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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.
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