Financial Modeling of the Equity Market
From CAPM to Cointegration
Published on 20. January 2006
Book
Hardback
652 pages
978-0-471-69900-2 (ISBN)
Description
Financial Modeling of the Equity Market
In Financial Modeling of the Equity Market, Frank Fabozzi, Sergio Focardi, and Petter Kolm provide you with the tools you need to succeed in managing equity portfolios.
This book presents complex concepts in a concise and clear manner and includes a wealth of real-world examples and practical simulations. Filled with in-depth insight and expert advice, Financial Modeling of the Equity Market covers a wide range of important topics including:
* The major approaches to single-period portfolio analysis, including modeling, estimation, and optimization issues
* Static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration
* Estimation issues such as dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models
* Advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments
Financial Modeling of the Equity Market contains the latest techniques for modeling equity portfolios, and offers both financial professionals and students of finance a chance to improve their skills within this important area.
More details
Product info
gebunden
Series
Edition
1. Auflage
Language
English
Place of publication
New York
United States
Target group
Professional and scholarly
Product notice
sewn/stitched
Cloth over boards
Dimensions
Height: 235 mm
Width: 157 mm
Thickness: 44 mm
Weight
1228 gr
ISBN-13
978-0-471-69900-2 (9780471699002)
Schweitzer Classification
Other editions
Additional editions
Frank J. Fabozzi | Sergio M. Focardi | Petter N. Kolm
Financial Modeling of the Equity Market
From CAPM to Cointegration
E-Book
02/2006
Wiley
€70.99
Available for download
Persons
FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management.
Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. He consults on, trains on, and implements quantitative financial models. He is also a member of the editorial board of the Journal of Portfolio Management and author of numerous articles and books on financial modeling.
Petter N. Kolm, PHD, is a doctoral student in finance at Yale University's School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management where he developed quantitative investment models and strategies.
Content
Preface.
Acknowledgments.
About the Authors.
Chapter 1. Introduction.
PART ONE: PORTFOLIO ALLOCATION: CLASSICAL THEORY AND MODERN EXTENSIONS.
Chapter 2. Mean-Variance Analysis and Modern Portfolio Theory.
Chapter 3. Transaction and Trading Costs.
Chapter 4. Applying the Portfolio Selection Framework in Practice.
Chapter 5. Incorporating Higher Moments and Extreme Risk Measures.
Chapter 6. Mathematical and Numerical Optimization.
PART TWO: MANAGING UNCERTAINTY IN PRACTICE.
Chapter 7. Equity Price Models.
Chapter 8. Forecasting Expected Return and Risk.
Chapter 9. Robust Frameworks for Estimation and Portfolio Allocation.
PART THREE: DYNAIC MODELS FOR EQITY PRICES.
Chapter 10. Feedback and Predictors in Stock Markets.
Chapter 11. Individual Price Processes: Univariate Models.
Chapter 12. Multivariate Models.
Chapter 13. Model Selection and its Pitfalls.
PART FOUR: MODEL ESTIMATION AMD RISK MITIGATION.
Chapter 14. Estimation of Regression Models.
Chapter 15. Estimation of Linear Dynamic Models.
Chapter 16. Estimation of Hidden Variable Models.
Chapter 17. Model Risk and its Mitigation.
Appendix A: Differences Equations.
Appendix B: Correlations, Regressions, and Copulas/
Appendix C: Data Description.
Index.