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Python for Finance

You're reading from   Python for Finance Apply powerful finance models and quantitative analysis with Python

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Product type Paperback
Published in Jun 2017
Publisher
ISBN-13 9781787125698
Length 586 pages
Edition 2nd Edition
Languages
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Author (1):
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Yuxing Yan Yuxing Yan
Author Profile Icon Yuxing Yan
Yuxing Yan
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Table of Contents (17) Chapters Close

Preface 1. Python Basics FREE CHAPTER 2. Introduction to Python Modules 3. Time Value of Money 4. Sources of Data 5. Bond and Stock Valuation 6. Capital Asset Pricing Model 7. Multifactor Models and Performance Measures 8. Time-Series Analysis 9. Portfolio Theory 10. Options and Futures 11. Value at Risk 12. Monte Carlo Simulation 13. Credit Risk Analysis 14. Exotic Options 15. Volatility, Implied Volatility, ARCH, and GARCH Index

References

Please refer to the following articles:

  • Markowitz, Harry, 1952, Portfolio Selection, Journal of Finance 8,77-91, http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1952.tb01525.x/full
  • Modigliani, Franco, 1997, Risk-Adjusted Performance, Journal of Portfolio Managemen, 45–54
  • Sharpe, William F., 1994, the Sharpe Ratio, the Journal of Portfolio Management 21 (1), 49–58
  • Sharpe, W. F., 1966, Mutual Fund Performance, Journal of Business 39 (S1), 119–138
  • Scipy manual, Mathematical optimization: finding minima of functions, http://www.scipy-lectures.org/advanced/mathematical_optimization/
  • Sortino, F.A., Price, L.N.,1994, Performance measurement in a downside risk framework, Journal of Investing 3, 50–8
  • Treynor, Jack L., 1965, How to Rate Management of Investment Funds, Harvard Business Review 43, pp. 63–75

Appendix A – data case #5 - which industry portfolio do you prefer?

Please go through the following objectives:

  1. Understand the definitions of 49...
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