{"product_id":"optimal-portfolio-modeling-cd-rom-includes-models-using-excel-and-r-isbn-9780470117668","title":"Optimal Portfolio Modeling, CD-ROM includes Models Using Excel and R","description":"\u003ci\u003eOptimal Portfolio Modeling\u003c\/i\u003e is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.  Foreword.  \u003cp\u003ePreface.\u003c\/p\u003e \u003cp\u003eAcknowledgments.\u003c\/p\u003e \u003cp\u003eAbout the Author.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1. Modeling Market Microstructure Randomness in Markets.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Random Walk Model.\u003c\/p\u003e \u003cp\u003eWhat You Cannot Predict Is Random To You.\u003c\/p\u003e \u003cp\u003eMarket Microstructure.\u003c\/p\u003e \u003cp\u003eEfficient Market Hypothesis.\u003c\/p\u003e \u003cp\u003eArbitrage Pricing Theory.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2. The Distribution of Price Changes.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Normal Distribution.\u003c\/p\u003e \u003cp\u003eThe Empirical Distribution.\u003c\/p\u003e \u003cp\u003eThe Lognormal as an Approximation.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3. Investment Objectives.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStatistician's Fair Game.\u003c\/p\u003e \u003cp\u003eA Fair Game Is A Loser!\u003c\/p\u003e \u003cp\u003eCriteria for a Favorable Game.\u003c\/p\u003e \u003cp\u003eGambler's Ruin.\u003c\/p\u003e \u003cp\u003eOptimal Return Models.\u003c\/p\u003e \u003cp\u003eMarkets Are Rational, Psychologists Are Not.\u003c\/p\u003e \u003cp\u003eThe St. Petersburg Paradox.\u003c\/p\u003e \u003cp\u003eCompounded Return is the Real Objective.\u003c\/p\u003e \u003cp\u003eDefining Risk.\u003c\/p\u003e \u003cp\u003eMinimum Risk Models.\u003c\/p\u003e \u003cp\u003eCorrelation of Assets.\u003c\/p\u003e \u003cp\u003eSummary of Correlation Relationships.\u003c\/p\u003e \u003cp\u003eBeta and Alpha.\u003c\/p\u003e \u003cp\u003eThe Efficient Frontier and the Market Portfolio.\u003c\/p\u003e \u003cp\u003eThe Sharpe Ratio.\u003c\/p\u003e \u003cp\u003eLimitations of Modern Portfolio Theory.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4. Modeling Risk Management and Stop Loss Myths.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStop Loss Orders.\u003c\/p\u003e \u003cp\u003eStops: Effect on the Mean Return.\u003c\/p\u003e \u003cp\u003eStops: Effect on the Probability of Gain.\u003c\/p\u003e \u003cp\u003eStops: Probability of being stopped out.\u003c\/p\u003e \u003cp\u003eStops: Effect on Variance and Standard Deviation.\u003c\/p\u003e \u003cp\u003eEffect on Skew.\u003c\/p\u003e \u003cp\u003eEffect on the Kurtosis.\u003c\/p\u003e \u003cp\u003eStop Loss: Summary.\u003c\/p\u003e \u003cp\u003eModeling Stops.\u003c\/p\u003e \u003cp\u003eIdentifying When to Use Stops and When \u003ci\u003eNot\u003c\/i\u003e To.\u003c\/p\u003e \u003cp\u003eStop Profits.\u003c\/p\u003e \u003cp\u003ePuts and Calls.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5. Maximal Compounded Return Model.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eOptimal Compound Return Models.\u003c\/p\u003e \u003cp\u003eRelative Returns.\u003c\/p\u003e \u003cp\u003eAverage Stock Returns, but Compound Portfolio Returns.\u003c\/p\u003e \u003cp\u003eLogarithms and the Optimal Exponential Growth Model.\u003c\/p\u003e \u003cp\u003ePosition Sizing as the Only Guaranteed Risk Control.\u003c\/p\u003e \u003cp\u003eControlling Risk through Optimal Position Sizing.\u003c\/p\u003e \u003cp\u003eMaximize Compounded Portfolio Return.\u003c\/p\u003e \u003cp\u003eMaximal Compounded Return Models.\u003c\/p\u003e \u003cp\u003eWhat the Model Is and Is Not.\u003c\/p\u003e \u003cp\u003eModeling the Empirical Distribution.\u003c\/p\u003e \u003cp\u003eCorrelations.\u003c\/p\u003e \u003cp\u003eThe Enhanced Maximum Investment Formulas.\u003c\/p\u003e \u003cp\u003eExpected Drawdowns May be Large.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6. Utility Models - Preferences Toward Risk and Return.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasis for a Utility Model.\u003c\/p\u003e \u003cp\u003eHistory of Logarithms.\u003c\/p\u003e \u003cp\u003eOptimal Compounded Utility Model.\u003c\/p\u003e \u003cp\u003eThe Sharpe Ratio.\u003c\/p\u003e \u003cp\u003eOptimal Model for the Sharpe Ratio.\u003c\/p\u003e \u003cp\u003eOptimization with Excel Solver.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7. Money Management Formulas Using the Joint Multi-Asset Distribution.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Continuous Theoretical Distributions.\u003c\/p\u003e \u003cp\u003eMaximal Log Log Model in the presence of Correlation.\u003c\/p\u003e \u003cp\u003eOptimal Sharpe Model with Correlation.\u003c\/p\u003e \u003cp\u003eThe Empirical Distribution.\u003c\/p\u003e \u003cp\u003eMaximal Log Log Model in the Presence of Correlation.\u003c\/p\u003e \u003cp\u003eMaximizing the Sharpe Ratio in the Presence of Correlation.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8. Proper Backtesting for Portfolio Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAssuring Good Data.\u003c\/p\u003e \u003cp\u003eSynchronize Data.\u003c\/p\u003e \u003cp\u003eUse Net Changes NOT Levels.\u003c\/p\u003e \u003cp\u003eOnly Use Information from the Past.\u003c\/p\u003e \u003cp\u003ePredictive Studies vs. Non-Predictive Studies.\u003c\/p\u003e \u003cp\u003eUse Intraday Highs and Lows for Model Accuracy.\u003c\/p\u003e \u003cp\u003eAdjusted Data May Be Erroneous.\u003c\/p\u003e \u003cp\u003eAdjusting Your Own Data.\u003c\/p\u003e \u003cp\u003eMiscellaneous Data Pitfalls.\u003c\/p\u003e \u003cp\u003eTabulate and Save the Detailed Results with Dates.\u003c\/p\u003e \u003cp\u003eOverlapping Dates are Important for Correlations.\u003c\/p\u003e \u003cp\u003eCalculate Mean, Standard Deviation, Variance and Probability of Win.\u003c\/p\u003e \u003cp\u003eRobust Methods to Find Statistics.\u003c\/p\u003e \u003cp\u003eConfidence Limits for Robust Statistics.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9. The Combined Optimal Portfolio Model.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eChoosing the Theoretical Distribution.\u003c\/p\u003e \u003cp\u003eThe Empirical Distribution.\u003c\/p\u003e \u003cp\u003eSelecting Sharpe Versus a Log Log Objective Function.\u003c\/p\u003e \u003cp\u003eModel Simulation.\u003c\/p\u003e \u003cp\u003eProfessional Money Manager versus Private Investor.\u003c\/p\u003e \u003cp\u003eAbout the CD-Rom.\u003c\/p\u003e \u003cp\u003eContents of the CD-Rom.\u003c\/p\u003e \u003cp\u003eInstallation of the CD-Rom.\u003c\/p\u003e \u003cp\u003eUsing the Programs.\u003c\/p\u003e \u003cp\u003eUpdates to the CD-Rom.\u003c\/p\u003e \u003cp\u003eAppendix A. Table of Values of the Normal Distribution.\u003c\/p\u003e \u003cp\u003eAppendix B. Installing R.\u003c\/p\u003e \u003cp\u003eAppendix C. Introduction to R.\u003c\/p\u003e \u003cp\u003eIntroduction to R Manual.\u003c\/p\u003e \u003cp\u003eAppendix D. R Language Definition.\u003c\/p\u003e \u003cp\u003eR Language Definition Manual.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e \u003cb\u003ePhilip J. McDonnell\u003c\/b\u003e (Sammamish, WA) is a trader and software and trading methodologies developer who has created proprietary data collection and analysis tools for real time analysis of market direction and stock selection with an emphasis on options analysis. Prior, he handled network operations for a venture capital incubator, The Inception Group, and developed and sold an options analysis software package. He has also developed option risk management software for Charles Schwab \u0026amp; Co. McDonnell served as research assistant at University of California, Berkeley, School of Business, under Victor Niederhoffer. He holds degrees in mathematics and computer science from University of California, Berkeley. \u003cp\u003e\u003cb\u003ePraise for \u003ci\u003eOptimal Portfolio Modeling\u003c\/i\u003e\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\"All too often, analysis ends with security selection. However, savvy investors understand that security selection is where analysis starts. In this important contribution to the literature, Mr. McDonnell discusses position sizing, portfolio construction, utility, money management, and much more, all of which can make important contributions to your total return.\"\u003cbr\u003e—\u003cb\u003eJohn Bollinger\u003c\/b\u003e, CFA, CMT, www.BollingerBands.com\u003c\/p\u003e \u003cp\u003e\"This book provides a cornucopia of practical techniques with readily accessible statistical backup for maximizing returns from systematic trading.\"\u003cbr\u003e—\u003cb\u003eVictor Niederhoffer\u003c\/b\u003e, author of \u003ci\u003eThe Education of a Speculator and Practical Speculation\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"What happens when stock market prices collide with a mathematician that really trades? Simple: myths are dispelled and truths are established. You are sure to learn from this book.\"\u003cbr\u003e—\u003cb\u003eLarry Williams\u003c\/b\u003e, author of \u003ci\u003eTrading Stocks \u0026amp; Commodities with the Insiders: Secrets of the COT Report, and Long-Term Secrets to Short-Term Trading\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e\"I can heartily recommend this wonderful, well-organized, and well-thought-out book by a very pragmatic and bright guy. It will give the reader an excellent understanding of the mathematical nature of portfolio modeling.\"\u003cbr\u003e—\u003cb\u003eRalph Vince\u003c\/b\u003e, author of \u003ci\u003eThe Handbook of Portfolio Mathematics: Formulas for Optimal Allocation \u0026amp; Leverage\u003c\/i\u003e\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989721727205,"sku":"NP9780470117668","price":85.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470117668.jpg?v=1761785246","url":"https:\/\/k12savings.com\/es\/products\/optimal-portfolio-modeling-cd-rom-includes-models-using-excel-and-r-isbn-9780470117668","provider":"K12savings","version":"1.0","type":"link"}