Introduction to Statistical Methods for Financial Models

✍ Scribed by Thomas A Severini

• Publisher: Chapman and Hall/;CRC Press
• Year: 2017
• Tongue: English
• Leaves: 387
• Series: Chapman & Hall/CRC Texts in Statistical Science
• Edition: 1
• Category: Library

✦ Synopsis

This book provides an introduction to the use of statistical concepts and methods to model and analyze financial data. The ten chapters of the book fall naturally into three sections. Chapters 1 to 3 cover some basic concepts of finance, focusing on the properties of returns on an asset. Chapters 4 through 6 cover aspects of portfolio theory and the methods of estimation needed to implement that theory. The remainder of the book, Chapters 7 through 10, discusses several models for financial data, along with the implications of those models for portfolio theory and for understanding the properties of return data.

The audience for the book is students majoring in Statistics and Economics as well as in quantitative fields such as Mathematics and Engineering. Readers are assumed to have some background in statistical methods along with courses in multivariate calculus and linear algebra.

✦ Table of Contents

Content: Title Page
Copyright Page
Dedication
Table of Contents
Preface
1 Introduction
2 Returns
2.1 Introduction
2.2 Basic Concepts
2.3 Adjusted Prices
2.4 Statistical Properties of Returns
2.5 Analyzing Return Data
2.6 Suggestions for Further Reading
2.7 Exercises
3 Random Walk Hypothesis
3.1 Introduction
3.2 Conditional Expectation
3.3 Efficient Markets and the Martingale Model
3.4 Random Walk Models for Asset Prices
3.5 Tests of the Random Walk Hypothesis
3.6 Do Stock Returns Follow the Random Walk Model?
3.7 Suggestions for Further Reading
3.8 Exercises
4 Portfolios 4.1 Introduction4.2 Basic Concepts
4.3 Negative Portfolio Weights: Short Sales
4.4 Optimal Portfolios of Two Assets
4.5 Risk-Free Assets
4.6 Portfolios of Two Risky Assets and a Risk-Free Asset
4.7 Suggestions for Further Reading
4.8 Exercises
5 Efficient Portfolio Theory
5.1 Introduction
5.2 Portfolios of N Assets
5.3 Minimum-Risk Frontier
5.4 The Minimum-Variance Portfolio
5.5 The Efficient Frontier
5.6 Risk-Aversion Criterion
5.7 The Tangency Portfolio
5.8 Portfolio Constraints
5.9 Suggestions for Further Reading
5.10 Exercises
6 Estimation
6.1 Introduction 6.2 Basic Sample Statistics6.3 Estimation of the Mean Vector and Covariance Matrix
6.4 Weighted Estimators
6.5 Shrinkage Estimators
6.6 Estimation of Portfolio Weights
6.7 Using Monte Carlo Simulation to Study the Properties of Estimators
6.8 Suggestions for Further Reading
6.9 Exercises
7 Capital Asset Pricing Model
7.1 Introduction
7.2 Security Market Line
7.3 Implications of the CAPM
7.4 Applying the CAPM to a Portfolio
7.5 Mispriced Assets
7.6 The CAPM without a Risk-Free Asset
7.7 Using the CAPM to Describe the Expected Returns on a Set of Assets 7.8 Suggestions for Further Reading7.9 Exercises
8 The Market Model
8.1 Introduction
8.2 Market Indices
8.3 The Model and Its Estimation
8.4 Testing the Hypothesis that an Asset Is Priced Correctly
8.5 Decomposition of Risk
8.6 Shrinkage Estimation and Adjusted Beta
8.7 Applying the Market Model to Portfolios
8.8 Diversification and the Market Model
8.9 Measuring Portfolio Performance
8.10 Standard Errors of Estimated Performance Measures
8.11 Suggestions for Further Reading
8.12 Exercises
9 The Single-Index Model
9.1 Introduction
9.2 The Model 9.3 Covariance Structure of Returns under the Single-Index Model9.4 Estimation
9.5 Applications to Portfolio Analysis
9.6 Active Portfolio Management and the Treynor-Black Method
9.7 Suggestions for Further Reading
9.8 Exercises
10 Factor Models
10.1 Introduction
10.2 Limitations of the Single-Index Model
10.3 The Model and Its Estimation
10.4 Factors
10.5 Arbitrage Pricing Theory
10.6 Factor Premiums
10.7 Applications of Factor Models
10.8 Suggestions for Further Reading
10.9 Exercises
References
Index

✦ Subjects

MATHEMATICS / General.;MATHEMATICS / Probability & Statistics / General.;Statistics for Business, Finance & Economics.;Financial Mathematics.;Finance.;Finance -- Statistical methods.;Finance -- Mathematical models.