Portfolio and Investment Analysis with SAS: Financial Modeling Techniques for Optimization

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John B Guerard Ziwei Wang

Portfolio and Investment Analysis with SAS

Financial Modeling Techniques for Optimization

John B Guerard, Ziwei Wang, Ganlin Xu

$204.95 $164.19

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English

SAS Institute
03 April 2019

Enterprise software; Mathematical & statistical software

Choose statistically significant stock selection models using SAS(R)

Portfolio and Investment Analysis with SAS(R): Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application.

Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

By: John B Guerard, Ziwei Wang, Ganlin Xu
Imprint: SAS Institute
Dimensions: Height: 279mm, Width: 216mm, Spine: 14mm
Weight: 826g
ISBN: 9781642951936
ISBN 10: 1642951935
Pages: 230
Publication Date: 03 April 2019
Audience: General/trade , ELT Advanced
Format: Hardback
Publisher's Status: Active

John B. Guerard, Jr., PhD, is the Director of Quantitative Research at McKinley Capital Management, LLC. Dr. Guerard focuses on maintaining and enhancing the firm's quantitative capabilities and investment models. Before joining McKinley Capital in 2005, Dr. Guerard held a number of senior-level positions, including Vice President at Daiwa Securities Trust Co., where he co-managed the Japan Equity Fund with Nobel Prize winner Dr. Harry Markowitz. He is the author of numerous books and articles, including An Introduction to Financial Forecasting in Investment Analysis and Quantitative Corporate Finance. He is also a former faculty member at the Rutgers University Graduate School of Management and at Lehigh University. Dr. Guerard earned an AB degree in Economics from Duke University, an MA degree in Economics from the University of Virginia, an MSIM in Finance from the Georgia Institute of Technology, and a PhD in Finance from the University of Texas at Austin.

Reviews for Portfolio and Investment Analysis with SAS: Financial Modeling Techniques for Optimization

This book spans the space of security selection, portfolio analysis, and forecasting. It brings these diverse elements into an integrated and understandable form. I recommend it to practitioners and academics. Martin Gruber