Portfolio construction and analytics / Frank J. Fabozzi, Dessislava A. Pachamanova.

Format:

Book

Author/Creator:

Fabozzi, Frank J., author.

Pachamanova, Dessislava A., author.

Series:

Frank J. Fabozzi series.

Frank J. Fabozzi series

Language:

English

Subjects (All):

Portfolio management.

Physical Description:

1 online resource (603 pages)

Edition:

1st edition

Place of Publication:

Hoboken, New Jersey : John Wiley & Sons, Incorporated, [2016]

Language Note:

English

System Details:

text file

Summary:

"A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity"-- Provided by publisher.

Contents:

Intro

The Frank J. Fabozzi Series

Title Page

Copyright

Table of Contents

Dedication

Preface

Central Themes

Software

Teaching

Disclosure

About the Authors

Acknowledgments

Chapter 1: Introduction to Portfolio Management and Analytics

1.1 Asset Classes and the Asset Allocation Decision

1.2 The Portfolio Management Process

1.3 Traditional versus Quantitative Asset Management

1.4 Overview of Portfolio Analytics

1.5 Outline of Topics Covered in the Book

Part One: Statistical Models of Risk and Uncertainty

Chapter 2: Random Variables, Probability Distributions, and Important Statistical Concepts

2.1 What Is a Probability Distribution?

2.2 The Bernoulli Probability Distribution and Probability Mass Functions

2.3 The Binomial Probability Distribution and Discrete Distributions

2.4 The Normal Distribution and Probability Density Functions

2.5 The Concept of Cumulative Probability

2.6 Describing Distributions

2.7 Dependence between Two Random Variables: Covariance and Correlation

2.8 Sums of Random Variables

2.9 Joint Probability Distributions and Conditional Probability

2.10 Copulas

2.11 From Probability Theory to Statistical Measurement: Probability Distributions and Sampling

Chapter 3: Important Probability Distributions

3.1 Examples of Probability Distributions

3.2 Modeling Financial Return Distributions

3.3 Modeling Tails of Financial Return Distributions

Chapter 4: Statistical Estimation Models

4.1 Commonly Used Return Estimation Models

4.2 Regression Analysis

4.3 Factor Analysis

4.4 Principal Components Analysis

4.5 Autoregressive Conditional Heteroscedastic Models

Part Two: Simulation and Optimization Modeling

Chapter 5: Simulation Modeling

5.1 Monte Carlo Simulation: A Simple Example

5.2 Why Use Simulation?.

5.3 How Many Scenarios?

5.4 Random Number Generation

Chapter 6: Optimization Modeling

6.1 Optimization Formulations

6.2 Important Types of Optimization Problems

6.3 A Simple Optimization Problem Formulation Example: Portfolio Allocation

6.4 Optimization Algorithms

6.5 Optimization Software

6.6 A Software Implementation Example

Chapter 7: Optimization under Uncertainty

7.1 Dynamic Programming

7.2 Stochastic Programming

7.3 Robust Optimization

Part Three: Three Portfolio Theory

Chapter 8: Asset Diversification

8.1 The Case for Diversification

8.2 The Classical Mean-Variance Optimization Framework

8.3 Efficient Frontiers

8.4 Alternative Formulations of the Classical Mean-Variance Optimization Problem

8.5 The Capital Market Line

8.6 Expected Utility Theory

8.7 Diversification Redefined

Chapter 9: Factor Models

9.1 Factor Models in the Financial Economics Literature

9.2 Mean-Variance Optimization with Factor Models

9.3 Factor Selection in Practice

9.4 Factor Models for Alpha Construction

9.5 Factor Models for Risk Estimation

9.6 Data Management and Quality Issues

9.7 Risk Decomposition, Risk Attribution, and Performance Attribution

9.8 Factor Investing

Chapter 10: Benchmarks and the Use of Tracking Error in Portfolio Construction

10.1 Tracking Error versus Alpha: Calculation and Interpretation

10.2 Forward-Looking versus Backward-Looking Tracking Error

10.3 Tracking Error and Information Ratio

10.4 Predicted Tracking Error Calculation

10.5 Benchmarks and Indexes

10.6 Smart Beta Investing

Part Four: Equity Portfolio Management

Chapter 11: Advances in Quantitative Equity Portfolio Management

11.1 Portfolio Constraints Commonly Used in Practice

11.2 Portfolio Optimization with Tail Risk Measures

11.3 Incorporating Transaction Costs.

11.4 Multiaccount Optimization

11.5 Incorporating Taxes

11.6 Robust Parameter Estimation

11.7 Portfolio Resampling

11.8 Robust Portfolio Optimization

Chapter 12: Factor-Based Equity Portfolio Construction and Performance Evaluation

12.1 Equity Factors Used in Practice

12.2 Stock Screens

12.3 Portfolio Selection

12.4 Risk Decomposition

12.5 Stress Testing

12.6 Portfolio Performance Evaluation

12.7 Risk Forecasts and Simulation

Part Five: Fixed Income Portfolio Management

Chapter 13: Fundamentals of Fixed Income Portfolio Management

13.1 Fixed Income Instruments and Major Sectors of the Bond Market

13.2 Features of Fixed Income Securities

13.3 Major Risks Associated with Investing in Bonds

13.4 Fixed Income Analytics

13.5 The Spectrum of Fixed Income Portfolio Strategies

13.6 Value-Added Fixed Income Strategies

Chapter 14: Factor-Based Fixed Income Portfolio Construction and Evaluation

14.1 Fixed Income Factors Used in Practice

14.2 Portfolio Selection

14.3 Risk Decomposition

Chapter 15: Constructing Liability-Driven Portfolios

15.1 Risks Associated with Liabilities

15.2 Liability-Driven Strategies of Life Insurance Companies

15.3 Liability-Driven Strategies of Defined Benefit Pension Funds

Part Six: Derivatives and Their Application to Portfolio Management

Chapter 16: Basics of Financial Derivatives

16.1 Overview of the Use of Derivatives in Portfolio Management

16.2 Forward and Futures Contracts

16.3 Options

16.4 Swaps

Chapter 17: Using Derivatives in Equity Portfolio Management

17.1 Stock Index Futures and Portfolio Management Applications

17.2 Equity Options and Portfolio Management Applications

17.3 Equity Swaps

Chapter 18: Using Derivatives in Fixed Income Portfolio Management.

18.1 Controlling Interest Rate Risk Using Treasury Futures

18.2 Controlling Interest Rate Risk Using Treasury Futures Options

18.3 Controlling Interest Rate Risk Using Interest Rate Swaps

18.4 Controlling Credit Risk with Credit Default Swaps

Appendix: Basic Linear Algebra Concepts

A.1 Systems of Equations

A.2 Vectors and Matrices

A.3 Matrix Algebra

A.4 Important Definitions

References

Index

End User License Agreement.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781119238140

1119238145

9781119238164

1119238161

OCLC:

935784547