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Quantitative equity portfolio management combines theories and
advanced techniques from several disciplines, including financial
economics, accounting, mathematics, and operational research. While
many texts are devoted to these disciplines, few deal with
quantitative equity investing in a systematic and mathematical
framework that is suitable for quantitative investment students.
Providing a solid foundation in the subject, Quantitative Equity
Portfolio Management: Modern Techniques and Applications presents a
self-contained overview and a detailed mathematical treatment of
various topics. From the theoretical basis of behavior finance to
recently developed techniques, the authors review quantitative
investment strategies and factors that are commonly used in
practice, including value, momentum, and quality, accompanied by
their academic origins. They present advanced techniques and
applications in return forecasting models, risk management,
portfolio construction, and portfolio implementation that include
examples such as optimal multi-factor models, contextual and
nonlinear models, factor timing techniques, portfolio turnover
control, Monte Carlo valuation of firm values, and optimal trading.
In many cases, the text frames related problems in mathematical
terms and illustrates the mathematical concepts and solutions with
numerical and empirical examples. Ideal for students in
computational and quantitative finance programs, Quantitative
Equity Portfolio Management serves as a guide to combat many common
modeling issues and provides a rich understanding of portfolio
management using mathematical analysis.
The goal of Portfolio Rebalancing is to provide mathematical and
empirical analysis of the effects of portfolio rebalancing on
portfolio returns and risks. The mathematical analysis answers the
question of when and why fixed-weight portfolios might outperform
buy-and-hold portfolios based on volatilities and returns. The
empirical analysis, aided by mathematical insights, will examine
the effects of portfolio rebalancing in capital markets for asset
allocation portfolios and portfolios of stocks, bonds, and
commodities.
Discover the Benefits of Risk Parity Investing Despite recent
progress in the theoretical analysis and practical applications of
risk parity, many important fundamental questions still need to be
answered. Risk Parity Fundamentals uses fundamental, quantitative,
and historical analysis to address these issues, such as: What are
the macroeconomic dimensions of risk in risk parity portfolios?
What are the appropriate risk premiums in a risk parity portfolio?
What are market environments in which risk parity might thrive or
struggle? What is the role of leverage in a risk parity portfolio?
An experienced researcher and portfolio manager who coined the term
"risk parity," the author provides investors with a practical
understanding of the risk parity investment approach. Investors
will gain insight into the merit of risk parity as well as the
practical and underlying aspects of risk parity investing.
The goal of Portfolio Rebalancing is to provide mathematical and
empirical analysis of the effects of portfolio rebalancing on
portfolio returns and risks. The mathematical analysis answers the
question of when and why fixed-weight portfolios might outperform
buy-and-hold portfolios based on volatilities and returns. The
empirical analysis, aided by mathematical insights, will examine
the effects of portfolio rebalancing in capital markets for asset
allocation portfolios and portfolios of stocks, bonds, and
commodities.
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