Expansive overview of theory and practical implementation of networks in investment management
Guided by graph theory, Network Models in Finance: Expanding the Tools for Portfolio and Risk Management provides a comprehensive overview of networks in investment management, delivering strong knowledge of various types of networks, important characteristics, estimation, and their implementation in portfolio and risk management. With insights into the complexities of financial markets with respect to how individual entities interact within the financial system, this book enables readers to construct diversified portfolios by understanding the link between price/return movements of different asset classes and factors, perform better risk management through understanding systematic, systemic risk and counterparty risk, and monitor changes in the financial system that indicate a potential financial crisis.
With a practitioner-oriented approach, this book includes coverage of:
Practical examples of broad financial data to show the vast possibilities to visualize, describe, and investigate markets in a completely new way Interactions, Causal relationships and optimization within a network-based framework and direct applications of networks compared to traditional methods in finance Various types of algorithms enhanced by programming language codes that readers can implement and use for their own data
Network Models in Finance: Expanding the Tools for Portfolio and Risk Management is an essential read for asset managers and investors seeking to make use of networks in research, trading, and portfolio management.
By:
Gueorgui S. Konstantinov,
Frank J. Fabozzi
Imprint: John Wiley & Sons Inc
Country of Publication: United States
Dimensions:
Height: 259mm,
Width: 211mm,
Spine: 33mm
Weight: 794g
ISBN: 9781394279685
ISBN 10: 139427968X
Series: Frank J. Fabozzi Series
Pages: 368
Publication Date: 21 February 2025
Audience:
Professional and scholarly
,
Undergraduate
Format: Hardback
Publisher's Status: Active
Contents Preface……………………………………………………………………………………………………………………………………………XX Acknowledgments…………………………………………………………………………………………………………………………..XX About the Authors……………………………………………………………………………………………………………………………XX Chapter 1: Introduction……………………………………………………………………………………………………………………XX Chapter 2: The Basic Structure of a Network…………………………………………………………………………………XX Chapter 3: Network Properties………………………………………………………………………………………………………XX Chapter 4: Network Centrality Metrics………………………………………………………………………………………..…XX Chapter 5: Network Modeling………………………………………………………………………………………………………….XX Chapter 6: Foundations for Building Portfolio Networks – Link Prediction and Association Models………………………………………………………………………………………………………………………………………………XX Chapter 7: Foundations for Building Portfolio Networks – Statistical and Econometric Models…………………………………………………………………………………………………………………..…………………………XX Chapter 8: Building Portfolio Networks – Probabilistic Models……………………………………………………..XX Chapter 9: Network Processes in Asset Management……………………………………………………………………XX Chapter 10: Portfolio Allocation with Networks………………………………………………………………………………XX Chapter 11: Systematic and Systemic Risk, Spillover, and Contagion…………………………………………XX Chapter 12: Networks in Risk Management………………………..…………………………………………………………XX References………………………………………………………………………………………………………………………..……………XX Index………………………………………………………………………………………………………………………………………………..XX
GUEORGUI S. KONSTANTINOV, PHD, has over 17 years’ experience in portfolio management, managing global bond portfolios and currencies for institutional investors and pension funds. He is an advisory board member of the Journal of Portfolio Management and the coauthor of Quantitative Global Bond Portfolio Management. FRANK J. FABOZZI, PHD, is Professor of Practice at John Hopkins University’s Carey Business School. He has authored over 100 books and edited The Handbook of Fixed Income Securities and The Handbook of Mortgage-Backed Securities. He holds the CFA and CPA professional designations.
