Portfolio Rebalancing / (Record no. 71992)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 05014cam a2200493Mi 4500 |
| 001 - CONTROL NUMBER | |
| control field | 9781315120676 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220531132418.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS | |
| fixed length control field | m o d |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 170721s2017 flua o 000 0 eng d |
| 040 ## - Cataloging Source | |
| -- | OCoLC-P |
| -- | eng |
| -- | rda |
| -- | pn |
| -- | OCoLC-P |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781315120676 |
| -- | (e-book ; |
| -- | PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1315120674 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781498732451 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1498732453 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781498732444 |
| -- | (hardback) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1498732445 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)994351033 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC-P)994351033 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG4529.5 |
| 082 04 - | |
| -- | 332.60151 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Qian, Edward E., |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Portfolio Rebalancing / |
| Statement of responsibility, etc. | Edward E. Qian. |
| 250 ## - EDITION STATEMENT | |
| Edition statement | First edition. |
| 264 #1 - | |
| -- | Boca Raton, FL : |
| -- | CRC Press, |
| -- | 2017. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource : |
| Other physical details | text file, PDF |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 490 0# - | |
| -- | Chapman and Hall/CRC Financial Mathematics Series |
| 520 2# - | |
| -- | "The goal of this book is to provide mathematical and empirical analysis of the effects of portfolio rebalancing on portfolio returns and risks. The mathematical analysis answers the question of when and why fixed-weight portfolios might outperform buy-and-hold portfolios. The empirical analysis, aided by mathematical insights, will examine the effects of portfolio rebalancing in capital markets and understand why many capitalization-weighted indices underperform fixed-weight portfolios."--Provided by publisher. |
| 505 0# - | |
| -- | Cover; Half Title; Series Page; Title Page; Copyright Page; Dedication; Table of Contents; Preface; Chapter 1 Introduction; 1.1 Risk Management; 1.2 Rebalancing Alpha; 1.3 Diversification Return, Volatility Effect; 1.4 Serial Correlation and Rebalancing Alpha; 1.5 New Topics in Portfolio Rebalancing; 1.6 Outline of the Book; Chapter 2 A Brief Review of Portfolio Theory; 2.1 Arithmetic and Geometric Means; 2.2 Return Volatilities; 2.3 Relationships between Arithmetic and Geometric Means; 2.3.1 Analytic Approximation; 2.3.2 Empirical Examination; 2.4 Portfolio Return and Volatility |
| 505 8# - | |
| -- | 2.5 Serial Correlation and Volatility of Multi-Period Returns2.5.1 Single Asset Multi-Period Volatility; 2.5.2 Portfolio Multi-Period Volatility; Problems; Chapter 3 Portfolio Rebalancing; 3.1 Simple Examples; 3.2 Rebalancing Long-Only Portfolios; 3.3 Rebalancing Long-Short Portfolios; 3.4 Rebalancing Alpha; 3.4.1 Rebalancing Alpha of Asset Allocation Portfolios; 3.4.2 Periodic Rebalancing versus Threshold Rebalancing; Problems; Chapter 4 Volatility Effect and Return Effect; 4.1 Definitions of Two Effects; 4.2 Positive Return Effect of Long-Only Portfolios; 4.2.1 Jensen's Inequality |
| 505 8# - | |
| -- | 4.2.2 Return Effect of Long-Only Portfolios4.3 Positive Volatility Effect of Long-Only Portfolios; 4.3.1 Cauchy's Inequality; 4.3.2 A Two-Asset Two-Period Case; 4.3.3 An M-Asset Two-Period Case; 4.3.4 The General Case; 4.4 Cases of Positive and Negative Rebalancing Alphas; 4.4.1 The Case of Positive Rebalancing Alpha; 4.4.2 The Case of Negative Rebalancing Alpha; 4.5 Two-Asset Long-Short Portfolios; 4.5.1 Negative Return Effect of Two-Asset Long-Short Portfolios; 4.5.2 Negative Volatility Effect of Two-Asset Long-Short Portfolios; Problems; Chapter 5 Analysis of Volatility Effect |
| 505 8# - | |
| -- | 5.1 "Diversification Return"5.1.1 Two-Asset "Diversification Return"; 5.1.2 Pairwise Decomposition of "Diversification Return"; 5.1.3 Another Decomposition of "Diversification Return"; 5.2 Maximizing "Diversification Return"; 5.3 Diversification Returns of Long-Short Portfolios; 5.3.1 Two-Asset Long-Short Portfolios; 5.3.2 Inverse and Leveraged Exchange-Traded Funds; 5.3.3 Leveraged "Long-Only" Portfolios; Problems; Chapter 6 Analysis of Return Effect; 6.1 Return Effect of Long-Only Portfolios; 6.1.1 Two-Asset Return Effect; 6.1.2 Pairwise Decomposition of Return Effect |
| 505 8# - | |
| -- | 6.2 The Impact of Cross-Sectional Serial Correlations on Return Effect6.3 Approximating Return Effects of Long-Short Portfolios; 6.3.1 Two-Asset Long-Short Portfolios; 6.3.2 General Long-Short Portfolios; Problems; Chapter 7 Analysis of Rebalancing Alpha; 7.1 Rebalancing Alpha of Two-Asset Portfolios; 7.1.1 Pairwise t-Statistics; 7.1.2 Probability of Positive Rebalancing Alpha; 7.1.3 Expected Value and Standard Deviation of Rebalancing Alpha; 7.1.4 Distribution of Rebalancing Alpha; 7.2 Rebalancing Alpha of General Portfolios; 7.2.1 Pairwise Decomposition of Rebalancing Alpha |
| 588 ## - | |
| -- | OCLC-licensed vendor bibliographic record. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Portfolio management |
| General subdivision | Mathematical models. |
| 650 07 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | MATHEMATICS |
| General subdivision | Probability & Statistics |
| -- | General. |
| Source of heading or term | bisacsh |
| 650 07 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| Source of heading or term | bisacsh |
| 856 40 - | |
| -- | Taylor & Francis |
| -- | https://www.taylorfrancis.com/books/9781315120676 |
| 856 42 - | |
| -- | OCLC metadata license agreement |
| -- | http://www.oclc.org/content/dam/oclc/forms/terms/vbrl-201703.pdf |
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