Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010
, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more … management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have …) MODELS -- ESTIMATING THE NUMBER OF LAGS -- AUTOCORRELATION AND DISTRIBUTIONAL PROPERTIES OF RESIDUALS -- STATIONARY …