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商品詳細
Advanced REIT Portfolio Optimization : Innovative Tools for Risk Management.
・ISBN 978-3-031-15285-6 hard EUR 64.99
￥17,371.- (税込) ※（※）価格はご注文時の参考価格となります。
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| 著者・編者 | Lindquist, W. Brent / Rachev, S. T. / Hu, Yuan et al., |
|---|---|
| シリーズ | Dynamic Modeling and Econometrics in Economics and Finance |
| 出版社 | (Springer, GW) |
| 出版年月 | 2022.11 |
| ページ数 | 260 pp. |
| 言語 | ENG |
| ニュース番号 | ＜688-278＞ |
解説
This book provides an investor-friendly presentation of the premises and applications of the quantitative finance models governing investment in one asset class of publicly traded stocks, specifically real estate investment trusts (REITs). The models provide highly advanced analytics for REIT investment, including:
- portfolio optimization using both historic and predictive return estimation;
- model backtesting;
- a complete spectrum of risk assessment and management tools with an emphasis on early warning systems, risk budgeting, estimating tail risk, and factor analysis;
- derivative valuation;
- and incorporating ESG ratings into REIT investment.
These quantitative finance models are presented in a unified framework consistent with dynamic asset pricing (rational finance). Given its scope and practical orientation, this book will appeal to investors interested in portfolio optimization and innovative tools for investment risk assessment.