Quantitative Methods for Portfolio Analysis: MTV Model Approach (Theory and Decision Library B:) |  | Author: T. Kariya
Publisher: Springer
Category: Book
Buy New: $216.00
New (3) Used (5) from $185.10
Rating:  1 reviews
Sales Rank: 6899999
Media: Hardcover
Edition: 1
Pages: 320
Number Of Items: 1
Shipping Weight (lbs): 1.5
Dimensions (in): 10 x 6.8 x 0.5
ISBN: 0792322541
Dewey Decimal Number: 332.60151
EAN: 9780792322542
ASIN: 0792322541
Publication Date: May 31, 1993
Availability: Usually ships in 4 to 6 weeks
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| Editorial Reviews:
Product Description
Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for: (1) `Quants' (quantitatively-inclined analysts) in financial industries; (2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems; (3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and (4) investors who are interested in Japanese financial markets. Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, with practical analysis, models for Japanese financial markets.
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| Customer Reviews:
The MTV approach to Portfolio Construction April 2, 2000
Gary Nan Tie (Woodbury, MN USA)
3 out of 4 found this review helpful
This book provides practical details for applying quantitative techniques in building portfolios to maximize expected utility. In particular, Kariya proposes use of his MTV (multivariate time series variance component) model for forecasting returns and risks. Essentially multivariate financial time series are decomposed into simpler principal components, which in turn are are analyzed as ARMA or GARCH models etc. (Compare with the work of Carol Alexander 1996.) This methodology is exemplified in the Japanese markets. Overall a systematic and disciplined approach to quantitative portfolio construction.
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