| Preface |
| Acknowledgments |
| About the Authors |
| Introduction / Chapter 1： |
| Portfolio Allocation: Classical Theory And Modern Extensions / Part 1： |
| Mean-Variance Analysis and Modern Portfolio Theory / Chapter 2： |
| Transaction and Trading Costs / Chapter 3： |
| Applying the Portfolio Selection Framework in Practice / Chapter 4： |
| Incorporating Higher Moments and Extreme Risk Measures / Chapter 5： |
| Mathematical and Numerical Optimization / Chapter 6： |
| Managing Uncertainty In Practice / Part 2： |
| Equity Price Models / Chapter 7： |
| Forecasting Expected Return and Risk / Chapter 8： |
| Robust Frameworks for Estimation and Portfolio Allocation / Chapter 9： |
| Dynaic Models For Eqity Prices / Part 3： |
| Feedback and Predictors in Stock Markets / Chapter 10： |
| Individual Price Processes: Univariate Models / Chapter 11： |
| Multivariate Models / Chapter 12： |
| Model Selection and its Pitfalls / Chapter 13： |
| Model Estimation Amd Risk Mitigation / Part 4： |
| Estimation of Regression Models / Chapter 14： |
| Estimation of Linear Dynamic Models / Chapter 15： |
| Estimation of Hidden Variable Models / Chapter 16： |
| Model Risk and its Mitigation / Chapter 17： |
| Differences Equations / Appendix A： |
| Correlations, Regressions, and Copulas/ / Appendix B： |
| Data Description / Appendix C： |
| Index |
| Historical Perspective on the Financial Modeling of the Equity Market |
| Central Themes of the Book |
| Organization of the Book |
| Portfolio Allocation: Classical Theory and Modern Extensions |
| The Benefits of Diversification |
| Mean-Variance Analysis: Overview |
| Classical Framework for Mean-Variance Optimization |
| The Capital Market Line |
| Selection of the Optimal Portfolio When there Is a Risk-Free Asset |
| More on Utility Functions: A General Framework for Portfolio Choice |
| Summary |
| A Taxonomy of Transaction Costs |
| Liquidity and Transaction Costs |
| Market Impact Measurements and Empirical Findings |
| Forecasting and Modeling Market Impact |
| Incorporating Transaction Costs in Asset-Allocation Models |
| Optimal Trading |
| Integrated Portfolio Management: Beyond Expected Return and Portfolio Risk |
| Rebalancing in the Mean-Variance Optimization Framework |
| Portfolio Constraints Commonly Used in Practice |
| Dispersion and Downside Measures |
| Portfolio Selection with Higher Moments through Expansions of Utility |
| Polynomial Goal Programming for Portfolio Optimization with Higher Moments |
| Some Remarks on the Estimation of Higher Moments |
| The Approach of Malevergne and Sornette |
| Mathematical Programming |
| Necessary Conditions for Optimality for Continuous Optimization Problems |
| How Do Optimization Algorithms Work? |
| Optimization Software |
| Practical Considerations when Using Optimization Software |
| Managing Uncertainty in Practice |
| Definitions |
| Theoretical and Econometric Models |
| Random Walk Models |
| General Equilibrium Theories |
| Capital Asset Pricing Model (CAPM) |
| Arbitrage Pricing Theory (APT) |
| Dividend Discount and Residual Income Valuation Models |
| The Sample Mean and Covariance Estimator |
| Random Matrices |
| Arbitrage Pricing Theory and Factor Models |
| Factor Models in Practice |
| Factor Models in Practice: An Example |
| Other Approaches to Volatility Estimation |
| Application to Investment Strategies and Proprietary Trading |
| Practical Problems Encountered in Mean-Variance Optimization |
| Shrinkage Estimation |
| Bayesian Approaches |
| Incorporating Estimation Error and Uncertainty in the Portfolio Allocation Process |
| Dynamic Models for Equity Prices |
| Random Walk Models and Their Shortcomings |
| Time Diversification |
| A Multiagent Economy: Effects of Agent Heterogeneity and Interactions |
| Market Predictors |
| Time Aggregation |
| Time Series Concepts |
| Digression on White Noise and Martingale Difference Sequences |
| The Lag Operator L |
| Univariate Autoregressive Moving Average (ARMA) Models |
| Stationarity Conditions |
| Auto Correlations at Different Lags |
| Solutions of an AR(p) Process |
| MA(q) Moving Average Models |
| ARMA(p,q) Models |
| Integrated Processes |
| Dynamic Models: A Historical Perspective |
| Vector Autoregressive Models |
| Vector Autoregressive Moving Average Models (VARMA) |
| Distributional Properties |
| Cointegration |
| Stochastic and Deterministic Cointegration |
| Common Trends |
| Error Correction Models |
| Forecasting with VAR Models |
| State-Space Models |
| Autoregressive Distributed Lag Models |
| Dynamic Factor Models |
| The ARCH/GARCH Family of Models |
| Nonlinear Markov-Switching Models |
| Model Selection and Estimation |
| The (Machine) Learning Approach to Model Selection |
| Sample Size and Model Complexity |
| Dangerous Patterns of Behavior |
| Data Snooping |
| Survivorship Biases and Other Sample Defects |
| Moving Training Windows |
| Model Risk |
| Model Selection in a Nutshell |
| Model Estimation and Model Risk Mitigation |
| Probability Theory and Statistics |
| Populations of Prices and Returns |
| Estimation at Work |
| Estimators |
| Sampling Distributions |
| Critical Values and Confidence Intervals |
| Maximum Likelihood, OLS, and Regressions |
| The Fisher Information Matrix and the Cramer-Rao Bound |
| Regressions |
| Linear Regressions |
| Sampling Distributions of Regressions |
| Relaxing the Normality and Uncorrelated Noise Assumptions |
| Pitfalls of Regressions |
| The Method of Moments and its Generalizations |
| An Approach to Estimation |
| Unit Root Testing |
| Estimation of Linear Regression Models |
| Estimation of Stable Vector Autoregressive (VAR) Models |
| Estimating the Number of Lags |
| Autocorrelation and Distributional Properties of Residuals |
| Stationary Autoregressive Distributed Lag Models |
| Applying Stable VAR Processes to Financial Econometrics |
| Stationary Dynamic Factor Models |
| Estimation of Nonstationary VAR Models |
| Estimation with Canonical Correlations |
| Estimation with Principal Component Analysis |
| Estimation with the Eigenvalues of the Companion Matrix |
| Estimation with Subspace Methods and Dynamic Factor Analysis |
| Application of Cointegration Methods to the Analysis of Predictors |
| Estimation of State-Space Models |
| Estimation of Factor Analytic Models |
| Estimation Methods for Markov-Switching Models |
| Applications |
| Sources of Model Risk |
| The Information Theory Approach to Model Risk |
| Bayesian Modeling |
| Model Averaging and the Shrinkage Approach to Model Risk |
| Random Coefficients Models |
| Appendices |
| Difference Equations |
| Homogeneous Difference Equations |
| Nonhomogeneous Difference Equations |
| Systems of Linear Difference Equations |
| Systems of Homogeneous Linear Difference Equations |
| Correlations, Regressions, and Copulas |
| Probability Density Function, Marginal Density, and Conditional Density |
| Expectations and Conditional Expectations |
| Variances, Covariances, and Correlations |
| Normal Distributions |
| Regression |
| Multivariate Extension |
| Multiple and Multivariate Regressions |
| Canonical Correlations |
| Copula Functions |
図書
ＥＢ
