購物比價找書網找車網
FindBook  
 有 1 項符合

OPTIMAL PORTFOLIO MODELING: MODELS TO MAXIMIZE RE

的圖書
OPTIMAL PORTFOLIO MODELING: MODELS TO MAXIMIZE RE OPTIMAL PORTFOLIO MODELING: MODELS TO MAXIMIZE RE

作者:Philip J. Mcdonnell 
出版社:JOHN WILEY & SONS,LTD
出版日期:2008-01-28
規格: / 297頁
圖書選購
型式價格供應商所屬目錄
 
$ 2676
三民網路書店 三民網路書店
行銷企管
圖書介紹 - 資料來源:三民網路書店   評分:
圖書名稱:OPTIMAL PORTFOLIO MODELING: MODELS TO MAXIMIZE RE
  • 圖書簡介

    Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.

  • 作者簡介

    Philip J. Mcdonnell is a trader and software/trading methodologies developer who has created proprietary data collection and analysis tools for real-time analysis of market direction and stock selection, with an emphasis on options analysis. He has handled network operations for a venture capital incubator, The Inception Group, and developed and sold options analysis software packages. McDonnell served as a research assistant at the University of California, Berkeley, School of Business, under Victor Niederhoffer. He holds degrees in mathematics and computer science from the University of California, Berkeley.

  • 目次

    Foreword.
    Preface.
    Acknowledgments.
    About the Author.
    Chapter 1. Modeling Market Microstructure Randomness in Markets.
    The Random Walk Model.
    What You Cannot Predict Is Random To You.
    Market Microstructure.
    Efficient Market Hypothesis.
    Arbitrage Pricing Theory.
    Chapter 2. The Distribution of Price Changes.
    The Normal Distribution.
    The Empirical Distribution.
    The Lognormal as an Approximation.
    Chapter 3. Investment Objectives.
    Statistician's Fair Game.
    A Fair Game Is A Loser!
    Criteria for a Favorable Game.
    Gambler's Ruin.
    Optimal Return Models.
    Markets Are Rational, Psychologists Are Not.
    The St. Petersburg Paradox.
    Compounded Return is the Real Objective.
    Defining Risk.
    Minimum Risk Models.
    Correlation of Assets.
    Summary of Correlation Relationships.
    Beta and Alpha.
    The Efficient Frontier and the Market Portfolio.
    The Sharpe Ratio.
    Limitations of Modern Portfolio Theory.
    Chapter 4. Modeling Risk Management and Stop Loss Myths.
    Stop Loss Orders.
    Stops: Effect on the Mean Return.
    Stops: Effect on the Probability of Gain.
    Stops: Probability of being stopped out.
    Stops: Effect on Variance and Standard Deviation.
    Effect on Skew.
    Effect on the Kurtosis.
    Stop Loss: Summary.
    Modeling Stops.
    Identifying When to Use Stops and When Not To.
    Stop Profits.
    Puts and Calls.
    Chapter 5. Maximal Compounded Return Model.
    Optimal Compound Return Models.
    Relative Returns.
    Average Stock Returns, but Compound Portfolio Returns.
    Logarithms and the Optimal Exponential Growth Model.
    Position Sizing as the Only Guaranteed Risk Control.
    Controlling Risk through Optimal Position Sizing.
    Maximize Compounded Portfolio Return.
    Maximal Compounded Return Models.
    What the Model Is and Is Not.
    Modeling the Empirical Distribution.
    Correlations.
    The Enhanced Maximum Investment Formulas.
    Expected Drawdowns May be Large.
    Chapter 6. Utility Models - Preferences Toward Risk and Return.
    Basis for a Utility Model.
    History of Logarithms.
    Optimal Compounded Utility Model.
    The Sharpe Ratio.
    Optimal Model for the Sharpe Ratio.
    Optimization with Excel Solver.
    Chapter 7. Money Management Formulas Using the Joint Multi-Asset Distribution.
    The Continuous Theoretical Distributions.
    Maximal Log Log Model in the presence of Correlation.
    Optimal Sharpe Model with Correlation.
    The Empirical Distribution.
    Maximal Log Log Model in the Presence of Correlation.
    Maximizing the Sharpe Ratio in the Presence of Correlation.
    Chapter 8. Proper Backtesting for Portfolio Models.
    Assuring Good Data.
    Synchronize Data.
    Use Net Changes NOT Levels.
    Only Use Information from the Past.
    Predictive Studies vs. Non-Predictive Studies.
    Use Intraday Highs and Lows for Model Accuracy.
    Adjusted Data May Be Erroneous.
    Adjusting Your Own Data.
    Miscellaneous Data Pitfalls.
    Tabulate and Save the Detailed Results with Dates.
    Overlapping Dates are Important for Correlations.
    Calculate Mean, Standard Deviation, Variance and Probability of Win.
    Robust Methods to Find Statistics.
    Confidence Limits for Robust Statistics.
    Chapter 9. The Combined Optimal Portfolio Model.
    Choosing the Theoretical Distribution.
    The Empirical Distribution.
    Selecting Sharpe Versus a Log Log Objective Function.
    Model Simulation.
    Professional Money Manager versus Private Investor.
    About the CD-Rom.
    Contents of the CD-Rom.
    Installation of the CD-Rom.
    Using the Programs.
    Updates to the CD-Rom.
    Appendix A. Table of Values of the Normal Distribution.
    Appendix B. Installing R.
    Appendix C. Introduction to R.
    Introduction to R Manual.
    Appendix D. R Language Definition.
    R Language Definition Manual.
    Index.

贊助商廣告
 
金石堂 - 今日66折
大膽行動:哈佛心理學教授破解負能量,改變人生三步驟
作者:盧安娜.馬奇斯
出版社:先覺出版股份有限公司
出版日期:2024-03-01
66折: $ 284 
金石堂 - 今日66折
上班就是要練廢活量:不廢一點怎麼多上一天班?ㄍㄢ``意滿滿職場療癒廢文集
作者:職場來日
出版社:蘋果屋出版社
出版日期:2021-04-29
66折: $ 263 
金石堂 - 今日66折
純素起司Vegan Cheese:第一本100%純天然起司全書!零蛋奶、無麩質、高蛋白的健康新選擇
作者:Mariko
出版社:台灣廣廈有聲圖書有限公司
出版日期:2020-08-27
66折: $ 329 
金石堂 - 今日66折
我,成了大家的祭品:十字架──我們依著自己的意志,將藤俊獻給了欺負他的人
作者:重松清
出版社:柿子文化事業有限公司
出版日期:2023-09-28
66折: $ 317 
 
金石堂 - 暢銷排行榜
渣男椎名學長與瘋男佐佐木學弟(1)
作者:伊咲ネコオ
出版社:台灣角川股份有限公司
出版日期:2025-03-27
$ 158 
Taaze 讀冊生活 - 暢銷排行榜
數學公式圖鑑︰利用圖像思考,提升理解效率!考試拿高分
作者:阿基頓敦
出版社:遠見天下文化出版股份有限公司
出版日期:2025-02-06
$ 276 
Taaze 讀冊生活 - 暢銷排行榜
腸命百歲:腸道權威最新長齡保健大典【十週年紀念版】
作者:蔡英傑
出版社:時報文化出版企業股份有限公司
出版日期:2019-03-20
$ 252 
Taaze 讀冊生活 - 暢銷排行榜
阿甘投資法︰不看盤、不選股、不挑買點也能穩穩賺
作者:闕又上
出版社:遠見天下文化出版股份有限公司
出版日期:2020-05-27
$ 331 
 
Taaze 讀冊生活 - 新書排行榜
大峪口
作者:王國良
出版社:今古傳奇(滾石移動)
出版日期:2025-04-18
$ 150 
Taaze 讀冊生活 - 新書排行榜
雪的練習生
作者:多和田葉子
出版社:聯合文學出版社股份有限公司
出版日期:2025-04-21
$ 280 
 

©2025 FindBook.com.tw -  購物比價  找書網  找車網  服務條款  隱私權政策