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Network Models in Finance
Expanding the Tools for Portfolio and Risk Management
Buch von Gueorgui S Konstantinov (u. a.)
Sprache: Englisch

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Beschreibung

NETWORK MODELS in FINANCE

An insightful exploration of the theory and application of networks as applied to investment management

Network Models in Finance: Expanding the Tools for Portfolio and Risk Management is a singularly incisive and unique discussion of networks and graph theory as applied to the financial and investment markets. Researchers and authors Gueorgui Konstantinov and Frank Fabozzi walk you through a comprehensive overview of networks in investment management, providing deep insight into their implementation in portfolio and risk management.

You'll discover how to construct diversified and risk-optimized portfolios by linking the price and return movements of different asset classes and factors. You'll also find out how to better manage risk by properly understanding systematic, counterparty, and systemic risk, and by monitoring changes in the financial system that may indicate a coming financial crisis.

Network Models in Finance delivers practical examples of a wide variety of financial data that can be used to visualize, describe, and investigate markets in an entirely new way, and explains the interactions and causal relationships that operate within a network-based framework.

This book is a must-read for investors, asset managers, and other finance practitioners with an interest in a largely underexplored area of investing.

NETWORK MODELS in FINANCE

An insightful exploration of the theory and application of networks as applied to investment management

Network Models in Finance: Expanding the Tools for Portfolio and Risk Management is a singularly incisive and unique discussion of networks and graph theory as applied to the financial and investment markets. Researchers and authors Gueorgui Konstantinov and Frank Fabozzi walk you through a comprehensive overview of networks in investment management, providing deep insight into their implementation in portfolio and risk management.

You'll discover how to construct diversified and risk-optimized portfolios by linking the price and return movements of different asset classes and factors. You'll also find out how to better manage risk by properly understanding systematic, counterparty, and systemic risk, and by monitoring changes in the financial system that may indicate a coming financial crisis.

Network Models in Finance delivers practical examples of a wide variety of financial data that can be used to visualize, describe, and investigate markets in an entirely new way, and explains the interactions and causal relationships that operate within a network-based framework.

This book is a must-read for investors, asset managers, and other finance practitioners with an interest in a largely underexplored area of investing.

Über den Autor

GUEORGUI S. KONSTANTINOV, PHD, has over 17 years' experience in portfolio manage­ment, managing global bond portfolios and currencies for institutional investors and pension funds. He is an advisory board member of the Journal of Portfolio Management and the coauthor of Quantitative Global Bond ­Portfolio Management.

FRANK J. FABOZZI, PHD, is Professor of Practice at John Hopkins University's Carey Business School. He has authored over 100 books and edited The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities. He holds the CFA and CPA professional designations.

Inhaltsverzeichnis

Preface ix

Acknowledgments xv

About the Authors xvii

Part One

Chapter 1 Introduction 3

Chapter 2 The Basic Structure of a Network 29

Chapter 3 Network Properties 45

Chapter 4 Network Centrality Metrics 71

Part Two

Chapter 5 Network Modeling 95

Chapter 6 Foundations for Building Portfolio Networks - Link Prediction and Association Models 117

Chapter 7 Foundations for Building Portfolio Networks - Statistical and Econometric Models 141

Chapter 8 Building Portfolio Networks - Probabilistic Models 163

Chapter 9 Network Processes in Asset Management 181

Chapter 10 Portfolio Allocation With Networks 227

Part Three

Chapter 11 Systematic and Systemic Risk, Spillover, and Contagion 261

Chapter 12 Networks in Risk Management 277

References 313

Index 327

Details
Erscheinungsjahr: 2025
Genre: Importe, Informatik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
ISBN-13: 9781394279685
ISBN-10: 139427968X
Sprache: Englisch
Einband: Gebunden
Autor: Konstantinov, Gueorgui S
Fabozzi, Frank J
Hersteller: Wiley
Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße: 257 x 211 x 25 mm
Von/Mit: Gueorgui S Konstantinov (u. a.)
Erscheinungsdatum: 05.02.2025
Gewicht: 0,798 kg
Artikel-ID: 131434417
Über den Autor

GUEORGUI S. KONSTANTINOV, PHD, has over 17 years' experience in portfolio manage­ment, managing global bond portfolios and currencies for institutional investors and pension funds. He is an advisory board member of the Journal of Portfolio Management and the coauthor of Quantitative Global Bond ­Portfolio Management.

FRANK J. FABOZZI, PHD, is Professor of Practice at John Hopkins University's Carey Business School. He has authored over 100 books and edited The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities. He holds the CFA and CPA professional designations.

Inhaltsverzeichnis

Preface ix

Acknowledgments xv

About the Authors xvii

Part One

Chapter 1 Introduction 3

Chapter 2 The Basic Structure of a Network 29

Chapter 3 Network Properties 45

Chapter 4 Network Centrality Metrics 71

Part Two

Chapter 5 Network Modeling 95

Chapter 6 Foundations for Building Portfolio Networks - Link Prediction and Association Models 117

Chapter 7 Foundations for Building Portfolio Networks - Statistical and Econometric Models 141

Chapter 8 Building Portfolio Networks - Probabilistic Models 163

Chapter 9 Network Processes in Asset Management 181

Chapter 10 Portfolio Allocation With Networks 227

Part Three

Chapter 11 Systematic and Systemic Risk, Spillover, and Contagion 261

Chapter 12 Networks in Risk Management 277

References 313

Index 327

Details
Erscheinungsjahr: 2025
Genre: Importe, Informatik
Rubrik: Naturwissenschaften & Technik
Medium: Buch
ISBN-13: 9781394279685
ISBN-10: 139427968X
Sprache: Englisch
Einband: Gebunden
Autor: Konstantinov, Gueorgui S
Fabozzi, Frank J
Hersteller: Wiley
Verantwortliche Person für die EU: Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße: 257 x 211 x 25 mm
Von/Mit: Gueorgui S Konstantinov (u. a.)
Erscheinungsdatum: 05.02.2025
Gewicht: 0,798 kg
Artikel-ID: 131434417
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