Cantitate/Preț
Produs
Total produse
Vezi coșul
Portfolio Rebalancing de Edward E. Qian

Portfolio Rebalancing: Chapman and Hall/CRC Financial Mathematics Series

Autor Edward E. Qian
en Limba Engleză Paperback – 18 dec 2020
The goal of Portfolio Rebalancing is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios based on volatilities and returns. The empirical analysis, aided by mathematical insights, will examine the effects of portfolio rebalancing in capital markets for asset allocation portfolios and portfolios of stocks, bonds, and commodities.
Citește tot Restrânge

Toate formatele și edițiile

Toate formatele și edițiile Preț Express
Paperback (1) 31319 lei  6-8 săpt.
  CRC Press – 18 dec 2020 31319 lei  6-8 săpt.
Hardback (1) 49778 lei  6-8 săpt.
  CRC Press – 6 noi 2018 49778 lei  6-8 săpt.

Din seria Chapman and Hall/CRC Financial Mathematics Series

  • 9% Nonlinear Option Pricing
    Preț: 121355 lei
  • 9% Financial Modelling with Jump Processes
    Preț: 76641 lei
  • 8% Introducing Financial Mathematics: Theory, Binomial Models, and Applications
    Preț: 54853 lei
  • 9% Quantitative Equity Portfolio Management: Modern Techniques and Applications
    Preț: 73464 lei
  • 8% Computational Methods in Finance
    Preț: 46952 lei
  • 8% Machine Learning for Factor Investing: Python Version
    Preț: 48958 lei
  • 9% Stochastic Volatility Modeling
    Preț: 60638 lei
  • 9% Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models
    Preț: 83351 lei
  • Introduction to Stochastic Calculus Applied to Finance
    Preț: 34173 lei
  • 8% Foundations of Quantitative Finance, Book VI: Densities, Transformed Distributions, and Limit Theorems
    Preț: 53205 lei
  • 8% Foundations of Quantitative Finance: Book V General Measure and Integration Theory
    Preț: 43895 lei
  • 9% Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products
    Preț: 66119 lei
  • 9% Introduction to Stochastic Finance with Market Examples
    Preț: 64109 lei
  • 20% Introduction to Financial Derivatives with Python
    Preț: 50840 lei
  • 8% Financial Mathematics: A Comprehensive Treatment in Discrete Time
    Preț: 41054 lei
  • 9% Quantitative Finance with Python: A Practical Guide to Investment Management, Trading, and Financial Engineering
    Preț: 70411 lei
  • 9% Pricing Models of Volatility Products and Exotic Variance Derivatives
    Preț: 73100 lei
  • 8% Stochastic Modelling of Big Data in Finance
    Preț: 54738 lei
  • Modeling Fixed Income Securities and Interest Rate Options
    Preț: 34236 lei
  • 9% Financial Mathematics: From Discrete to Continuous Time
    Preț: 59534 lei
  • A Technical Guide to Mathematical Finance
    Preț: 40185 lei
  • 8% Handbook of Price Impact Modeling
    Preț: 54680 lei
  • Derivative Pricing: A Problem-Based Primer
    Preț: 39860 lei
  • 26% Understanding Risk: The Theory and Practice of Financial Risk Management
    Preț: 101474 lei
  • Counterparty Risk and Funding: A Tale of Two Puzzles
    Preț: 42883 lei
  • 26% Unravelling the Credit Crunch
    Preț: 101474 lei
  • 12% An Introduction to Computational Risk Management of Equity-Linked Insurance
    Preț: 31243 lei
  • Metamodeling for Variable Annuities
    Preț: 42883 lei
  • 15% Data Science and Risk Analytics in Finance and Insurance
    Preț: 58985 lei
  • 18% Malliavin Calculus in Finance: Theory and Practice
    Preț: 77469 lei
  • C++ for Financial Mathematics
    Preț: 35663 lei
  • 18% An Introduction to Financial Mathematics: Option Valuation
    Preț: 77048 lei
  • 15% Foundations of Quantitative Finance, Book I: Measure Spaces and Measurable Functions
    Preț: 56111 lei
  • 18% Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
    Preț: 125880 lei
  • 9% The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
    Preț: 59456 lei
  • 21% American-Style Derivatives: Valuation and Computation
    Preț: 38228 lei
  • 24% Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing
    Preț: 90085 lei
  • 26% Financial Modelling in Commodity Markets
    Preț: 76378 lei
  • 20% High-Performance Computing in Finance: Problems, Methods, and Solutions
    Preț: 126655 lei
  • 25% Handbook of Financial Risk Management
    Preț: 143838 lei
  • 15% Quantitative Finance: An Object-Oriented Approach in C++
    Preț: 66831 lei

Preț: 31319 lei

Preț vechi: 35703 lei
-12% Nou

Puncte Express: 470
Preț estimativ în valută:
5994€ • 6260$ • 4969£

Carte tipărită la comandă

Livrare economică 11-25 februarie 25

 Adaugă în coș

Wish list
Gift list
Am citit!
Adaugă în listă
Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9780367732837
ISBN-10: 0367732831
Pagini: 262
Dimensiuni: 156 x 234 x 27 mm
Greutate: 0.49 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series

Public țintă

Professional Practice & Development

Cuprins

ContentsPreface, viiChapter 1 ¿ Introduction 11.1 RISK MANAGEMENT 11.2 REBALANCING ALPHA 21.3 DIVERSIFICATION RETURN, VOLATILITY EFFECT 31.4 SERIAL CORRELATION AND REBALANCING ALPHA 51.5 NEW TOPICS IN PORTFOLIO REBALANCING 61.6 OUTLINE OF THE BOOK 7Chapter 2 ¿ A Brief Review of Portfolio Theory 92.1 ARITHMETIC AND GEOMETRIC MEANS 92.2 RETURN VOLATILITIES 112.3 RELATIONSHIPS BETWEEN ARITHMETIC ANDGEOMETRIC MEANS 132.3.1 Analytic Approximation 132.3.2 Empirical Examination 152.4 PORTFOLIO RETURN AND VOLATILITY 192.5 SERIAL CORRELATION AND VOLATILITY OF MULTIPERIODRETURNS 232.5.1 Single Asset Multi-Period Volatility 242.5.2 Portfolio Multi-Period Volatility 26PROBLEMS 27K26247.indb 5 14-09-2018 17:22:11Chapter 3 ¿ Portfolio Rebalancing 293.1 SIMPLE EXAMPLES 293.2 REBALANCING LONG-ONLY PORTFOLIOS 323.3 REBALANCING LONG-SHORT PORTFOLIOS 363.4 REBALANCING ALPHA 413.4.1 Rebalancing Alpha of Asset Allocation Portfolios 423.4.2 Periodic Rebalancing versus Threshold Rebalancing 46PROBLEMS 47Chapter 4 ¿ Volatility Effect and Return Effect 494.1 DEFINITIONS OF TWO EFFECTS 504.2 POSITIVE RETURN EFFECT OF LONG-ONLYPORTFOLIOS 524.2.1 Jensen’s Inequality 524.2.2 Return Effect of Long-Only Portfolios 534.3 POSITIVE VOLATILITY EFFECT OF LONG-ONLYPORTFOLIOS 534.3.1 Cauchy’s Inequality 544.3.2 A Two-Asset Two-Period Case 544.3.3 An M-Asset Two-Period Case 574.3.4 The General Case 584.4 CASES OF POSITIVE AND NEGATIVE REBALANCINGALPHAS 614.4.1 The Case of Positive Rebalancing Alpha 614.4.2 The Case of Negative Rebalancing Alpha

Notă biografică

Edward Qian is a Chief Investment Officer with PanAgora Asset Management. He has research experience and expertise in quantitative investing, portfolio theory, and asset allocation. He is the co-author of the bestselling book, Quantitative Equity Portfolio Management: Modern Techniques and Applications.

Descriere

This book provides analysis of the effects of portfolio rebalancing on portfolio returns and risks, examining when and why fixed-weight portfolios might outperform buy-and-hold portfolios, and the effects of portfolio rebalancing in capital markets and understand why many capitalization-weighted indices underperform fixed-weight portfolios.