Ebook: Quantitative Methods for Portfolio Analysis: MTV Model Approach

Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for:
(1) `Quants' (quantitatively-inclined analysts) in financial industries;
(2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems;
(3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and
(4) 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, with practical analysis, models for Japanese financial markets.

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Content:
Front Matter....Pages i-x
Quantitative Approach to Asset Allocation....Pages 1-14
Empirical Features of Financial Returns....Pages 15-32
Univariate Financial Time Series Models....Pages 33-57
Multivariate Financial Time Series Models....Pages 58-82
MTV Model and its Applications....Pages 83-107
Quantitative Portfolio Construction Procedures....Pages 108-129
Multifactor Models and their Applications....Pages 130-158
B. Rosenberg Models and their Applications....Pages 159-176
Selection of Portfolio Population....Pages 177-194
Optimal MTV Market Portfolio....Pages 195-204
Index Portfolio and Canonical Correlation Portfolio....Pages 205-219
Black-Scholes Option Theory and its Applications....Pages 220-241
Practical Option Pricing and Related Topics....Pages 242-262
Statistical Bond Pricing Models....Pages 263-282
Back Matter....Pages 283-310

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Content:
Front Matter....Pages i-x
Quantitative Approach to Asset Allocation....Pages 1-14
Empirical Features of Financial Returns....Pages 15-32
Univariate Financial Time Series Models....Pages 33-57
Multivariate Financial Time Series Models....Pages 58-82
MTV Model and its Applications....Pages 83-107
Quantitative Portfolio Construction Procedures....Pages 108-129
Multifactor Models and their Applications....Pages 130-158
B. Rosenberg Models and their Applications....Pages 159-176
Selection of Portfolio Population....Pages 177-194
Optimal MTV Market Portfolio....Pages 195-204
Index Portfolio and Canonical Correlation Portfolio....Pages 205-219
Black-Scholes Option Theory and its Applications....Pages 220-241
Practical Option Pricing and Related Topics....Pages 242-262
Statistical Bond Pricing Models....Pages 263-282
Back Matter....Pages 283-310
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