Optimal portfolio modeling models to maximize return and control risk in Excel and R
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| 1. Verfasser: | |
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| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2008
|
| Schriftenreihe: | Wiley trading series
|
| Schlagworte: | |
| Online-Zugang: | Publisher description Table of contents only Inhaltsverzeichnis |
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| LEADER | 00000nam a2200000zc 4500 | ||
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| 007 | t| | ||
| 008 | 080108s2008 xxud||| |||| 00||| eng d | ||
| 010 | |a 2007038105 | ||
| 020 | |a 9780470117668 |9 978-0-470-11766-8 | ||
| 035 | |a (OCoLC)634257231 | ||
| 035 | |a (DE-599)HBZHT015493969 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
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| 049 | |a DE-703 |a DE-2070s | ||
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| 100 | 1 | |a McDonnell, Philip J. |d 1949- |e Verfasser |0 (DE-588)134175662 |4 aut | |
| 245 | 1 | 0 | |a Optimal portfolio modeling |b models to maximize return and control risk in Excel and R |c Philip J. McDonnell |
| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2008 | |
| 300 | |a XIV, 297 S. |b graph. Darst. |e 1 CD-ROM (12 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley trading series | |
| 500 | |a Includes bibliographical references and index | ||
| 630 | 0 | 4 | |a Microsoft Excel (Computer file) |
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Investments | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0743/2007038105-d.html |3 Publisher description | |
| 856 | 4 | |u http://www.loc.gov/catdir/enhancements/fy0743/2007038105-t.html |3 Table of contents only | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016272257&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-016272257 | |
Datensatz im Suchindex
| _version_ | 1819592779149344768 |
|---|---|
| adam_text | Contents
Preface
Acknowledgments
xi
xiii
CHAPTER 1 Modeling Market Microstructure—Randomness
in Markets I
The Random Walk Model 3
What You Cannot Predict Is Random to You 5
Market Microstructure 7
Efficient Market Hypothesis 9
Arbitrage Pricing Theory 10
CHAPTER 2 Distribution of Price Changes
The Normal Distribution
Reflection Principle
Approximation of the Normal Distribution
by Rational Polynomial
Lognormal Distribution
Symmetry of the Normal and Lognormal
Why Pick a Distribution at All?
The Empirical Distribution
The Lognormal as an Approximation
13
13
17
18
19
22
23
24
26
vii
viii
CONTENTS
CHAPTER 3 Investment Objectives 29
Statistician s Fair Game 29
A Fair Game Is a Loser! 30
Criteria for a Favorable Game 30
Gambler s Ruin 31
Optimal Return Models 32
Markets Are Rational, Psychologists Are Not 34
The St. Petersburg Paradox 36
Compounded Return Is the Real Objective 37
Denning Risk 38
Minimum Risk Models 41
Correlation of Assets 41
Summary of Correlation Relationships 42
Beta and Alpha 43
The Efficient Frontier and the Market Portfolio 46
The Sharpe Ratio 47
Limitations of Modern Portfolio Theory 48
CHAPTER 4 Modeling Risk Management and Stop-loss Myths 51
Stop-loss Orders 52
Stops: Effect on the Mean Return 53
Stops: Effect on the Probability of Gain 56
Stops: Probability of Being Stopped Out 56
Stops: Effect on Variance and Standard Deviation 58
Effect on Skew 59
Effect on the Kurtosis 60
Stop-loss: Summary 61
Modeling Stops 61
Identifying When to Use Stops and When Not To 62
Stop-Profits 64
Puts and Calls 65
CHAPTER 5 Maximal Compounded Return Model 67
Optimal Compound Return Models 68
Relative Returns 68
Average Stock Returns, but Compound Portfolio Returns 70
Contents
i
Logarithms and the Optimal Exponential Growth Model 71
Position Sizing as the Only Guaranteed Risk Control 71
Controlling Risk through Optimal Position Sizing 72
Maximize Compounded Portfolio Return 72.
Maximal Compounded Return Models 73
What the Model Is and Is Not 74
Modeling the Empirical Distribution 75
Correlations 76
The Enhanced Maximum Investment Formulas 77
Expected Drawdowns May Be Large 78
CHAPTER 6 Utility Models—Preferences Toward Risk and Return 79
Basis for a Utility Model 80
History of Logarithms 81
Optimal Compounded Utility Model 84
The Sharpe Ratio 85
Optimal Model for the Sharpe Ratio 85
Optimization with Excel Solver 88
CHAPTER 7 Money Management Formulas Using the Joint
Multiasset Distribution 93
The Continuous Theoretical Distributions 94
Maximal Log Log Model in the Presence of Correlation 94
Optimal Sharpe Model with Correlation 95
The Empirical Distribution 96
Maximal Log Log Model in the Presence of Correlation 97
Maximizing the Sharpe Ratio in the Presence
of Correlation 97
CHAPTER 8 Proper Backtesting for Portfolio Models 101
Assuring Good Data 102
Synchronize Data 102
Use Net Changes Not Levels 103
Only Use Information from the Past 104
Predictive Studies versus Nonpredictive Studies 106
CONTENTS
Use Intraday Highs and Lows for Model Accuracy 107
Adjusted Data May Be Erroneous 108
Adjusting Your Own Data 109
Miscellaneous Data Pitfalls 109
Tabulate and Save the Detailed Results with Dates 110
Overlapping Dates Are Important for Correlations 110
Calculate Mean, Standard Deviation, Variance, and
Probability of Win 111
Robust Methods to Find Statistics 111
Confidence Limits for Robust Statistics 112
CHAPTER 9 The Combined Optimal Portfolio Model 113
Choosing the Theoretical Distribution 114
The Empirical Distribution 115
Selecting Sharpe versus a Log Log Objective Function 116
Model Simulation 117
Professional Money Manager versus Private Investor 119
ABOUT THE CD-ROM 121
Introduction 121
System Requirements 121
What s on the CD 122
Updates to the CD-ROM 124
Customer Care 124
APPENDIX 1 Table of Values of the Normal Distribution 125
APPENDIX 2 Installing R 129
APPENDIX 3 Introduction to R 131
APPENDIX 4 R Language Definition 233
Index 295
|
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV023069088 |
| illustrated | Illustrated |
| indexdate | 2024-12-23T20:45:28Z |
| institution | BVB |
| isbn | 9780470117668 |
| language | English |
| lccn | 2007038105 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016272257 |
| oclc_num | 634257231 |
| open_access_boolean | |
| owner | DE-703 DE-2070s |
| owner_facet | DE-703 DE-2070s |
| physical | XIV, 297 S. graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley trading series |
| spellingShingle | McDonnell, Philip J. 1949- Optimal portfolio modeling models to maximize return and control risk in Excel and R Microsoft Excel (Computer file) Portfolio management Risk management Investments |
| title | Optimal portfolio modeling models to maximize return and control risk in Excel and R |
| title_auth | Optimal portfolio modeling models to maximize return and control risk in Excel and R |
| title_exact_search | Optimal portfolio modeling models to maximize return and control risk in Excel and R |
| title_full | Optimal portfolio modeling models to maximize return and control risk in Excel and R Philip J. McDonnell |
| title_fullStr | Optimal portfolio modeling models to maximize return and control risk in Excel and R Philip J. McDonnell |
| title_full_unstemmed | Optimal portfolio modeling models to maximize return and control risk in Excel and R Philip J. McDonnell |
| title_short | Optimal portfolio modeling |
| title_sort | optimal portfolio modeling models to maximize return and control risk in excel and r |
| title_sub | models to maximize return and control risk in Excel and R |
| topic | Microsoft Excel (Computer file) Portfolio management Risk management Investments |
| topic_facet | Microsoft Excel (Computer file) Portfolio management Risk management Investments |
| url | http://www.loc.gov/catdir/enhancements/fy0743/2007038105-d.html http://www.loc.gov/catdir/enhancements/fy0743/2007038105-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016272257&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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