Quantitative Methods for Portfolio Analysis

MTV Model Approach

  • Takeaki Kariya

Part of the Theory and Decision Library book series (TDLB, volume 23)

Table of contents

  1. Front Matter
    Pages i-x
  2. Quantitative Models for Portfolio Analysis

    1. Takeaki Kariya
      Pages 1-14
    2. Takeaki Kariya
      Pages 15-32
    3. Takeaki Kariya
      Pages 33-57
    4. Takeaki Kariya
      Pages 58-82
    5. Takeaki Kariya
      Pages 83-107
  3. Quantitative Asset Allocation Systems

    1. Takeaki Kariya
      Pages 108-129
    2. Takeaki Kariya
      Pages 130-158
    3. Takeaki Kariya
      Pages 159-176
    4. Takeaki Kariya
      Pages 177-194
    5. Takeaki Kariya
      Pages 195-204
  4. Statistical Approach to Option Pricing and Bond Pricing

    1. Takeaki Kariya
      Pages 242-262
    2. Takeaki Kariya
      Pages 263-282
  5. Back Matter
    Pages 283-310

About this book


Quantitative Methods for Portfolio Analysis provides practical models and methods for the quantitative analysis of financial asset prices, construction of various portfolios, and computer-assisted trading systems. In particular, this book is required reading for:
(1) `Quants' (quantitatively-inclined analysts) in financial industries;
(2) financial engineers in investment banks, securities companies, derivative-trading companies, software houses, etc., who are developing portfolio trading systems;
(3) graduate students and specialists in the areas of finance, business, economics, statistics, financial engineering; and
(4) investors who are interested in Japanese financial markets.
Throughout the book the emphasis is placed on the originality and usefulness of models and methods for the construction of portfolios and investment decision making, and examples are provided to demonstrate, with practical analysis, models for Japanese financial markets.


Finance Investment Quantitative Analysis Quantitative Methods calculus decision making financial markets option pricing statistics time series

Authors and affiliations

  • Takeaki Kariya
    • 1
  1. 1.The Institute of Economic ResearchHitotsubashi UniversityTokyoJapan

Bibliographic information