Book Description
"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals."
-William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management.
"Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn."
-Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline
Co-Manager, Fidelity Freedom ® Funds.
"This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management."
-Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management.
Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.
Customer Reviews:
One to add to your reading list.......2007-06-30
I know many have this book and have never read it. Others read this book but never really understand it. However, if you can read it and understand it, it can offer a powerful tool for how to allocate capital. It actually is the basis for most indexing and quantitative methodologies. When applied to fundemental approaches to investment it can be quite powerful.
Sadly, though not enough money managers embrace what this book is trying to say with regards to risk and return.
Practical approach and mathematically rigorous at the same time.......2006-02-01
Excellent book for whom is looking for a practical approach that at the same time is presented through a rigorous mathematical methodology. The book is absolutely superior over the academic textbooks that usually limit themselves to CAPM and efficient market theory. Grinold and Kahn go much forward and at the same time had managed to clearly and meticulously show the CAPM model, its limitations and the more sophisticated tools developed from it. Beside of showing the active way of managing a portfolio, the serious mathematical presentations through which the different theories such as CAPM are described are very convincing of how difficult it could be to beat the market.
Theoretical framework with no practical examples........2005-01-20
There is important information in this book but most of us need to see numerical examples to reinforce theoretical concepts. This book really comes up short in this area. It provides some discussion with the formulas/equations it presents but is very incomplete in terms of worked out examples. Yes, including worked out examples might might mean a book three times as long, but the book would then be many, many times more useful to practitioners.
As it currently stands the book can only benefit the super-genius-theoretical types who do not need to see examples to understand OR someone who ALREADY really understands the concepts.
The book rather frequently presents variables or constants without explicitly defining them for the reader (it assumes we know what they mean from the accompanying discussion).
The book gives exercises, but without answers what good are these?
The one thing the book does is make you realize there is a lot you do not know. You can find ideas in portfolio management that exist by reading this book but if you are at all like me you are going to have to look elsewhere for the answers. I have had better luck with Google searches for stuff like Style Analysis.
The book shows how smart the authors are: they know stuff that must of us do not. Unfortunately this is the feeling I get as I read sections of their book. They intend to keep it this way. Bottom line: the book fails to bridge the gap between theory and practice.
This is the seminal text for Quantitative Finance.......2004-11-11
If you work for one of the top alpha quant shops (Barclays, Goldman, etc.), this text is a the proverbial must read. These are the guys that essentially invented quantitative finance in its modern form, building upon the [only somewhat applicable] concepts of Sharpe and Rosenberg and demonstrating how they can be harnassed to drive alpha. Anybody who has given this text a poor review obviously doesn't work in quantitative finance (chances are they're merely stock-pickers). If you want to understand how to drive alpha and beat the market, this text goes a lot further than explaining the simple concepts of information ratio and tracking error; instead, this book touches on the beauty of multi-factor models and covariance risk management.
Very boring and dry.......2004-10-05
This book is a funny phenomenon in itself: it seems that every portfolio manager keeps a copy on her desk, but nobody I've talked to likes the book, or has even really read it. I read it and had to struggle hard to go from one page to the next. It's one of the WORST books I've ever read in any field. The book attempts to give the reader a comprehensive overview of the portfolio management discipline. Unfortunately, it's extremely dry, to the point of boring the reader to death. A lot of pages are also wasted on topics of dubious value, while important subjects like global management is treated lightly. I highly recommend against this book. It's a waste of money.
Book Description
Exceptionally clear and accessible, Pat McKeague's best-selling texts offer all the review, drill, and practice students need to develop solid mathematical proficiency and confidence. McKeague's attention to detail, exceptional writing style, and organization of mathematical concepts make teaching enjoyable and learning accessible. Building on his reputation for student-friendly content and supportive pedagogy, Mckeague reaffirms his presence as a leader in developmental mathematics with the introduction of this new paperback title.
Book Description
The focus of this book is on clarifying the mathematical and statistical foundations of econometrics. Therefore, the text provides all the proofs, or at least motivations if proofs are too complicated, of the mathematical and statistical results necessary for understanding modern econometric theory. In this respect, it differs from other econometrics textbooks.
Download Description
This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression analysis, various laws of large numbers, central limit theorems and related results for independent random variables as well as for stationary time series, with applications to asymptotic inference of M-estimators, and maximum likelihood theory. Some chapters have their own appendices containing the more advanced topics and/or difficult proofs. Moreover, there are three appendices with material that is supposed to be known. Appendix I contains a comprehensive review of linear algebra, including all the proofs. Appendix II reviews a variety of mathematical topics and concepts that are used throughout the main text, and Appendix III reviews complex analysis. Therefore, this book is uniquely self-contained.
Book Description
Weather Derivative Valuation is the first book to cover all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather derivatives, the modelling and valuation of portfolios, the use of weather and seasonal forecasts in the pricing of weather derivatives, arbitrage pricing for weather derivatives, risk management, and the modelling of temperature, wind and precipitation. Specific issues covered in detail include the analysis of uncertainty in weather derivative pricing, time-series modelling of daily temperatures, the creation and use of probabilistic meteorological forecasts and the derivation of the weather derivative version of the Black-Scholes equation of mathematical finance. Written by consultants who work within the weather derivative industry, this book is packed with practical information and theoretical insight into the world of weather derivative pricing.
Customer Reviews:
An effective introduction.......2005-12-06
Many businesses, particularly ones that specialize in energy and agriculture, can be subjected to severe financial impact by changes in the weather. Techniques from financial engineering can be used to manage the financial risk involved in these changes, and are structured as swap, call, and put contracts based on `weather indices'. These financial instruments are referred to as `weather derivatives' and are the subject of this book. The weather indices are typically the `heating degree day' (HDD), and the `cooling degree day' (CDD), but could also be such quantities as precipitation, snowfall, and humidity. The HDD (for a particular day) is usually defined as the maximum difference (bounded below by zero) between a chosen baseline temperature and the average temperature. The CDD is the difference between the average temperature and a baseline (again bounded below by zero).
A perfect weather derivative would be designed so as to eliminate all risk due to the weather. For example, if the temperature is to be the index of choice, then one would like to be able to `hedge' so successfully so as to make, as far as the affected industry is concerned, the weather effectively irrelevant. This of course is not possible, due to the unavailability of perfect forecasts. However, one can enter into weather derivative contracts that will enable the affected industry to manage their weather risk in a manner that that makes use of what can actually be predicted in weather forecasts, with the remaining uncertainty being hedged. Possible lost revenue due to adverse weather can be hedged for example by a weather derivative that will give a revenue stream that is based on the forecast error.
Like all other financial instruments, there will be a cost associated with weather derivative contracts. Within the scope of propriety, the authors have given an excellent introduction to the methodologies used to price weather derivatives, and how to perform risk management of portfolios based on weather derivatives. Since the underlying weather indices are not traded, pricing based on arbitrage is more involved for the case of weather derivatives. The authors though show how arbitrage pricing can be done, and also give in-depth discussion on other pricing strategies, these being classified as `actuarial' and `market-based' pricing. Actuarial pricing, as the name implies, involves calculating the probabilities of all future outcomes of a contract or portfolio of contracts, while market-based pricing is based on the actual prices that are observed in the market. Arbitrage pricing can be done in locations where the option is actively traded. Otherwise, the authors show how a swap contract defined on the index can be used to obtain dynamic hedging. However, they remark that this pricing strategy is not widely done at the time of writing. Actuarial pricing thus dominates the discussions in the book.
The mathematical modeling involved in weather derivatives can be difficult, due in part to the fact that the underlying weather indices are nonstationary, i.e. they are characterized by variations and trends with scales greater than the length of the historical record. In addition, the weather indices exhibit a high degree of autocorrelation. Also, the actual measurement of volatility can be problematic, due to sparse data sets or even the unavailability of data. Further, arriving at a general method for estimating volatility is difficult since the exposure to weather risk is highly variable between different companies.
One method of valuing single contracts discussed early on in the book is called `burn analysis', and can be viewed as a step above a quick back-of-the-envelope calculation. It attempts to value a contract based on how it would have performed in the past. The authors estimate the fair strike for a swap, i.e. the strike that gives an expected value of zero, using burn analysis. This involves using the (detrended) historical index values and the calculation of the mean of this data to estimate the expected index. The authors show how to incorporate `risk loading' to model more closely what is actually going on in the trading of swaps. They also show how to apply the burn analysis to options, calculating the `fair premium' by using the historical pay-offs, with the mean of this data being the expected pay-off.
The most interesting part of the book is the one on arbitrage pricing models. The price charged for a weather contract will be influenced by the possibility of hedging, which is different from actuarial pricing, which is based on diversification. The arbitrage pricing mechanism that the authors discuss is restricted to weather swaps, and they review arbitrage theory both from the standpoint of partial stochastic differential equations and from measure theory. The swaps are all assumed to be linear and based on linear degree days. The authors derive the stochastic differential equations for the swap price to obtain a version of the Black-Scholes equation for weather swaps trading with a premium. They also derive, using a hedging strategy based on forward contracts, the partial differential equation satisfied by the price of the weather option. The solution of this equation gives the arbitrage price, which interestingly turns out to be the same as the actuarial fair price without risk loading. This is due to the absence of drift in the discounted swap price and also the fact that there is no expected loss on the swaps. The authors' algorithm for calculating the arbitrage price for options consists of taking the market swap price to be the expected index, using this to calculate the expected pay-off, and then discounting this quantity to give the arbitrage price. This algorithm is done assuming knowledge of the standard deviation of the settlement index. Their algorithm is interesting, but its validation is not discussed in the book. Readers will have to consult the references for further discussion on this important issue. To gain confidence in the efficacy of the algorithm will of course require it be used in real-life trading or risk management.
Book Description
Linear Programming: Foundations and Extensions is an introduction to the field of optimization. The book emphasizes constrained optimization, beginning with a substantial treatment of linear programming, and proceeding to convex analysis, network flows, integer programming, quadratic programming, and convex optimization.
The book is carefully written. Specific examples and concrete algorithms precede more abstract topics. Topics are clearly developed with a large number of numerical examples worked out in detail.
Moreover,
Linear Programming: Foundations and Extensions underscores the purpose of optimization: to solve practical problems on a computer. Accordingly, the book is coordinated with free efficient C programs that implement the major algorithms studied:
-The two-phase simplex method; -The primal-dual simplex method; -The path-following interior-point method; -The homogeneous self-dual methods.
In addition, there are online JAVA applets that illustrate various pivot rules and variants of the simplex method, both for linear programming and for network flows. These C programs and JAVA tools can be found on the book's webpage:
. Also, check the book's webpage for new online instructional tools and exercises that have been added in the new edition.
Customer Reviews:
Professor Robert Freund's review.......2004-04-30
This is a much more detailed one as compared to the other two and was penned by MIT ORC Professor Robert Freund.
Summary. This book presents a thoroughly modern treatment of linear programming that achieves a healthy balance between theory, implementation, computation, and between the simplex method and interior-point methods. It's most novel feature is that it is written in a delightful and refreshing conversational style, that bespeaks the author's teaching style and relaxed wit. It is a pleasure to read: students will find the book to be friendly and engaging, while professors will find in the book a wealth of teaching material, nicely organized and packaged for classroom use. The book is also meant to be used in conjunction with a public-available website that contains software for various algorithms, additional exercises, and demos of algorithms.
The need for new linear programming textbooks. The world of linear programming has changed dramatically in the last ten years. For one thing, the incredible changes in computer technology have made it easy to solve truly huge LPs, and routine LP problems solve in fractions of a second even on a personal computer. As a result, the study of linear programming algorithms is of less interest to the casual student. (In a similar vein, we usually do not teach students how to efficiently compute square roots; we simply presume they can press the right buttons on their calculator.) On the other hand, because we can now solve truly gigantic linear programs, issues of computer implementation, numerical stability, and software architecture, etc., are as important for the serious optimizer as is, say, duality theory. Furthermore, the development and recognition of the importance of interior point methods has changed the landscape of linear programming significantly, so that linear programming is no longer synonymous with the simplex method, and a modern treatment of LP must also present an in-depth treatment of the most important interior point methods.
Vanderbei's book is thoroughly modern. Vanderbei's book is completely up-to-date. Aside from a nice treatment of the simplex method, it also contains a very up-to-date treatment of interior point methods, including the homogeneous self-dual formulation and algorithm (which might soon become the dominant algorithm in practice and theory). It contains extensive material on issues of implementation of both the simplex algorithm and interior point algorithms. A politician might call it a book for the 21st century.
Vanderbei's book has many novel features. This book is quite different from most other textbooks on LP in a number of important ways. For starters, the standard form of a linear program in the book is the symmetric form of the problem (max c^T x | Ax
<= b, x >= 0), as opposed to the usual form (min c^T x | Ax=b, x >= 0). This difference allows for an easier treatment of duality, and allows one to see the geometry of linear programming more easily as well. The symmetric form also makes it easier to set up the homogeneous self-dual interior point algorithm. However, this form has the drawback that discussions of bases, basic feasible solutions, and some of the mechanics of the simplex method are all a bit more awkward. (The book uses the language of dictionaries to describe the essential information in a simplex method iteration.) The book has more of a focus on engineering applications than does the more typcial LP textbook (which tend to rely on business problems). For example, there is a nice chapter on optimization of engineering structures such as trusses. The book gives a very broad treatment of interior point methods, including several topics that are not usually found in textbooks such as the homogeneous self-dual formulation and algorithm, quadratic programming via interior point methods, and general convex optimization via interior point methods.
These novel features are good in that the author has clearly tried to be innovative and to build an LP text from the ground up, without regard for past texts.
Some Nice Features. There are some particularly nice features in the book. The book contains a much-simplified variant of the Klee-Minty polytope that allows for a more straightforward proof that the simplex method can visit exponentially many extreme points. In addition to proving strong duality, the book also presents Tucker's strict complementarity theorem, which has become important in the new view of sensitivity analysis, optimal partitions, and interior point methods. The book also contains a nice treatment of the steepest edge pivot rule, which has recently emerged as an important component in speeding up the performance of the simplex algorithm. In the treatment of interior point methods, the author spends very little time on polynomial time bounds and guarantees (as a theorist, I like to see this material), instead adding value by discussing important computational and implemention issues, including ordering heuristics, strategies for solving the KKT system by Newton's method, etc. The book sometimes has an engineer's feel for the proofs, which is good for students but is a bit frustrating to hard-core math types such as myself. There are many instances where the proof is just a proof via an example. This is consistent with the conversational and informal style of the text, and this informality spills over into the mathematics on occasion.
This book has style. As mentioned earlier, the book has a wonderfully appealing conversational style. While the author does not purposely go out of his way to be cute and corny, he succeeds in leaving the reader grinning with his humor. There are some passages that are downright funny, but the style succeeds mostly by default. One section on the issue of modeling the anchoring of truss design problems is called Anchors Away, the subsection on updating factorizations to reduce fill-in is aptly called Shrinking the Bump. And there is the hint of a racy discussion of an application of Konig's Theorem involving boys and girls that the curious reader might enjoy.
Overall, I greatly enjoyed reviewing this book, and I highly recommend the book as a textbook for an advanced undergraduate or master's level course in linear programming, particularly for courses in an engineering environment. In addition, the book also is a good reference book for interior point methods as well as for implementation and computational aspects of linear programming. This is an excellent new book.
Excellent book.......2002-07-18
Very clearly written. Unlike most math books, the notation is easy to understand for engineers and programmers. I found the free online version first, and then decided to buy the hard copy.
Profesor.......2001-04-11
That book is excelent from class and practice. Very important in undergraduate and postgraduate. Thanks you.
Book Description
Newton's Philosophiae Naturalis Principia Mathematica provides a coherent and deductive presentation of his discovery of the universal law of gravitation. It is very much more than a demonstration that 'to us it is enough that gravity really does exist and act according to the laws which we have explained and abundantly serves to account for all the motions of the celestial bodies and the sea'. It is important to us as a model of all mathematical physics. Representing a decade's work from a distinguished physicist, this is the first comprehensive analysis of Newton's Principia without recourse to secondary sources. Professor Chandrasekhar analyses some 150 propositions which form a direct chain leading to Newton's formulation of his universal law of gravitation. In each case, Newton's proofs are arranged in a linear sequence of equations and arguments, avoiding the need to unravel the necessarily convoluted style of Newton's connected prose. In almost every case, a modern version of the proofs is given to bring into sharp focus the beauty, clarity, and breath-taking economy of Newton's methods. Subrahmanyan Chandrasekhar is one of the most reknowned scientists of the twentieth century, whose career spanned over 60 years. Born in India, educated at the University of Cambridge in England, he served as Emeritus Morton D. Hull Distinguished Service Professor of Theoretical Astrophysics at the University of Chicago, where he has was based from 1937 until his death in 1996. His early research into the evolution of stars is now a cornerstone of modern astrophysics, and earned him the Nobel Prize for Physics in 1983. Later work into gravitational interactions between stars, the properties of fluids, magnetic fields, equilibrium ellipsoids, and black holes has earned him awards throughout the world, including the Gold Medal from the Royal Astronomical Society in London (1953), the National Medal of Science in the United States (1966), and the Copley Medal from the Royal Society (1984). His many publications include Radiative transfer (1950), Hydrodynamic and hydromagnetic stability (1961), and The mathematical theory of black holes (1983), each being praised for its breadth and clarity. Newton's Principia for the common reader is the result of Professor Chandrasekhar's profound admiration for a scientist whose work he believed is unsurpassed, and unsurpassable.
Customer Reviews:
i'm ordering this book having looked through it.......2007-10-07
perhaps the title "...for the common reader" is the issue here. "the common reader familiar with calculus", perhaps...
there's simply no way anyone without a very solid grounding in mathematics can read this book and understand it. we are talking about the laws of motion & gravity here, etc.
i compared this (a bit dogeared) copy of a book sided by side with a modern copy of principa in a bookshop, and for anyone wishing to tackle this monumentally important work, i cannot think of a better pairing. a modern copy of newton's principia and chandrasekhar's great work for those who wish to see a thorough explanation and working of the equations.
it's like a lot of things; be realistic with your expectations.
someone who is not very competent in mathematics is not going to be able to ever fully comprehend the contents of this book, misleading title notwithstanding.
perhaps the person that gave this book one star would like to let us know what scientific books he has awarded five stars to if he thinks so lowly of this one?
i say all this, because i'm currently self-studying algebra to be able to self-study calculus next year, just so i can try and understand some of this all-important book.
so don't knock the book, just keep putting the time in & struggling (and it's a struggle, alright) with the mathematics that unlock its secrets.
Before you slag this book off, hold on a minute.......2005-01-18
This book was written by the Indian-American Nobel Laureate who proved that the upper limit of white dwarf stars are incapable of being over 1.2 solar masses. Now Chandra(the author of this book), who was amongst the most meticulous of theorists and who worked with bigwigs like Dirac, Bethe, Fermi and Von Neumann amongst the most luminous, wrote this massive treatise on Newton's Principia. This is chandra's take on Newton's work. Don't think its a light read - It isn't. You cannot take it with you to starbucks sipping your cappucino and browse the work. You'll need to be at a table with a straightback chair and concentrate intensely. If you know Chandra's work, then you will know that chandra always said just about what was required and said it in very beautiful English. His English probably has the most beautifully constructed sentences ever among scientific works. So essentially this is about a 20th century giant interpreting the work of THE giant of all time. This is NOT a verbatim reproduction in English of the original latin publication. If you can get this book cheap on e-bay, buy it because it is worth it. It is expensive for a reason. Its beautifully written and bound very beautifully in a red jacket with Newton's bust and handwriting on the jacket. If you bought it, the red cover is attractive enough to make it stand out of your living room book shelf. Most importantly, Chandra tackles each aspect of Newton's principia in a most profoundly original manner. GET IT if you can afford it and if you can't, try a used book place. But get it anyway.
Not What I expected.......2002-10-20
I expected this to be a walkthrough for people like myself who have a knowledge of physics but are far from being experts and are interested in reading the classics of science. This is a guide for the modern Professor of Physics, not a guide for the common reader as it says. If I had known that I wouldn't have bought it. I get the impression that there is certainly a demand for such a walkthrough. I thought this would be it.
A BIG disapointment!
Uncommon price for a book intended for common reader.......2001-06-30
I have not read this book, but would love too. But the price is just too high for a book that is intended for the common reader. It is unaffordable for the common reader.
(NOTE: My stars rating is meaningless because I have not read the book.)
Book Description
Based on formal derivations of financial theory, this volume provides a rigorous exploration of individual's consumption and portfolio decisions under uncertainty. Features in-depth coverage of such topics as: concepts of risk aversion and stochastic dominance; mathematical properties of a portfolio frontier; distributional conditions for mutual fund separation; capital asset pricing models and arbitrage pricing models; general pricing rules for securities that pay off in more than one state of nature; the pricing of options; rational expectation models of risky asset prices; signaling models; how multiperiod dynamic economies can be modeled; a multiperiod economy with emphasis on valuation by arbitrage; econometric issues associated with testing capital asset pricing models. For readers interested in a rigorous overview of financial economicsn individual consumption point of view. © 1988
Customer Reviews:
Sentimental value.......2001-06-18
I rate this book with 5 stars for sheer sentimental value: Chi-fu Huang is/was one of the principals of Long Term Capital Management and one of its most senior traders (cf Nicholas Dunbar's book "Inventing Money"). Bob Litzenberger is head of Risk Management at Goldman Sachs, and was head of the team that was put in charge of liquidating LTCM's highly illiquid positions, after it collapsed, which must have been a very delicate task that had to be carried out in an orderly way -- something similar to clearing up a mine field (cf Dunbar's book again, and Risk magazine, page 112, August 1999). The way their careers have diverged since they co-authored their book is something to think about.
Useless.......2000-09-22
I totally agree with the previous reviewer, the book is not organized well, notations are horrible and contents are of second-level importance. We're in 2000 and it is still in use in our school, 60's technology static models. Naive portfolio mathematics and stupid martingale treatment. Today, the emphasis should be on dynamic models and martingales. This book's contents are more of historic value than financial economics of today. Duffie is good, but it is more advanced than this so it is not directly comparable. Waiting for a good, modern, intermediate level treatment of financial economics...
Unjustifiable fame.......2000-04-16
This book is used is several introductory courses on finance at MBA/Masters level, but it is a really mess: we don't know where we are, what we are doing and why. It confuses us. Sometimes the authors use summations, sometimes integrals on the same topic. The reader should be very cautious not to fall in its traps. In another words, the book has a bad notation and organization.
The last chapter, however, covers the econometric questions mainly on CAPM estimation problems. This is a very useful chapter.
Book Description
Presenting a thorough introductory exposition of optimal control theory, this work differs from the existing textbooks on the subject due to its emphasis on the economic interpretation of the mathematics and the qualitative properties of the solutions. Moreover, it is a modern exposition of optimal control theory in that it presents numerous complementary methods. It is aimed at first-year and second-year PhD students in economics, agricultural and resource economics, operations research, management science, and applied mathematics.
Book Description
Complex behavior can occur in any system made up of large numbers of interacting constituents, be they atoms in a solid, cells in a living organism, or consumers in a national economy. Analysis of this behavior often involves making important assumptions and approximations, the exact nature of which vary from subject to subject. Foundations of Complex-system Theories begins with a description of the general features of complexity and then examines a range of important concepts, such as theories of composite systems, collective phenomena, emergent properties, and stochastic processes. Each topic is discussed with reference to the fields of statistical physics, evolutionary biology, and economics, thereby highlighting recurrent themes in the study of complex systems. This detailed yet nontechnical book will appeal to anyone who wants to know more about complex systems and their behavior. It will also be of great interest to specialists studying complexity in the physical, biological, and social sciences.
Customer Reviews:
4.5 Stars-The whole is not the sum of the parts;Excellent and scholarly.......2006-02-14
This is a very interesting book.The author demonstrates that she has command over a number of different fields.She exhibits a wide ranging scholarship in this book.In a nutshell,one can categorize the major conclusions she arrives at as the whole is not the sum of the parts alone.Neither a strictly micro or macro approach to the different fields she investigates,using a complex systems framework, yields the idealized types of scientific discovery and knowledge one finds postulated in some philosophy of science discourses that emphasize deductive closure laws.I have one slight criticism of the book,which is why I have subtracted one half a star.The author has a deep general understanding of the Keynes-Knight distinction between risk and uncertainty in economics(and in social sciences).However,she lacks an understanding of the specifics of Keynes's approach in the A Treatise on Probability(1921;TP).She is unaware of Keynes's interval estimate approach to probability,his index,w,used to measure the completeness of the evidence ,ranging from ignorance through partial knowledge to a complete information set,and Keynes's conventional coefficient of weight and risk,which treats risk, based on the purely deductive laws of probability, as a special case.This would be a very minor criticism if she had integrated the work of D.Ellsberg(Ellsberg's 2001 book,Risk,Ambiguity,and Decision gives a modern,improved and updated version of the TP) and B.Mandelbrot into her discussions involving economics,risk,and uncertainty(Ellsberg's Ambiguity with his rho and alpha indexes and the wild versus mild risk of the cauchy distribution versus normal distribution as discussed by Mandelbrot).Unfortunately,Ellsberg's contributions are not discussed at all while Mandelbrot receives a single footnote that completely ignores his contributions to economics.She can certainly obtain a 5-star rating by bringing out a revised edition in which the original,technical, pioneering work of Keynes is covered followed by the modern and updated contributions of Ellsberg and Mandelbrot.
a fascinating book -- recommended to philosophers.......2002-10-26
Philosophers of science need to read this book: the hands-on
account of how three sciences work is a healthy
corrective to the usual practice of writing philosophy of science
without actually knowing how the science is done.
A Professional work.......2000-03-30
This is an amazing work. Sunny Auyang has written an easily comprehenedible book on applications of complexity theories to economics, biology and physics. It is a professional writing to professionals in different fields.One needs college level maths and some physics to fully grasp it but she has made minimum use of mathematical symbols. Her writing flows, the examples are clear, some illuminate important issues in the applied fields, some are just homey bits that convey an idea insightfully. A lot of depth in her philosophical explorations of the complexity ideas. I consider this to be a must for any person studying or instructing in system thinking.
Book Description
Economics doesn't have to be a mystery anymore. FOUNDATIONS OF MATHEMATICAL AND COMPUTATION ECONOMICS shows you how mathematics impacts economics and econometrics using easy-to-understand language and plenty of examples. Plus, it goes in-depth into computation and computational economics so you'll know how to handle those situations in your first economics job. Get ready for both the test and the workforce with this economics textbook.
Customer Reviews:
Good introduction.......2007-08-20
There is little doubt that econometrics is becoming more intensely mathematical with each passing year, making considerable demands on the intellectual capabilities of economists and also exploiting the computational powers of the latest computing machinery. Therefore, individuals who have ambitions to become involved in econometrics must begin mathematical preparation early in their education. This book fills the need for such individuals, and is written for the advanced undergraduate student in economics. It covers elementary calculus, including multivariable calculus, linear algebra, dynamic optimization, elementary numerical analysis, and a brief introduction to the theory of dynamical systems. More esoteric topics such as game theory, fixed-point analysis, and partial differential equations are not discussed in the book.
Some of the more interesting or useful features of the book include:
· The use of Matlab as a tool for calculating quantities of interest, such as the diagonalization of matrices and the numerical solution of differential equations, and its ability to access data on Excel spreadsheets. SAS has been the niche language for many in economics and econometrics, but this has been changing in recent years due to the availability of relatively inexpensive but professional symbolic programming packages like Mathematica, Matlab, and Maple. The reader who is charged with doing econometric analysis on very large data sets, with possibly millions of rows will of course not be able to implement them in Excel due to its row limitation size, vitiating the use of Matlab for such analysis.
· The inclusion of various economic concepts and models in the text, particularly in the exercises, in order to continually reinforce the idea that the book is written for economists.
· The discussion early on in the book on the philosophy of mathematics, to dissuade the skeptical reader as to the value of learning the mathematics for use in econometrics. Interestingly, the author points to the use of mathematics by none other than Karl Marx. It would be interesting to contemplate what Marx would have thought about the current state of econometrics, as heavily mathematical as it is. Along these same lines, the field of labor economics, which Marx could indeed be classified under, is currently one that makes heavy use of quantitative analysis.
· The discussion on the calibration of quantitative models in econometrics. The author points to the origin of calibration in physics, but emphasizes its necessity in the validation of models. However, and somewhat disappointingly, he does not elaborate on calibration in the book, which is unfortunate since in practice, particularly in the financial industry, calibration is extremely important and has become almost a field unto itself.
Books:
- America's Financial Apocalypse: How to Profit from the Next Great Depression
- Applied Regression Analysis: A Second Course in Business and Economic Statistics (with CD-ROM and InfoTrac®) (Applied Regression Analysis: A Second Course in Business & Economic)
- Bitter is the New Black : Confessions of a Condescending, Egomaniacal, Self-Centered Smartass,Or, Why You Should Never Carry A Prada Bag to the Unemployment Office
- Blackwell Encyclopedia of Management
- Born to Buy: The Commercialized Child and the New Consumer Culture
- Business and Its Environment (5th Edition)
- Business Continuity: Best Practices--World-Class Business Continuity Management, Second Edition
- Childrens Writers & Illustrators Market 2007 (Children's Writer's and Illustrator's Market)
- Collapse of an Empire: Lessons for Modern Russia
- Consumed: How Markets Corrupt Children, Infantilize Adults, and Swallow Citizens Whole
Books Index
Books Home
Recommended Books
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- History: Fiction or Science
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- Dream Homes of Texas
- First Human Body Encyclopedia
- Kaplan NCLEX-RN Exam 2007-2008
- Full-Auto Conversion Of The SKS Rifle
- Luxury Houses: Country
- Collage City
- BBC/Discovery: Chimpanzees
General
| Popular Economics
| Business & Investing
| Subjects
| Books
Quantitative Equity Portfolio Management (McGraw-Hill Library of Investment and Finance)
Modern Investment Management: An Equilibrium Approach
Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)
Heard on the Street: Quantitative Questions from Wall Street Job Interviews
