Overview
- Provides new quantitative tools designed for investment professionals
- Utilizes asset pricing methods and models to analyze data for U.S. stocks, especially the ZCAPM
- Showcases how to create highly diversified portfolios that are efficient in terms of returns per unit risk
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About this book
Professional investment portfolio management is increasingly utilizing sophisticated statistical and computer techniques to better control risks and improve performance. This book provides new quantitative tools and technology for securities professionals to help boost the performance of their investment portfolios offered to clients. Unlike other books in this area, the authors utilize revolutionary asset pricing methods and models to analyze data for U.S. stocks and show how to apply them to the problem of creating highly diversified portfolios that are efficient in terms of returns per unit risk.
Keywords
Table of contents (13 chapters)
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Front Matter
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Introduction
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Front Matter
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Previous Asset Pricing Models
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Front Matter
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The ZCAPM
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Front Matter
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Portfolio Performance
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Front Matter
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Building Stock Portfolios with the ZCAPM
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Front Matter
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Conclusion
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Front Matter
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Authors and Affiliations
About the authors
James W. Kolari is the JP Morgan Chase Professor of Finance and Academic Director of the Global Corporate Banking Program in the Department of Finance at Texas A&M University. With more than 100 articles published in refereed journals, numerous other papers and monographs, 20 co-authored books, and more than 200 competitive papers presented at academic conferences, he ranks in the top 1-2 percent of finance scholars in the United States.
Wei Liu holds PhDs in both physics and finance from Texas A&M University. He has worked as a bank analyst for USAA Bank, a former owner and investment manager of a securities firm, and now teaches finance at Texas A&M University. His research has been published in academic journals and textbooks.
Seppo Pynnönen is a Professor of Statistics at the University of Vaasa, Finland and previously the Chairperson of the Department of Mathematics and Statistics. He has studied financial markets and taught various courses on statistical methodology. With numerous published papers in international finance and statistics journals, he is also the co-author of a recent investment valuation and asset pricing textbook.
Bibliographic Information
Book Title: Professional Investment Portfolio Management
Book Subtitle: Boosting Performance with Machine-Made Portfolios and Stock Market Evidence
Authors: James W. Kolari, Wei Liu, Seppo Pynnönen
DOI: https://doi.org/10.1007/978-3-031-48169-7
Publisher: Palgrave Macmillan Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2023
Hardcover ISBN: 978-3-031-48168-0Published: 04 February 2024
Softcover ISBN: 978-3-031-48171-0Due: 06 March 2024
eBook ISBN: 978-3-031-48169-7Published: 03 February 2024
Edition Number: 1
Number of Pages: XXX, 255
Number of Illustrations: 23 b/w illustrations, 51 illustrations in colour
Topics: Capital Markets, Investment Appraisal, Business Finance, Risk Management