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华中科技大学投资学课件Chapter10 Arbitrage Pricing Theory
华中科技大学 投资学 课件 Chapter10 Arbitrage Pricing Theory
2015/5/19
华中科技大学投资学课件Chapter10 Arbitrage Pricing Theory。
Fire sales that occur during crises beg the question of why su￠ cient outside capital does not move in quickly to take advantage of Öre sales, or in other words, why outside capital is so ìslow-m...
Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Saddlepoint methods in portfolio theory
Saddlepoint methods portfolio theory Portfolio Management
2012/3/2
We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distribution, given throug...
Random Matrix Theory and Fund of Funds Portfolio Optimisation
Random Matrix Theory Hedge Funds Fund of Funds Correlation
2010/10/20
The proprietary nature of Hedge Fund investing means that it is common practise for managers to release minimal information about their returns. The construction of a Fund of Hedge Funds portfolio re...