The Theory \ Details

Contents

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GENERAL INFORMATION

Chapters overview
Correction of historical prices
Types of returns

ANALYTICAL MODEL

Analytical Model of Financial Market

PORTFOLIO ANALYTICS

Definitions
Analytical portfolio
Historical portfolio

PORTFOLIO OPTIMIZATION

Utility functions
Measures of risk aversion
Utility functions approach vs. mean-variance approach
Efficient frontier
Optimality criteria
Worst-case scenario optimization

FACTOR-BASED ASSET PRICING MODELS

General approach
Capital Asset Pricing model
Fama-French 3-factor asset pricing model

MODEL PARAMETERS ESTIMATION

Maximum likelihood estimates for means and covariances
Advanced estimates

DYNAMIC PORTFOLIO STRATEGIES

Portfolio Insurance
Proportional Transaction Costs and Inaction Region

RISK MANAGEMENT TOOLS

Definitions
Calculation techniques

APPENDICES

Appendix A. Block Bootstrapping Algorithm
Appendix B. Downside Volatility
Appendix C. Investments ranking and Performance measures
Appendix D. Selected definitions

REFERENCES

USEFUL LINKS

TABLE OF SYMBOLS

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