Quantitative Methods for Portfolio Analysis: MTV Model Approach

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Kluwer Academic Publishers, Jan 1, 1993 - Business & Economics - 308 pages
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This text aims to provide practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, it should be helpful reading for Quants (quantitatively-inclined analysts) in financial industries, financial engineers in investment banks; securities companies, derivative-trading companies, and software houses who are developing portfolio trading systems; graduate students and specialists in the areas of finance, business, hardbound economics, statistics, financial engineering; investors who are interested in Japanese financial markets. Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, analysis, models for Japanese financial markets.

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Contents

Selection of Portfolio Population 177
1
Empirical Features of Financial Returns
15
Univariate Financial Time Series Models
33
Copyright

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