Portfolio and Investment Analysis with SAS: Financial Modeling Techniques for Optimization - Couverture souple

Guerard Jr., Dr. John B.; Wang, Ziwei; Ganlin PhD, Xu

Couverture souple

ISBN 10 : 1635266920 ISBN 13 : 9781635266924

Editeur : SAS Institute, 2019

Synopsis

Choose statistically significant stock selection models using SAS^®

Portfolio and Investment Analysis with SAS^®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application.

Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

Détails de l'édition

• Éditeur: SAS Institute
• Date d'édition: 2019
• Langue: anglais
• ISBN 10: 1635266920
• ISBN 13: 9781635266924
• Reliure: Broché
• Nombre de pages: 230
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible