14. The Stock Market: Strategies Based on Data versus Strategies Based on Ideology
Published Online: 29 NOV 2011
DOI: 10.1002/9781118109656.ch14
Copyright © 2011 John Wiley & Sons, Inc. All rights reserved.
Book Title
Empirical Model Building: Data, Models, and Reality, Second Edition
Additional Information
How to Cite
Thompson, J. R. (2011) The Stock Market: Strategies Based on Data versus Strategies Based on Ideology, in Empirical Model Building: Data, Models, and Reality, Second Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118109656.ch14
Publication History
- Published Online: 29 NOV 2011
- Published Print: 24 OCT 2011
Book Series:
ISBN Information
Print ISBN: 9780470467039
Online ISBN: 9781118109656
- Summary
- Chapter
- References
Keywords:
- Markowitz's efficient frontier;
- Sharpe's super efficient frontier;
- capital market line;
- Ito's lemma;
- geometric brownian model
Summary
This chapter contains sections titled:
Introduction
Markowitz's Efficient Frontier: Portfolio Design as Constrained Optimization
Sharpe's Super Efficient Frontier: The Capital Market Line (CML)
The Security Market Line
The Sharpe Diagonal Model
Portfolio Evaluation and the Capital Asset Pricing Model (CAPM)
Views of Risk
Stock Progression as Geometric Brownian Motion
Estimating μ and σ
The Time Indexed Distribution of Portfolio Value
Negatively Correlated Portfolios
Bear Jumps
“Everyman's“ MaxMedian Rule for Portfolio Manangement
Derivatives
The Black-Scholes Derivation Using Differential Equations
Black-Scholes: Some Limiting Cases
Conclusions