...Lecture Notes in Finance 1 (MiQE/F, MSc course at UNISG) Paul Söderlind1 14 December 2011 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: Paul.Soderlind@unisg.ch. Document name: Fin1MiQEFAll.TeX Contents 1 Mean-Variance Frontier 1.1 Portfolio Return: Mean, Variance, and the Effect of Diversification 1.2 Mean-Variance Frontier of Risky Assets . . . . . . . . . . . . . . 1.3 Mean-Variance Frontier of Riskfree and Risky Assets . . . . . . . 1.4 Examples of Portfolio Weights from MV Calculations . . . . . . . . . . . . . . . 4 4 9 19 22 A A Primer in Matrix Algebra 24 B A Primer in Optimization 27 2 . . . . . . . . 31 31 32 37 39 42 45 46 47 3 Risk Measures 3.1 Symmetric Dispersion Measures . . . . . . . . . . . . . . . . . . . . 3.2 Downside Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.3 Empirical Return Distributions . . . . . . . . . . . . . . . . . . . . . 54 54 56 67 4 CAPM 4.1 Portfolio Choice with Mean-Variance Utility . . . . . . . . . . . . . . 70 70 Index Models 2.1 The Inputs to a MV Analysis . 2.2 Single-Index Models . . . . . 2.3 Estimating Beta . . . . . . . . 2.4 Multi-Index Models . . . . . . 2.5 Principal Component Analysis 2.6 Estimating Expected Returns . 2.7 Estimation on Subsamples . . 2.8 Robust Estimation . . . . . . . . . . . . . . . .. .. .. . ...
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...This page intentionally left blank Introductory Econometrics for Finance SECOND EDITION This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. It includes examples and case studies which finance students will recognise and relate to. This new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts. Key features: ● Thoroughly revised and updated, including two new chapters on ● ● ● ● ● ● panel data and limited dependent variable models Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models Detailed examples and case studies from finance show students how techniques are applied in real research Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods Thoroughly class-tested in leading finance schools Chris Brooks is Professor of Finance at the ICMA Centre, University...
Words: 195008 - Pages: 781
...This page intentionally left blank Introductory Econometrics for Finance SECOND EDITION This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. It includes examples and case studies which finance students will recognise and relate to. This new edition builds on the successful data- and problem-driven approach of the first edition, giving students the skills to estimate and interpret models while developing an intuitive grasp of underlying theoretical concepts. Key features: ● Thoroughly revised and updated, including two new chapters on ● ● ● ● ● ● panel data and limited dependent variable models Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models Detailed examples and case studies from finance show students how techniques are applied in real research Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods Thoroughly class-tested in leading finance schools Chris Brooks is Professor of Finance...
Words: 195008 - Pages: 781