Portfolio and Investment Analysis with SAS

Portfolio and Investment Analysis with SAS

by John B. Guerard, Ziwei Wang, Ganlin Xu
Released April 2019
Publisher(s): SAS Institute
ISBN: 9781635266894

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Book description

Choose statistically significant stock selection models using SAS®

Portfolio and Investment Analysis with SAS®: 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.

Table of contents

  1. About This Book
  2. Chapter 1: Why Do We Invest?
    1. 1.1 Introduction
    2. 1.2 Assumptions
    3. 1.3 Annualized Return
    4. 1.4 Average Return
    5. 1.5 Expected Return
    6. 1.6 Efficient Portfolio
    7. 1.7 Minimum Variance Portfolio
    8. 1.8 Market Portfolio
    9. 1.9 Portfolio Optimization
    10. 1.10 Summary and Conclusions
  3. Chapter 2: An Introduction to Financial Statement Analysis
    1. 2.1 Introduction
    2. 2.2 Types of Businesses
    3. 2.3 The Income Statement
    4. 2.4 The Balance Sheet
    5. 2.5 Why Issue Debt? Calculating the Return on Equity
    6. 2.6 Annual Cash Flow Statement
    7. 2.7 Ratio Analysis and Working Capital
    8. 2.8 General Analysis Ratios
    9. 2.9 Corporate Exports
    10. 2.10 Summary and Conclusions
  4. Chapter 3: The Risk and Return of Equity and the Capital Asset Pricing Model
    1. 3.1 Introduction
    2. 3.2 Calculating Holding Period Returns
    3. 3.3 Markowitz on Portfolio Risk
    4. 3.4 An Introduction to Modern Portfolio Theory
    5. 3.5 Estimating Stock Betas
    6. 3.6 Multi-Beta Risk Models
    7. 3.7 Summary and Conclusions
    8. 3.8 Appendix: Robust Regression and SAS Implementation
  5. Chapter 4: Robust Regression and Stock Selection in Global Equity Markets
    1. 4.1 Introduction and Efficient Markets
    2. 4.2 Fundamental Variables for Stock Selection Modeling
    3. 4.3 Fundamental Variables and Regression-Based Expected Returns Modeling
    4. 4.4 Why Apply Robust Regression?
    5. 4.5 SAS Robust Regression Estimations
    6. 4.6 SAS PROC ROBUSTREG with M, S, and MM Estimations
    7. 4.7 SAS Robust Regression with the Optimal Influence Function
    8. 4.8 Summary and Conclusions
  6. Chapter 5: The Theory of Risk, Return, and Performance Measurement
    1. 5.1 Introduction
    2. 5.2 Risk and Return and Markowitz Optimization Analysis
    3. 5.3 Capital Market Equilibrium
    4. 5.4 The Barra Model: A Fundamental Risk Model
    5. 5.5 APT and Statistical Risk Models: Constructing Mean-Variance Efficient Portfolios
    6. 5.6 The Axioma Risk Model: Fundamental and Statistical Risk Models
    7. 5.7 The Axioma Alpha Alignment Factor and Custom Risk Models
    8. 5.8 Assessing Mutual Funds: The Treynor Index
    9. 5.9 What Have You Done for Me Lately?
    10. 5.10 Summary and Conclusions
  7. Chapter 6: Data Mining Corrections
    1. 6.1 Introduction to Data Mining
    2. 6.2 Single Performance Measurement and Testing
    3. 6.3 Multiple Hypothesis Testing and False Discovery Rate
    4. 6.4 Multiple Mean Comparison Test with ANOVA
    5. 6.5 Regression to the Mean
    6. 6.6 Empirical Bayes Estimation and Hypothesis Testing
    7. 6.7 Summary and Conclusions
  8. Chapter 7: Summary and Conclusions
  9. References

Product information

  • Title: Portfolio and Investment Analysis with SAS
  • Author(s): John B. Guerard, Ziwei Wang, Ganlin Xu
  • Release date: April 2019
  • Publisher(s): SAS Institute
  • ISBN: 9781635266894