| Description |
1 online resource (xiv, 258 pages : illustrations) |
| Series |
Dynamic modeling and econometrics in economics and finance ; volume 30 |
|
Dynamic modeling and econometrics in economics and finance ; v. 30.
|
| Contents |
The Real Estate Investment Market: The Current State and Why Advances Are Needed -- The Data -- Modern Portfolio Theory -- Modern portfolio theory -- Diversification with International REITs -- Black-Litterman Optimization Results -- Dynamic Portfolio Optimization: Beyond MPT -- Backtesting -- Diversification with Real Estate Stocks -- Risk Information and Management -- Optimization with performance-attribution constraints -- Option pricing -- Inclusion of ESG ratings in optimization -- Inclusion of ESG ratings in option pricing |
| Summary |
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including: portfolio optimization using both historic and predictive return estimation; model backtesting; a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis; derivative valuation; and incorporating ESG ratings into REIT investment. These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment |
| Bibliography |
Includes bibliographical references |
| Notes |
Online resource; title from PDF title page (SpringerLink, viewed November 16, 2022) |
| Subject |
Portfolio management.
|
|
Portfolio management -- Mathematical models
|
|
Financial risk management.
|
|
Financial risk management
|
|
Portfolio management
|
|
Portfolio management -- Mathematical models
|
| Form |
Electronic book
|
| Author |
Rachev, S. T. (Svetlozar Todorov), author.
|
|
Hu, Yuan, author
|
|
Shirvani, Abootaleb, author
|
| ISBN |
9783031152863 |
|
3031152867 |
|
