European Parliament Library

Professional Investment Portfolio Management, Boosting Performance with Machine-Made Portfolios and Stock Market Evidence, James W. Kolari, Wei Liu, and Seppo Pynnönen

Table of contents
Intro -- Preface -- Acknowledgements -- Contents -- About the Authors -- List of Figures -- List of Tables -- Part I Introduction -- 1 Portfolio Theory and Practice -- 1.1 The Two-Step Portfolio Process -- 1.2 Real World Portfolio Analyses -- 1.3 New Investment Parabola Insights -- 1.4 A New Approach to Finding Efficient Portfolios -- 1.5 Summary -- Appendix: Optimal Weights for Many Assets -- References -- Part II Previous Asset Pricing Models -- 2 General Equilibrium Asset Pricing Models -- 2.1 The Present Value Formula -- 2.2 The CAPM -- 2.2.1 Existence of a Riskless Asset -- 2.2.2 Capital Market Line -- 2.2.3 Deriving the CAPM -- 2.2.4 Security Market Line -- 2.3 The Market Model -- 2.3.1 Early CAPM Tests -- 2.3.2 Investment Portfolio Implications -- 2.4 The Zero-Beta CAPM -- 2.4.1 Investment Portfolio Implications -- 2.5 Alternative CAPM Forms -- 2.6 Road Map of General Equilibrium Models -- 2.7 Summary -- References -- 3 Multifactor Asset Pricing Models -- 3.1 Arbitrage Pricing Theory -- 3.2 Fama and French Three-Factor Model -- 3.3 The Factor Zoo and Multifactor Models -- 3.3.1 Carhart Four-Factor Model -- 3.3.2 Hou, Xue, and Zhang Four-Factor Model -- 3.3.3 Stambaugh and Yuan Four-Factor Mispricing Model -- 3.3.4 Fama and French Five-Factor Model -- 3.3.5 Fama and French Six-Factor Model -- 3.3.6 Machine Learning Models -- 3.4 Roadmap of Multifactor Models -- 3.4.1 Investment Portfolio Implications -- 3.5 Summary -- References -- Part III The ZCAPM -- 4 A New Asset Pricing Model: The ZCAPM -- 4.1 Theoretical ZCAPM -- 4.1.1 Markowitz Investment Parabola -- 4.1.2 Derivation of the ZCAPM Equilibrium Relation -- 4.2 Graphical Depictions of the ZCAPM -- 4.2.1 Beta Risk and Zeta Risk in the ZCAPM -- 4.2.2 Architecture of the Investment Parabola and the ZCAPM -- 4.3 Summary -- References -- 5 The Empirical ZCAPM
Language
eng
Literary form
non fiction
Copyright
Edition
First edition.
Physical description
1 online resource (268 pages)
Specific material designation
remote
Form of item
online
ISBN
9783031481697

Classification

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