Appendices

Anatoly B. Schmidt

Chapter 16 in Modern Equity Investing Strategies, 2021, pp 271-291 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Appendix A: Probability DistributionsBasic NotionsCommonly Used DistributionsThe uniform distributionThe binomial distributionThe Poisson distributionThe normal distributionThe lognormal distributionThe Cauchy distributionThe gamma distributionThe geometric distributionStable Distributions and Scale InvarianceAppendix B: Elements of Time Series AnalysisThe ARMA ModelThe autoregressive modelThe moving average modelThe ARMA modelTrends and SeasonalityMultivariate Time Series

Keywords: Portfolio Management; Mean-variance Theory; Portfolio Diversification; Efficient Market Hypothesis; Random Walk; Trading Strategies; Technical Analysis; Statistical Arbitrage; Hedging; Momentum Arbitrage; Alternative Data; Market Sentiment; Opinion Mining; Factor Models; CAPM; APT; Smart Betas; Optimal ESG Portfolio; US Equity Markets; Market Microstructure; Risk Aversion; Optimal Execution; Taker's Dilemma; Back-Testing of Trading Strategies; Price Volatility; Shrinkage Estimator; Black-Litterman Model; Risk Parity; Robust Optimization; Time Series Analysis; Arma Model; Garch Model; Agent-Based Modeling; Fractals (search for similar items in EconPapers)
JEL-codes: C02 C6 G11 (search for similar items in EconPapers)
Date: 2021
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