- The Frank J. Fabozzi Series
- Title Page
- Copyright
- Dedication
- Preface
- About the Authors
- Acknowledgments
- Part One: Statistical Models of Risk and Uncertainty
- Chapter 2: Random Variables, Probability Distributions, and Important Statistical Concepts
- 2.1 What Is a Probability Distribution?
- 2.2 The Bernoulli Probability Distribution and Probability Mass Functions
- 2.3 The Binomial Probability Distribution and Discrete Distributions
- 2.4 The Normal Distribution and Probability Density Functions
- 2.5 The Concept of Cumulative Probability
- 2.6 Describing Distributions
- 2.7 Dependence between Two Random Variables: Covariance and Correlation
- 2.8 Sums of Random Variables
- 2.9 Joint Probability Distributions and Conditional Probability
- 2.10 Copulas
- 2.11 From Probability Theory to Statistical Measurement: Probability Distributions and Sampling
- Chapter 3: Important Probability Distributions
- Chapter 4: Statistical Estimation Models
- Chapter 2: Random Variables, Probability Distributions, and Important Statistical Concepts
- Part Two: Simulation and Optimization Modeling
- Part Three: Three Portfolio Theory
- Chapter 8: Asset Diversification
- Chapter 9: Factor Models
- 9.1 Factor Models in the Financial Economics Literature
- 9.2 Mean-Variance Optimization with Factor Models
- 9.3 Factor Selection in Practice
- 9.4 Factor Models for Alpha Construction
- 9.5 Factor Models for Risk Estimation
- 9.6 Data Management and Quality Issues
- 9.7 Risk Decomposition, Risk Attribution, and Performance Attribution
- 9.8 Factor Investing
- Chapter 10: Benchmarks and the Use of Tracking Error in Portfolio Construction
- Part Four: Equity Portfolio Management
- Part Five: Fixed Income Portfolio Management
- Part Six: Derivatives and Their Application to Portfolio Management
- Appendix: Basic Linear Algebra Concepts
- References
- End User License Agreement
Dessislava A. Pachamanova
To my parents, Rositsa and Angel
Frank J. Fabozzi
To my wife, Donna, and my children, Karly, Patricia, and Francesco
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