Forecasting Expected Returns in the Financial Markets
Published on 16. July 2007
Book
Hardback
304 pages
978-0-7506-8321-0 (ISBN)
Description
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.
Reviews / Votes
"Stephen Satchell's Forecasting Expected Returns in the Financial Markets is a long-awaited contribution to portfolio engineering. It blends very neat summaries of existing methods ranging from Bayesian techniques to robust or rank sorted optimizations with highly original cutting edge techniques. All contributions are written by outstanding and well-known individuals. I highly recommend this book. Reading it will come at no risk but with great return." --Dr Bernd Scherer, Managing Director, Global Head of Quantitative Structured Products, Morgan Stanley / IM-Alternative InvestmentsMore details
Language
English
Place of publication
London
United Kingdom
Publishing group
Elsevier Science & Technology
Target group
Professional and scholarly
Investment Professionals including portfolio managers, hedge fund managers, mutual fund managers, financial analysts, as well as academics in finance
Dimensions
Height: 234 mm
Width: 165 mm
Weight
630 gr
ISBN-13
978-0-7506-8321-0 (9780750683210)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Stephen Satchell
Forecasting Expected Returns in the Financial Markets
E-Book
04/2011
Academic Press
€83.95
Available for download
Person
Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.
Content
1 Market Efficiency and Forecasting, W. Ferson; 2 A Step-by-step Guide to the Black-Litterman Model, T. Idzorek; 3 A demystification of the Black-Litterman model: Managing quantitative and traditional portfolio construction, A. Scowcroft & S. Satchell; 4 Optimal Portfolios, N. Chriss & R. Almgren; 5 Some Choices in Forecast Construction, S. Wright; 6 Bayesian Analysis of the Black-Scholes Option Price, T. Darsinos & S. Satchell; 7 Bayesian Forecasting, T. Darsinos & S. Satchell; 8 Robust Optimisation for Utilising Forecasted Returns in Institutional Investment, C. Koutsoyannis & S. Satchell; 9 Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk, S. Hwang; 10 Information Horizons, E. Fishwick; 11 Optimal Forecasting Horizon for Skilled Investors, O. Williams & S. Satchell; (12) Investment as Bets in the Binomial Asset Pricing Model, D. Johnstone; 13 The Hidden Binomial Economy and The Role of Forecasts in Determining Prices, O. Williams & S. Satchell