Five Factor Model showcases the work of expert researchers in the field as they each offer important insight and perspective on all that is known about the Five Factor Model to date. By establishing the origins, foundation, and predominance of the Five Factor Model, this Handbook will focus on such areas as construct validity, diagnosis and assessment, personality neuroscience, and how the Five Factor Model operates in business and industry, animal personality, childhood temperament, and clinical utility.

Financial Econometrics
Financial Econometrics

Author: Svetlozar T. Rachev

Publisher: John Wiley & Sons

Published: 2007-03-22

Total Pages: 560

ISBN-13: 0470121521

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A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

Time Series in High Dimension: the General Dynamic Factor Model
Time Series in High Dimension: the General Dynamic Factor Model

Author: Marc Hallin

Publisher: World Scientific Publishing Company

Published: 2020-03-30

Total Pages: 764

ISBN-13: 9789813278004

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Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.

Statistical Factor Analysis and Related Methods
Statistical Factor Analysis and Related Methods

Author: Alexander T. Basilevsky

Publisher: John Wiley & Sons

Published: 2009-09-25

Total Pages: 770

ISBN-13: 0470317736

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Statistical Factor Analysis and Related Methods Theory andApplications In bridging the gap between the mathematical andstatistical theory of factor analysis, this new work represents thefirst unified treatment of the theory and practice of factoranalysis and latent variable models. It focuses on such areasas: * The classical principal components model and sample-populationinference * Several extensions and modifications of principal components,including Q and three-mode analysis and principal components in thecomplex domain * Maximum likelihood and weighted factor models, factoridentification, factor rotation, and the estimation of factorscores * The use of factor models in conjunction with various types ofdata including time series, spatial data, rank orders, and nominalvariable * Applications of factor models to the estimation of functionalforms and to least squares of regression estimators

Multi-Asset Risk Modeling
Multi-Asset Risk Modeling

Author: Morton Glantz

Publisher: Academic Press

Published: 2013-12-03

Total Pages: 545

ISBN-13: 0124016944

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Multi-Asset Risk Modeling describes, in a single volume, the latest and most advanced risk modeling techniques for equities, debt, fixed income, futures and derivatives, commodities, and foreign exchange, as well as advanced algorithmic and electronic risk management. Beginning with the fundamentals of risk mathematics and quantitative risk analysis, the book moves on to discuss the laws in standard models that contributed to the 2008 financial crisis and talks about current and future banking regulation. Importantly, it also explores algorithmic trading, which currently receives sparse attention in the literature. By giving coherent recommendations about which statistical models to use for which asset class, this book makes a real contribution to the sciences of portfolio management and risk management. - Covers all asset classes - Provides mathematical theoretical explanations of risk as well as practical examples with empirical data - Includes sections on equity risk modeling, futures and derivatives, credit markets, foreign exchange, and commodities