Normal view MARC view

Quantitative equity portfolio management: modern techniques and applications

Author: Qian, Edward E. ; Hua, Ronald H. ; Sorensen, Eric H. Series: Financial mathematics series Publisher: Chapman and Hall, 2007. ; CRC, 2007.Language: EnglishDescription: 444 p. : Graphs ; 24 cm.ISBN: 9781584885580Type of document: BookBibliography/Index: Includes bibliographical references and index
Tags: No tags from this library for this title. Log in to add tags.
Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG4529.5 .Q53 2007
(Browse shelf)
001235518
Available 001235518
Total holds: 0

Includes bibliographical references and index

Digitized

Quantitative Equity Portfolio Management Modern Techniques and Applications Contents Preface, xi Abstract, xiii About the Authors, xv CHAPTER 1 n Introduction: Beliefs, Risk, and Process 1.1 BELIEFS 1.2 RISK 1.3 QUANTITATIVE INVESTMENT PROCESS 1.4 INFORMATION CAPTURE 1.5 THE CHAPTERS APPENDIX: PSYCHOLOGY AND BEHAVIOR FINANCE A1.1 ADVANCES IN PSYCHOLOGY A1.2 BEHAVIORAL FINANCE A1.3 BEHAVIORAL MODELS REFERENCES ENDNOTES PART I 1 1 3 5 8 11 11 12 12 14 16 18 CHAPTER 2 n Portfolio Theory 2.1 DISTRIBUTIONS OF INVESTMENT RETURNS 2.2 OPTIMAL PORTFOLIOS 2.3 CAPITAL ASSET PRICING MODEL 23 24 28 38 2.4 CHARACTERISTIC PORTFOLIOS PROBLEMS REFERENCES 45 47 51 CHAPTER 3 n Risk Models and Risk Analysis 3.1 ARBITRAGE PRICING THEORY AND APT MODELS 3.2 RISK ANALYSIS 3.3 CONTRIBUTION TO VALUE AT RISK PROBLEMS REFERENCES 53 54 64 72 74 76 PART II CHAPTER 4 n Evaluation of Alpha Factors 4.1 ALPHA PERFORMANCE BENCHMARKS: THE RATIOS 4.2 SINGLE-PERIOD SKILL: INFORMATION COEFFICIENT 4.3 MULTIPERIOD EX ANTE INFORMATION RATIO 4.4 EMPIRICAL EXAMPLES PROBLEMS REFERENCES 81 81 83 94 100 108 110 CHAPTER 5 n Quantitative Factors 5.1 VALUE FACTORS 5.2 QUALITY FACTORS 5.3 MOMENTUM FACTORS APPENDIX A5.1: FACTOR DEFINITION APPENDIX A5.2: NET OPERATING ASSETS (NOA) REFERENCES ENDNOTES 111 111 125 135 145 148 150 153 CHAPTER 6 n Valuation Techniques and Value Creation 6.1 VALUATION FRAMEWORK 155 156 6.2 FREE CASH FLOW 6.3 MODELING THE BUSINESS ECONOMICS OF A FIRM 6.4 COST OF CAPITAL 6.5 EXPLICIT PERIOD, FADE PERIOD, AND TERMINAL VALUE 6.6 AN EXAMPLE: CHEESECAKE FACTORY, INC. (CAKE) 6.7 MULTIPATH DISCOUNTED CASH FLOW ANALYSIS 6.8 MULTIPATH DCF ANALYSIS (MDCF) 6.9 SUMMARY PROBLEMS REFERENCES ENDNOTES 162 167 172 173 175 180 184 192 193 194 194 CHAPTER 7 n Multifactor Alpha Models 7.1 SINGLE-PERIOD COMPOSITE IC OF A MULTIFACTOR MODEL 7.2 OPTIMAL ALPHA MODEL: AN ANALYTICAL DERIVATION 7.3 FACTOR CORRELATION VS. IC CORRELATION 7.4 COMPOSITE ALPHA MODEL WITH ORTHOGONALIZED FACTORS 7.5 FAMA-MACBETH REGRESSION AND OPTIMAL ALPHA MODEL PROBLEMS APPENDIX A7.1: INVERSE OF A PARTITIONED MATRIX APPENDIX A7.2: DECOMPOSITION OF MULTIVARIATE REGRESSION REFERENCES PART III 195 196 200 207 214 217 225 226 227 229 CHAPTER 8 n Portfolio Turnover and Optimal Alpha Model 8.1 PASSIVE PORTFOLIO DRIFT 8.2 TURNOVER OF FIXED-WEIGHT PORTFOLIOS 233 234 236 8.3 TURNOVER DUE TO FORECAST CHANGE 8.4 TURNOVER OF COMPOSITE FORECASTS 8.5 INFORMATION HORIZON AND LAGGED FORECASTS 8.6 OPTIMAL ALPHA MODEL UNDER TURNOVER CONSTRAINTS 8.7 SMALL TRADES AND TURNOVER PROBLEMS APPENDIX A8.1: REDUCTION IN ALPHA EXPOSURE REFERENCES ENDNOTES 241 247 252 257 267 274 276 278 279 CHAPTER 9 n Advanced Alpha Modeling Techniques 9.1 THE RETURN-GENERATING EQUATION 9.2 CONTEXTUAL MODELING 281 282 283 9.3 MATHEMATICAL ANALYSIS OF CONTEXTUAL MODELING 287 9.4 EMPIRICAL EXAMINATION OF CONTEXTUAL APPROACH 9.5 PERFORMANCE OF CONTEXTUAL MODELS 9.6 SECTOR VS. CONTEXTUAL MODELING 9.7 MODELING NONLINEAR EFFECTS 9.8 SUMMARY PROBLEMS APPENDIX A9.1: MODEL DISTANCE TEST REFERENCES 290 300 303 306 313 313 314 315 CHAPTER 10 n Factor Timing Models 10.1 CALENDAR EFFECT: BEHAVIORAL REASONS 10.2 CALENDAR EFFECT: EMPIRICAL RESULTS 10.3 SEASONAL EFFECT OF EARNINGS ANNOUNCEMENT 317 318 323 336 10.4 MACRO TIMING MODELS 10.5 SUMMARY REFERENCES ENDNOTES 340 350 352 355 CHAPTER 11 · Portfolio Constraints and Information Ratio 11.1 SECTOR NEUTRAL CONSTRAINT 11.2 LONG/SHORT RATIO OF AN UNCONSTRAINED PORTFOLIO 11.3 LONG-ONLY PORTFOLIOS 11.4 THE INFORMATION RATIO OF LONG-ONLY AND LONG-SHORT PORTFOLIOS PROBLEMS APPENDIX A11.1: MEAN-VARIANCE OPTIMIZATION WITH RANGE CONSTRAINTS REFERENCES ENDNOTES 357 359 363 374 379 389 390 393 394 CHAPTER 12 n Transaction Costs and Portfolio Implementation 12.1 COMPONENTS OF TRANSACTION COSTS 12.2 OPTIMAL PORTFOLIOS WITH TRANSACTION COSTS: SINGLE ASSET 12.3 OPTIMAL PORTFOLIOS WITH TRANSACTION COSTS: MULTIASSETS 12.4 PORTFOLIO TRADING STRATEGIES 12.5 OPTIMAL TRADING STRATEGIES: SINGLE STOCK 12.6 OPTIMAL TRADING STRATEGIES: PORTFOLIOS OF STOCKS PROBLEMS APPENDIX: CALCULUS OF VARIATION REFERENCES 395 396 398 405 414 415 427 430 431 433

There are no comments for this item.

Log in to your account to post a comment.
Koha 18.11 - INSEAD Catalogue
Home | Contact Us | What's Koha?