Read more
Informationen zum Autor DESSISLAVA A. PACHAMANOVA is professor of analytics and computational finance and Zwerling Family Endowed Research Scholar at Babson College. FRANK J. FABOZZI is professor of finance at EDHEC Business School, a senior scientific adviser at the EDHEC-Risk Institute, and editor of the Journal of Portfolio Management. Klappentext A detailed, multi-disciplinary approach to investment analyticsPortfolio 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 firmsIdentifying 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. Zusammenfassung 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. Inhaltsverzeichnis Preface xix About the Authors xxv Acknowledgments xvii Chapter 1 Introduction to Portfolio Management and Analytics 1 1.1 Asset Classes and the Asset Allocation Decision 1 1.2 The Portfolio Management Process 4 1.2.1 Setting the Investment Objectives 4 1.2.2 Developing and Implementing a Portfolio Strategy 6 1.2.3 Monitoring the Portfolio 8 1.2.4 Adjusting the Portfolio 9 1.3 Traditional versus Quantitative Asset Management 9 1.4 Overview of Portfolio Analytics 10 1.4.1 Market Analytics 12 1.4.2 Financial Screening 15 1.4.3 Asset Allocation Models 16 1.4.4 Strategy Testing and Evaluating Portfolio Performance 17 1.4.5 Systems for Portfolio Analytics 20 1.5 Outline of Topics Covered in the Book 22 Part One Statistical Models of Risk and Uncertainty Chapter 2 Random Variables, Probability Distributions, and Important Statistical Concepts 31 2.1 What Is a Probability Distribution? 31 2.2 The Bernoulli Probability Distribution and Probability Mass Functions 32 2.3 The Binomial Probability Distribution and Discrete Distributions 34 2.4 The Normal Distribution and Probability Density Functions 38 2.5 The Concept of Cumulative Probability 41
