Portfolio and Investment Analysis with SAS

Portfolio and Investment Analysis with SAS
Author: John B. Guerard
Publisher: SAS Institute
Total Pages: 296
Release: 2019-04-03
Genre: Computers
ISBN: 1635266890

Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

Investment Analysis & Portfolio Management

Investment Analysis & Portfolio Management
Author: Frank K. Reilly
Publisher: Cengage AU
Total Pages: 1062
Release: 2019-11-19
Genre: Business & Economics
ISBN: 0170416038

This first Asia-Pacific edition of Reilly/Brown’s Investment Analysis and Portfolio Management builds on the authors’ strong reputations for combining solid theory with practical application and has been developed especially for courses across the Australia, New Zealand, and Asia-Pacific regions. The real-world illustrations and hands-on activities enhance an already rigourous, empirical approach to topics such as investment instruments, capital markets, behavioural finance, hedge funds, and international investment. The text also emphasises how investment practice and theory are influenced by globalisation.

Investment Analysis and Portfolio Management

Investment Analysis and Portfolio Management
Author: Frank K. Reilly
Publisher: South Western Educational Publishing
Total Pages: 1252
Release: 2003
Genre: Business & Economics
ISBN:

The purpose of this book is to help you learn how to manage your money to derive the maximum benefit from what you earn. Mixing investment instruments and capital markets with the theoretical detail on evaluating investments and opportunities to satisfy risk-return objectives along with how investment practice and theory is influenced by globalization leaves readers with the mindset on investments to serve them well. The material is intended to be rigorous and empirical yet not overly quantitative. We continue with unparalleled international coverage, newly rewritten and reorganized derivatives material to be more intuitive and clearer, three additional chapters on derivatives pricing for those who want more detail, rewritten material on multifactor models of risk and return, and new CFA problems for more practice on computations concerning investment decisions. To manage money and investments, one needs to learn about investment alternatives and develop a way of analyzing and thinking about investments that will be of benefit and allow a foundation as new tools and investment opportunities become available. Reilly/Brown provide the best foundation, used extensively by professionals, organizations, and schools across the country. A great source for those with both a theoretical and practical need for investment expertise.

Credit Risk Analytics

Credit Risk Analytics
Author: Bart Baesens
Publisher: John Wiley & Sons
Total Pages: 517
Release: 2016-10-03
Genre: Business & Economics
ISBN: 1119143985

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

SAS for Finance

SAS for Finance
Author: Harish Gulati
Publisher: Packt Publishing Ltd
Total Pages: 299
Release: 2018-05-30
Genre: Computers
ISBN: 1788622480

Leverage the analytical power of SAS to perform financial analysis efficiently Key Features Leverage the power of SAS to analyze financial data with ease Find hidden patterns in your data, predict future trends, and optimize risk management Learn why leading banks and financial institutions rely on SAS for financial analysis Book Description SAS is a groundbreaking tool for advanced predictive and statistical analytics used by top banks and financial corporations to establish insights from their financial data. SAS for Finance offers you the opportunity to leverage the power of SAS analytics in redefining your data. Packed with real-world examples from leading financial institutions, the author discusses statistical models using time series data to resolve business issues. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate financial models. You can easily assess the pros and cons of models to suit your unique business needs. By the end of this book, you will be able to leverage the true power of SAS to design and develop accurate analytical models to gain deeper insights into your financial data. What you will learn Understand time series data and its relevance in the financial industry Build a time series forecasting model in SAS using advanced modeling theories Develop models in SAS and infer using regression and Markov chains Forecast inflation by building an econometric model in SAS for your financial planning Manage customer loyalty by creating a survival model in SAS using various groupings Understand similarity analysis and clustering in SAS using time series data Who this book is for Financial data analysts and data scientists who want to use SAS to process and analyze financial data and find hidden patterns and trends from it will find this book useful. Prior exposure to SAS will be helpful but is not mandatory. Some basic understanding of the financial concepts is required.

Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)

Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)
Author: Cheng Few Lee
Publisher: World Scientific
Total Pages: 3972
Release: 2024-04-08
Genre: Business & Economics
ISBN: 9811269955

This four-volume handbook covers important topics in the fields of investment analysis, portfolio management, and financial derivatives. Investment analysis papers cover technical analysis, fundamental analysis, contrarian analysis, and dynamic asset allocation. Portfolio analysis papers include optimization, minimization, and other methods which will be used to obtain the optimal weights of portfolio and their applications. Mutual fund and hedge fund papers are also included as one of the applications of portfolio analysis in this handbook.The topic of financial derivatives, which includes futures, options, swaps, and risk management, is very important for both academicians and partitioners. Papers of financial derivatives in this handbook include (i) valuation of future contracts and hedge ratio determination, (ii) options valuation, hedging, and their application in investment analysis and portfolio management, and (iii) theories and applications of risk management.Led by worldwide known Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues of investment analysis, portfolio management, and financial derivatives based on his years of academic and industry experience.

Risk Analysis and Portfolio Modelling

Risk Analysis and Portfolio Modelling
Author: Elisa Luciano
Publisher: MDPI
Total Pages: 224
Release: 2019-10-16
Genre: Business & Economics
ISBN: 3039216244

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses

Essentials of Excel, Excel VBA, SAS and Minitab for Statistical and Financial Analyses
Author: Cheng-Few Lee
Publisher: Springer
Total Pages: 1043
Release: 2016-11-24
Genre: Business & Economics
ISBN: 3319388673

This introductory textbook for business statistics teaches statistical analysis and research methods via business case studies and financial data using Excel, Minitab, and SAS. Every chapter in this textbook engages the reader with data of individual stock, stock indices, options, and futures. One studies and uses statistics to learn how to study, analyze, and understand a data set of particular interest. Some of the more popular statistical programs that have been developed to use statistical and computational methods to analyze data sets are SAS, SPSS, and Minitab. Of those, we look at Minitab and SAS in this textbook. One of the main reasons to use Minitab is that it is the easiest to use among the popular statistical programs. We look at SAS because it is the leading statistical package used in industry. We also utilize the much less costly and ubiquitous Microsoft Excel to do statistical analysis, as the benefits of Excel have become widely recognized in the academic world and its analytical capabilities extend to about 90 percent of statistical analysis done in the business world. We demonstrate much of our statistical analysis using Excel and double check the analysis and outcomes using Minitab and SAS—also helpful in some analytical methods not possible or practical to do in Excel.

Handbook Of Applied Investment Research

Handbook Of Applied Investment Research
Author: John B Guerard Jr
Publisher: World Scientific
Total Pages: 817
Release: 2020-10-02
Genre: Business & Economics
ISBN: 9811222649

This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.

Financial Risk Management

Financial Risk Management
Author: Jimmy Skoglund
Publisher: John Wiley & Sons
Total Pages: 578
Release: 2015-09-04
Genre: Business & Economics
ISBN: 1119157234

A global banking risk management guide geared toward the practitioner Financial Risk Management presents an in-depth look at banking risk on a global scale, including comprehensive examination of the U.S. Comprehensive Capital Analysis and Review, and the European Banking Authority stress tests. Written by the leaders of global banking risk products and management at SAS, this book provides the most up-to-date information and expert insight into real risk management. The discussion begins with an overview of methods for computing and managing a variety of risk, then moves into a review of the economic foundation of modern risk management and the growing importance of model risk management. Market risk, portfolio credit risk, counterparty credit risk, liquidity risk, profitability analysis, stress testing, and others are dissected and examined, arming you with the strategies you need to construct a robust risk management system. The book takes readers through a journey from basic market risk analysis to major recent advances in all financial risk disciplines seen in the banking industry. The quantitative methodologies are developed with ample business case discussions and examples illustrating how they are used in practice. Chapters devoted to firmwide risk and stress testing cross reference the different methodologies developed for the specific risk areas and explain how they work together at firmwide level. Since risk regulations have driven a lot of the recent practices, the book also relates to the current global regulations in the financial risk areas. Risk management is one of the fastest growing segments of the banking industry, fueled by banks' fundamental intermediary role in the global economy and the industry's profit-driven increase in risk-seeking behavior. This book is the product of the authors' experience in developing and implementing risk analytics in banks around the globe, giving you a comprehensive, quantitative-oriented risk management guide specifically for the practitioner. Compute and manage market, credit, asset, and liability risk Perform macroeconomic stress testing and act on the results Get up to date on regulatory practices and model risk management Examine the structure and construction of financial risk systems Delve into funds transfer pricing, profitability analysis, and more Quantitative capability is increasing with lightning speed, both methodologically and technologically. Risk professionals must keep pace with the changes, and exploit every tool at their disposal. Financial Risk Management is the practitioner's guide to anticipating, mitigating, and preventing risk in the modern banking industry.