Portfolio Construction and Analytics

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9781118445594

Category: Business & Economics

Page: 624

View: 594

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. 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 firms Identifying 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.
Portfolio Construction and Analytics

Author: Frank J. Fabozzi

Publisher: John Wiley & Sons

ISBN: 9781119238164

Category: Business & Economics

Page: 624

View: 781

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. 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 firms Identifying 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.
Portfolio Construction, Measurement, and Efficiency

Author: John B. Guerard, Jr.

Publisher: Springer

ISBN: 9783319339764

Category: Business & Economics

Page: 453

View: 346

This volume, inspired by and dedicated to the work of pioneering investment analyst, Jack Treynor, addresses the issues of portfolio risk and return and how investment portfolios are measured. In a career spanning over fifty years, the primary questions addressed by Jack Treynor were: Is there an observable risk-return trade-off? How can stock selection models be integrated with risk models to enhance client returns? Do managed portfolios earn positive, and statistically significant, excess returns and can mutual fund managers time the market? Since the publication of a pair of seminal Harvard Business Review articles in the mid-1960’s, Jack Treynor has developed thinking that has greatly influenced security selection, portfolio construction and measurement, and market efficiency. Key publications addressed such topics as the Capital Asset Pricing Model and stock selection modeling and integration with risk models. Treynor also served as editor of the Financial Analysts Journal, through which he wrote many columns across a wide spectrum of topics. This volume showcases original essays by leading researchers and practitioners exploring the topics that have interested Treynor while applying the most current methodologies. Such topics include the origins of portfolio theory, market timing, and portfolio construction in equity markets. The result not only reinforces Treynor’s lasting contributions to the field but suggests new areas for research and analysis.
Advances in Portfolio Construction and Implementation

Author: Alan Scowcroft

Publisher: Elsevier

ISBN: 9780080471846

Category: Business & Economics

Page: 384

View: 898

Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management. Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance. *Provides practical guidance on financial risk management *Covers the latest developments in investment portfolio construction *Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)
Handbook of Portfolio Construction

Author: John B. Guerard, Jr.

Publisher: Springer Science & Business Media

ISBN: 9780387774398

Category: Business & Economics

Page: 794

View: 307

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
Portfolio Analytics

Author: Wolfgang Marty

Publisher: Springer

ISBN: 9783319198125

Category: Business & Economics

Page: 204

View: 158

This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking errors are analyzed and ex-post versus ex-ante risk figures are compared. The author then proceeds to modern portfolio theory (MPT) and illustrates how the constraints interfere substantially in the construction of optimized portfolios. As a conclusion, the book provides the reader with all the essential aspects of investment controlling.
Equity Markets and Portfolio Analysis

Author: R. Stafford Johnson

Publisher: John Wiley & Sons

ISBN: 9781118202685

Category: Business & Economics

Page: 720

View: 376

Understand today's investment challenges and the role of the Bloomberg system In recent years, changes have swept through the investment industry like wildfire. Academia has followed along and provided new lenses for viewing this transformation, as well as new strategies for gaining a true understanding and knowledge of investment and financial markets. Now, Equity Markets and Portfolio Analysis has been created to further inform investment professionals and finance students on the basic concepts and strategies of investments, and to provide more detailed discussions on advanced strategies and models. The concepts covered in this book will help readers gain a better understanding of the markets and uses for an increasing number of securities, strategies, and methodologies. Equity Markets and Portfolio Analysis is the only core investment book that covers the functionality of Bloomberg terminals, increasingly critical tools both in the classroom and on the trading floor. As Bloomberg terminals now play a key role in the research, teaching, and managing of student investment funds, understanding the system's information and analytical functions has become more important than ever. In-depth coverage of fundamentals through more detailed concepts for students and professionals who want to better understand the evaluation, selection, and management of securities One-of-a-kind training and instructional course, introduction to Bloomberg investment subjects, and reference for CFA preparation Bloomberg material provided in an appendix accompanying each chapter, a useful option for professors Ideal for finance practitioners, investment bankers, and academics This unique resource will give readers both the foundational knowledge and the analytical tools necessary for investment success, both in the classroom and in the real world.
Big Data Analytics for Improved Accuracy, Efficiency, and Decision Making in Digital Marketing

Author: Singh, Amandeep

Publisher: IGI Global

ISBN: 9781799872337

Category: Business & Economics

Page: 310

View: 927

The availability of big data, low-cost commodity hardware, and new information management and analytic software have produced a unique moment in the history of data analysis. The convergence of these trends means that we have the capabilities required to analyze astonishing data sets quickly and cost-effectively for the first time in history. They represent a genuine leap forward and a clear opportunity to realize enormous gains in terms of efficiency, productivity, revenue, and profitability especially in digital marketing. Data plays a huge role in understanding valuable insights about target demographics and customer preferences. From every interaction with technology, regardless of whether it is active or passive, we are creating new data that can describe us. If analyzed correctly, these data points can explain a lot about our behavior, personalities, and life events. Companies can leverage these insights for product improvements, business strategy, and marketing campaigns to cater to the target customers. Big Data Analytics for Improved Accuracy, Efficiency, and Decision Making in Digital Marketing aids understanding of big data in terms of digital marketing for meaningful analysis of information that can improve marketing efforts and strategies using the latest digital techniques. The chapters cover a wide array of essential marketing topics and techniques, including search engine marketing, consumer behavior, social media marketing, online advertising, and how they interact with big data. This book is essential for professionals and researchers working in the field of analytics, data, and digital marketing, along with marketers, advertisers, brand managers, social media specialists, managers, sales professionals, practitioners, researchers, academicians, and students looking for the latest information on how big data is being used in digital marketing strategies.
Computational Intelligence in Communications and Business Analytics

Author: Paramartha Dutta

Publisher: Springer Nature

ISBN: 9783030755294

Category: Computers

Page: 273

View: 640

This book constitutes the refereed proceedings of the Third International Conference on Computational Intelligence, Communications, and Business Analytics, CICBA 2021, held in Santiniketan, India, in January 2021. The 12 full papers and 8 short papers presented in this volume were carefully reviewed and selected from 84 submissions. The papers are organized in topical sections on computational forensic (privacy and security); computational intelligence; data science and advanced data analytics; and intelligent data mining and data warehousing.
Fixed-Income Portfolio Analytics

Author: David Jamieson Bolder

Publisher: Springer

ISBN: 9783319126678

Category: Business & Economics

Page: 544

View: 611

The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical tools and the common pitfalls that arise when working in this area. Finally, the book discusses tools for testing the reasonableness of the key analytics to help build and maintain confidence for using these techniques in day-to-day decision making. This will be of keen interest to risk managers, analysts and asset managers responsible for fixed-income portfolios.
Introduction to Financial Forecasting in Investment Analysis

Author: John B. Guerard, Jr.

Publisher: Springer Science & Business Media

ISBN: 9781461452393

Category: Business & Economics

Page: 236

View: 888

Forecasting—the art and science of predicting future outcomes—has become a crucial skill in business and economic analysis. This volume introduces the reader to the tools, methods, and techniques of forecasting, specifically as they apply to financial and investing decisions. With an emphasis on "earnings per share" (eps), the author presents a data-oriented text on financial forecasting, understanding financial data, assessing firm financial strategies (such as share buybacks and R&D spending), creating efficient portfolios, and hedging stock portfolios with financial futures. The opening chapters explain how to understand economic fluctuations and how the stock market leads the general economic trend; introduce the concept of portfolio construction and how movements in the economy influence stock price movements; and introduce the reader to the forecasting process, including exponential smoothing and time series model estimations. Subsequent chapters examine the composite index of leading economic indicators (LEI); review financial statement analysis and mean-variance efficient portfolios; and assess the effectiveness of analysts’ earnings forecasts. Using data from such firms as Intel, General Electric, and Hitachi, Guerard demonstrates how forecasting tools can be applied to understand the business cycle, evaluate market risk, and demonstrate the impact of global stock selection modeling and portfolio construction.
Multicriteria Portfolio Construction with Python

Author: Elissaios Sarmas

Publisher: Springer Nature

ISBN: 9783030537432

Category: Business & Economics

Page: 176

View: 850

This book covers topics in portfolio management and multicriteria decision analysis (MCDA), presenting a transparent and unified methodology for the portfolio construction process. The most important feature of the book includes the proposed methodological framework that integrates two individual subsystems, the portfolio selection subsystem and the portfolio optimization subsystem. An additional highlight of the book includes the detailed, step-by-step implementation of the proposed multicriteria algorithms in Python. The implementation is presented in detail; each step is elaborately described, from the input of the data to the extraction of the results. Algorithms are organized into small cells of code, accompanied by targeted remarks and comments, in order to help the reader to fully understand their mechanics. Readers are provided with a link to access the source code through GitHub. This Work may also be considered as a reference which presents the state-of-art research on portfolio construction with multiple and complex investment objectives and constraints. The book consists of eight chapters. A brief introduction is provided in Chapter 1. The fundamental issues of modern portfolio theory are discussed in Chapter 2. In Chapter 3, the various multicriteria decision aid methods, either discrete or continuous, are concisely described. In Chapter 4, a comprehensive review of the published literature in the field of multicriteria portfolio management is considered. In Chapter 5, an integrated and original multicriteria portfolio construction methodology is developed. Chapter 6 presents the web-based information system, in which the suggested methodological framework has been implemented. In Chapter 7, the experimental application of the proposed methodology is discussed and in Chapter 8, the authors provide overall conclusions. The readership of the book aims to be a diverse group, including fund managers, risk managers, investment advisors, bankers, private investors, analytics scientists, operations researchers scientists, and computer engineers, to name just several. Portions of the book may be used as instructional for either advanced undergraduate or post-graduate courses in investment analysis, portfolio engineering, decision science, computer science, or financial engineering.