Optimal Portfolio Modeling, Cd-rom Includes Models Using Excel And R: Models To Maximize Returns And Control Risk In Excel And R (wiley Trading)

E-Book Overview

Optimal Portfolio Modeling is an easily accessible introduction to portfolio modeling for those who prefer an intuitive approach to this discipline. While early chapters provide engaging insights on the statistical properties of markets, this book quickly moves on to illustrate invaluable trading and risk control models based on popular programs such as Excel and the statistical modeling language R. This reliable resource presents modeling formulas that will allow you to effectively maximize the performance, minimize the drawdown, and manage the risk of your portfolio.

E-Book Content

fm JWPR068-McDonnell December 18, 2007 13:36 Char Count= 0 Optimal Portfolio Modeling Models to Maximize Return and Control Risk in Excel and R + CD-ROM PHILIP J. McDONNELL fm JWPR068-McDonnell December 18, 2007 13:36 Char Count= 0 fm JWPR068-McDonnell December 18, 2007 13:36 Char Count= 0 Optimal Portfolio Modeling fm JWPR068-McDonnell December 18, 2007 13:36 Char Count= 0 Founded in 1807, John Wiley & Sons is the oldest independent publishing company in the United States. With offices in North America, Europe, Australia, and Asia, Wiley is globally committed to developing and marketing print and electronic products and services for our customers’ professional and personal knowledge and understanding. The Wiley Trading series features books by traders who have survived the market’s ever changing temperament and have prospered—some by reinventing systems, others by getting back to basics. Whether a novice trader, professional, or somewhere in-between, these books will provide the advice and strategies needed to prosper today and well into the future. For a list of available titles, please visit our Web site at www.WileyFinance.com. fm JWPR068-McDonnell December 18, 2007 13:36 Char Count= 0 Optimal Portfolio Modeling Models to Maximize Return and Control Risk in Excel and R + CD-ROM PHILIP J. McDONNELL fm JWPR068-McDonnell December 18, 2007 13:36 Char Count= 0 C 2008 by Philip J. McDonnell. All rights reserved. Copyright  Published by John Wiley & Sons, Inc., Hoboken, New Jersey. Published simultaneously in Canada. No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, (978) 750-8400, fax (978) 646-8600, or on the Web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, (201) 748-6011, fax (201) 748-6008, or online at http://www.wiley.com/go/permissions. Limit of Liability/Disclaimer of Warranty: While the publisher and author have used their best efforts in preparing this book, they make no representations or warranties with respect to the accuracy or completeness of the contents of this book and specifically disclaim any implied warranties of merchantability or fitness for a particular purpose. No warranty may be created or extended by sales representatives or written sales materials. The advice and strategies contained herein may not be suitable for your situation. You should consult with a professional where appropriate. Neither the publisher nor author shall be liable for any
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