Portfolio Construction and Analytics

626 Pages·2016·6.25 MB·English

by  Frank J. Fabozzi

Portfolio
Construction
and Analytics
The Frank J. Fabozzi Series
FixedIncomeSecurities,SecondEditionbyFrankJ.Fabozzi
Focus on Value: A Corporate and Investor Guide to Wealth Creation by
JamesL.GrantandJamesA.Abate
HandbookofGlobalFixedIncomeCalculationsbyDragomirKrgin
Managing a Corporate Bond Portfolio by Leland E. Crabbe and Frank
J.Fabozzi
RealOptionsandOption-EmbeddedSecuritiesbyWilliamT.Moore
Capital Budgeting: Theory and Practice by Pamela P. Peterson and Frank
J.Fabozzi
TheExchange-TradedFundsManualbyGaryL.Gastineau
ProfessionalPerspectivesonFixedIncomePortfolioManagement,Volume3
editedbyFrankJ.Fabozzi
InvestinginEmergingFixedIncomeMarketseditedbyFrankJ.Fabozziand
EfstathiaPilarinu
HandbookofAlternativeAssetsbyMarkJ.P.Anson
The Global Money Markets by Frank J. Fabozzi, Steven V. Mann, and
MooradChoudhry
TheHandbookofFinancialInstrumentseditedbyFrankJ.Fabozzi
Interest Rate, Term Structure, and Valuation Modeling edited by Frank
J.Fabozzi
InvestmentPerformanceMeasurementbyBruceJ.Feibel
TheHandbookofEquityStyleManagementeditedbyT.DanielCogginand
FrankJ.Fabozzi
The Theory and Practice of Investment Management edited by Frank
J.FabozziandHarryM.Markowitz
FoundationsofEconomicValueAdded,SecondEditionbyJamesL.Grant
Financial Management and Analysis, Second Edition by Frank J. Fabozzi
andPamelaP.Peterson
Measuring and Controlling Interest Rate and Credit Risk, Second Edition
byFrankJ.Fabozzi,StevenV.Mann,andMooradChoudhry
ProfessionalPerspectivesonFixedIncomePortfolioManagement,Volume4
editedbyFrankJ.Fabozzi
The Handbook of European Fixed Income Securities edited by Frank
J.FabozziandMooradChoudhry
TheHandbookofEuropeanStructuredFinancialProductseditedbyFrank
J.FabozziandMooradChoudhry
The Mathematics of Financial Modeling and Investment Management by
SergioM.FocardiandFrankJ.Fabozzi
ShortSelling:Strategies,Risks,andRewardseditedbyFrankJ.Fabozzi
The Real Estate Investment Handbook by G. Timothy Haight and Daniel
Singer
MarketNeutralStrategieseditedbyBruceI.JacobsandKennethN.Levy
SecuritiesFinance:SecuritiesLendingandRepurchaseAgreementseditedby
FrankJ.FabozziandStevenV.Mann
Fat-Tailed and Skewed Asset Return Distributions by Svetlozar T. Rachev,
ChristianMenn,andFrankJ.Fabozzi
FinancialModelingoftheEquityMarket:FromCAPMtoCointegrationby
FrankJ.Fabozzi,SergioM.Focardi,andPetterN.Kolm
Advanced Bond Portfolio Management: Best Practices in Modeling and
Strategies edited by Frank J. Fabozzi, Lionel Martellini, and Philippe
Priaulet
AnalysisofFinancialStatements,SecondEditionbyPamelaP.Petersonand
FrankJ.Fabozzi
CollateralizedDebtObligations:StructuresandAnalysis,SecondEditionby
DouglasJ.Lucas,LaurieS.Goodman,andFrankJ.Fabozzi
HandbookofAlternativeAssets,SecondEditionbyMarkJ.P.Anson
Introduction to Structured Finance by Frank J. Fabozzi, Henry A. Davis,
andMooradChoudhry
Financial Econometrics by Svetlozar T. Rachev, Stefan Mittnik, Frank
J.Fabozzi,SergioM.Focardi,andTeoJasic
Developments in Collateralized Debt Obligations: New Products and
Insights by Douglas J. Lucas, Laurie S. Goodman, Frank J. Fabozzi, and
RebeccaJ.Manning
RobustPortfolioOptimizationandManagementbyFrankJ.Fabozzi,Peter
N.Kolm,DessislavaA.Pachamanova,andSergioM.Focardi
AdvancedStochasticModels,RiskAssessment,andPortfolioOptimizations
bySvetlozarT.Rachev,StoganV.Stoyanov,andFrankJ.Fabozzi
How to Select Investment Managers and Evaluate Performance by
G.TimothyHaight,StephenO.Morrell,andGlennE.Ross
BayesianMethodsinFinancebySvetlozarT.Rachev,JohnS.J.Hsu,Biliana
S.Bagasheva,andFrankJ.Fabozzi
SimulationandOptimizationinFinance:ModelingwithMATLAB,@RISK,
orVBA+WebsitebyDessislavaA.PachamanovaandFrankJ.Fabozzi
TheHandbookofMunicipalBondseditedbySylvanG.FeldsteinandFrank
J.Fabozzi
Subprime Mortgage Credit Derivatives by Laurie S. Goodman, Shumin Li,
DouglasJ.Lucas,ThomasAZimmerman,andFrankJ.Fabozzi
IntroductiontoSecuritizationbyFrankJ.FabozziandVinodKothari
Structured Products and Related Credit Derivatives edited by Brian
P.Lancaster,GlennM.Schultz,andFrankJ.Fabozzi
HandbookofFinance:VolumeI:FinancialMarketsandInstrumentsedited
byFrankJ.Fabozzi
Handbook of Finance: Volume II: Financial Management and Asset Man-
agementeditedbyFrankJ.Fabozzi
Handbook of Finance: Volume III: Valuation, Financial Modeling, and
QuantitativeToolseditedbyFrankJ.Fabozzi
Finance:CapitalMarkets,FinancialManagement,andInvestmentManage-
mentbyFrankJ.FabozziandPamelaPeterson-Drake
ActivePrivateEquityRealEstateStrategyeditedbyDavidJ.Lynn
Foundations and Applications of the Time Value of Money by Pamela
Peterson-DrakeandFrankJ.Fabozzi
Leveraged Finance: Concepts, Methods, and Trading of High-Yield Bonds,
Loans, and Derivatives by Stephen Antczak, Douglas Lucas, and Frank
J.Fabozzi
ModernFinancialSystems:TheoryandApplicationsbyEdwinNeave
InstitutionalInvestmentManagement:EquityandBondPortfolioStrategies
andApplicationsbyFrankJ.Fabozzi
RobustEquityPortfolioManagement+WebsitebyWooChangKim,Jang
HoKim,andFrankJ.Fabozzi
Portfolio
Construction
and Analytics
DESSISLAVA A. PACHAMANOVA
FRANK J. FABOZZI
Copyright©2016byDessislavaA.PachamanovaandFrankJ.Fabozzi.Allrightsreserved.
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LibraryofCongressCataloging-in-PublicationData:
Names:Fabozzi,FrankJ.,author.|Pachamanova,DessislavaA.,author.
Title:Portfolioconstructionandanalytics/FrankJ.Fabozzi,DessislavaPachamanova.
Description:Hoboken,NewJersey:JohnWiley&Sons,Inc.,[2016]|Series:
FrankJ.Fabozziseries|Includesbibliographicalreferencesandindex.
Identifiers:LCCN2015040278(print)|LCCN2016003023(ebook)|ISBN9781118445594
(hardback)|ISBN9781119238140(ePub)|ISBN9781119238164(AdobePDF)
Subjects:LCSH:Portfoliomanagement.|BISAC:BUSINESS&ECONOMICS/Finance.
Classification:LCCHG4529.5.F334562016(print)|LCCHG4529.5(ebook)|
DDC332.6—dc23
LCrecordavailableathttp://lccn.loc.gov/2015040278
CoverDesign:Wiley
CoverImage:©kentoh/Shutterstock
PrintedintheUnitedStatesofAmerica
10987654321
Dessislava A. Pachamanova
To my parents, Rositsa and Angel
Frank J. Fabozzi
To my wife, Donna, and my children, Karly, Patricia,
and Francesco