Quantitative methods for portfolio analysis. MTV model approach
type: Item
instance of: scholarly article
title: Quantitative methods for portfolio analysis. MTV model approach
zbMATH Open document ID: 0833.90015
author: Takeaki Kariya
published in: Theory and Decision Library. Series B: Mathematical and Statistical Methods
publication date: 1995-02-20T00:00:00Z
review text: This book describes a variety of quantitative methods for financial asset allocation. It is written for quantitatively-inclined analysts (quants) in financial industries, financial engineers in investment banks, securities companies, derivative trading companies, software houses, etc., who are developing portfolio trading systems, advanced students and specialists in finance, business, economics, statistics, financial engineering, etc.. This book has 3 parts with 14 chapters with a lot of examples from the japanese financial markets. Part I with chapter 1-5 describes quantitative models for portfolio analysis. Part II (ch. 6-11) regards quantitative asset allocation systems, followed by part III (ch. 12-14) with a statistical approach to option pricing and bond pricing. The relationship between the approach of the author and modern portfolio theory is discussed in chapter 1 (quantitative approach to asset allocation) of part I. After the aim of the book to provide practical useful models and methods for quantitative analysts, the demand for variability and for quants portfolio construction systems is regarded followed by the description of modern portfolio theory and quants. Chapter 2 (empirical features of financial returns) begins with an introduction and stationary time series followed by random walk and nonnormality. Then nonindependant and nonlinear features are regarded. Chapter 3 (univariate financial time series models) begins with modelling financial time series, regards then stationarity, trend and return, the Taylor and Arch model. Some nonlinear (bilinear, threshold autoregressive, smoothing transition autoregressive) models follow. In chapter 4 multivariate financial time series models are treated. It discusses multifactor models, reviews some basic multivariate time series models, and describes a state space approach and a Kalman Filter model. It ends with some special multifactor models. Chapter 5 (multivariate time series variance component (MTV) mod…
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B24
Mathematics Subject Classification ID: 90-02
zbMATH DE Number: 724466
zbMATH Keywords: financial asset allocation
zbMATH Keywords: option pricing
zbMATH Keywords: bond pricing
zbMATH Keywords: portfolio theory
zbMATH Keywords: multivariate financial time series
reviewed by: Klaus Ehemann
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 724466