An inside look at modern approaches to modeling equity portfolios
"Financial Modeling of the Equity Market" is the most
comprehensive, up-to-date guide to modeling equity portfolios. The
book is intended for a wide range of quantitative analysts,
practitioners, and students of finance. Without sacrificing
mathematical rigor, it presents arguments in a concise and clear
style with a wealth of real-world examples and practical
simulations. This book presents all the major approaches to
single-period return analysis, including modeling, estimation, and
optimization issues. It covers both static and dynamic factor
analysis, regime shifts, long-run modeling, and cointegration.
Estimation issues, including dimensionality reduction, Bayesian
estimates, the Black-Litterman model, and random coefficient
models, are also covered in depth. Important advances in
transaction cost measurement and modeling, robust optimization, and
recent developments in optimization with higher moments are also
discussed.
Sergio M. Focardi (Paris, France) is a founding partner of the
Paris-based consulting firm, The Intertek Group. He is a member of
the editorial board of the Journal of Portfolio Management. He is
also the author of numerous articles and books on financial
modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is
a graduate student in finance at the Yale School of Management and
a financial consultant in New York City. Previously, he worked in
the Quantitative Strategies Group of Goldman Sachs Asset
Management, where he developed quantitative investment models and
strategies.
General
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