Introduction to statistical methods for financial models (Record no. 34162)

MARC details
000 -LEADER
fixed length control field 05728cam a2200517Mu 4500
003 - CONTROL NUMBER IDENTIFIER
control field OCoLC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20200714222252.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS
fixed length control field m d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr cnu---unuuu
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 170715s2018 flu o 000 0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781351981903
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1351981900
Qualifying information (electronic bk.)
035 ## - SYSTEM CONTROL NUMBER
System control number 1556648
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)993779290
040 ## - CATALOGING SOURCE
Original cataloging agency EBLCP
Language of cataloging eng
Transcribing agency EBLCP
Modifying agency CRCPR
-- N$T
-- OCLCO
-- N$T
049 ## - LOCAL HOLDINGS (OCLC)
Holding library MAIN
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG176.5
Item number .S49 2018
072 #7 - SUBJECT CATEGORY CODE
Subject category code MAT
Subject category code subdivision 029000
Source bisacsh
072 #7 - SUBJECT CATEGORY CODE
Subject category code BUS
Subject category code subdivision 027000
Source bisacsh
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Severini, Thomas A.
Fuller form of name (Thomas Alan),
Dates associated with a name 1959-
Relator term author.
245 10 - TITLE STATEMENT
Title Introduction to statistical methods for financial models
Medium [electronic resource] /
Statement of responsibility, etc. Thomas A. Severini.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Boca Raton, FL :
Name of producer, publisher, distributor, manufacturer CRC Press,
Date of production, publication, distribution, manufacture, or copyright notice [2018]
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource (355 p.)
490 1# - SERIES STATEMENT
Series statement Chapman & Hall/CRC Texts in Statistical Science
500 ## - GENERAL NOTE
General note Description based upon print version of record.
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note 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
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 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
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 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
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 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
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 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
520 2# - SUMMARY, ETC.
Summary, etc. "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. "--Provided by publisher.
590 ## - LOCAL NOTE (RLIN)
Local note Master record variable field(s) change: 050, 072, 082
650 04 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Statistics for Business, Finance & Economics.
650 04 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Financial Mathematics.
650 04 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Finance.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Finance
General subdivision Statistical methods.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Finance
General subdivision Mathematical models.
650 07 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element MATHEMATICS / Probability & Statistics / General.
Source of heading or term bisacsh
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element BUSINESS & ECONOMICS / Finance
Source of heading or term bisacsh
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Relationship information Print version:
Main entry heading Severini, Thomas A
Title Introduction to Statistical Methods for Financial Models
Place, publisher, and date of publication Milton : CRC Press,c2017
International Standard Book Number 9781138198371
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Chapman & Hall/CRC Texts in Statistical Science.
850 ## - HOLDING INSTITUTION
Holding institution Faculty of Sciences and Health Technology Library
856 40 - ELECTRONIC LOCATION AND ACCESS
Materials specified EBSCOhost
Uniform Resource Identifier <a href="http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1556648">http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1556648</a>
856 40 - ELECTRONIC LOCATION AND ACCESS
Materials specified ProQuest
Uniform Resource Identifier <a href="https://ebookcentral.proquest.com/lib/vajira-ebooks/detail.action?docID=4901484">https://ebookcentral.proquest.com/lib/vajira-ebooks/detail.action?docID=4901484</a>
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Electronic books
Source of classification or shelving scheme National Library of Medicine Classification
Holdings
Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Home library Current library Shelving location Date acquired Total Checkouts Barcode Date last seen Price effective from Koha item type
    National Library of Medicine Classification   Online Access Kuakarun Nursing Library Kuakarun Nursing Library Processing unit 25/08/2021   Eb34162 25/08/2021 25/08/2021 Electronic books