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THE FRANK J. FABOZZI SERIES

QUANTITATIVE

EQUITY

INVESTING

FRANK J. FABOZZI, SERGIO M. FOCARDI, PETTER N. KOLM

Techniques and Strategies

I

n 1952, Harry Markowitz introduced a critical

innovation in investment management—popularly

referred to as modern portfolio theory—in which

he suggested that investors should decide the allocation

of their investment funds on the basis of the trade-off

between portfolio risk, as measured by the standard

deviation of investment returns, and portfolio return, as

measured by the expected value of the investment return.

Entire new research areas grew from his groundbreaking

idea, which, with the spread of low-cost powerful

computers, found important practical applications in

several ﬁ elds of ﬁ nance. Developing the necessary inputs

for constructing portfolios based on modern portfolio

theory has been facilitated by the development of

Bayesian statistics, shrinkage techniques, factor models,

and robust portfolio optimization. Modern quantitative

techniques have now made it possible to manage large

investment portfolios with computer programs that look

for the best risk-return trade-off available in the market.

This book shows you how to perform quantitative

equity portfolio management using these modern

techniques. It skillfully presents state-of-the-art

advances in the theory and practice of quantitative

equity portfolio management. Page by page, the

expert authors—who have all worked closely with

hedge fund and quantitative asset management

ﬁ rms—cover the most up-to-date techniques, tools,

and strategies used in the industry today.

They begin by discussing the role and use of

mathematical techniques in ﬁ nance, offering sound

theoretical arguments in support of ﬁ nance as a

rigorous science. They go on to provide extensive

background material on one of the principal tools

used in quantitative equity management—ﬁ nancial

econometrics—covering modern regression theory,

applications of Random Matrix Theory, dynamic

time series models, vector autoregressive models,

and cointegration analysis. The authors then look

at ﬁ nancial engineering, the pitfalls of estimation,

methods to control model risk, and the modern

theory of factor models, including approximate

and dynamic factor models. After laying a ﬁ rm

theoretical foundation, they provide practical advice

on optimization techniques and trading strategies

based on factors and factormodels, offering a modern

view on how to construct factor models.

$95.00 USA/$114.00 CAN

FRANK J. FABOZZI is Professor in the Practice

of Finance and Becton Fellow at the Yale School of

Management and Editor of the Journal of Portfolio

Management. He is a Chartered Financial Analyst

and earned a doctorate in economics from the City

University of New York.

SERGIO M. FOCARDI is Professor of Finance

at EDHEC Business School in Nice and a

founding partner of the Paris-based consulting

firm The Intertek Group. He is also a member

of the Editorial Board of the Journal of Portfolio

Management. Sergio holds a degree in electronic

engineering from the University of Genoa and a

PhD in mathematical finance from the University

of Karlsruhe as well as a postgraduate degree

in communications from the Galileo Ferraris

Electrotechnical Institute (Turin).

PETTER N. KOLM is the Deputy Director of the

Mathematics in Finance Master’s Program and

Clinical Associate Professor of Mathematics at

the Courant Institute of Mathematical Sciences,

New York University; and a founding Partner of

the New York–based financial consulting firm the

Heimdall Group, LLC. Previously, Petter worked

in the Quantitative Strategies Group at Goldman

Sachs Asset Management. He received an MS in

mathematics from ETH in Zurich; an MPhil in

applied mathematics from the Royal Institute of

Technology in Stockholm; and a PhD in applied

mathematics from Yale University.

Jacket Illustration: Jupiter Images

QUANTITATIVE EQUITY INVESTING

Quantitative equity portfolio management is a fundamental

building block of investment management. This hands-on guide

closes the gap between theory and practice by presenting state-of-

the-art quantitative techniques and strategies for managing equity

portfolios.

Authors Frank Fabozzi, Sergio Focardi, and Petter Kolm—all of

whom have extensive experience in this area—address the essential

elements of this discipline, including ﬁ nancial model building,

ﬁ nancial engineering, static and dynamic factor models, asset

allocation, portfolio models, transaction costs, trading strategies,

and much more. They provide numerous illustrations and thorough

discussions of implementation issues facing those in the investment

management business and include the necessary background material

in ﬁ nancial econometrics to make the book self-contained. For many

of the advanced topics, they also provide the reader with references

to the most recent applicable research in this rapidly evolving ﬁ eld.

In today’s ﬁ nancial environment, you need the skills to analyze,

optimize, and manage the risk of your quantitative equity portfolio.

This guide offers you the best information available to achieve this

goal.

FABOZZI

FOCARDI

KOLM

QUANTITATIVE EQUITY INVESTING

Techniques and

Strategies

Techniques and strategies for successful

quantitative equity management

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Quantitative

Equity

Investing

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The Frank J. Fabozzi Series

Fixed Income Securities, Second Edition by Frank J. Fabozzi

Focus on Value: A Corporate and Investor Guide to Wealth Creation by James L. Grant and James A. Abate

Handbook of Global Fixed Income Calculations by Dragomir Krgin

Managing a Corporate Bond Portfolio by Leland E. Crabbe and Frank J. Fabozzi

Real Options and Option-Embedded Securities by William T. Moore

Capital Budgeting: Theory and Practice by Pamela P. Peterson and Frank J. Fabozzi

The Exchange-Traded Funds Manual by Gary L. Gastineau

Professional Perspectives on Fixed Income Portfolio Management, Volume 3 edited by Frank J. Fabozzi

Investing in Emerging Fixed Income Markets edited by Frank J. Fabozzi and Efstathia Pilarinu

Handbook of Alternative Assets by Mark J. P. Anson

The Global Money Markets by Frank J. Fabozzi, Steven V. Mann, and Moorad Choudhry

The Handbook of Financial Instruments edited by Frank J. Fabozzi

Collateralized Debt Obligations: Structures and Analysis by Laurie S. Goodman and Frank J. Fabozzi

Interest Rate, Term Structure, and Valuation Modeling edited by Frank J. Fabozzi

Investment Performance Measurement by Bruce J. Feibel

The Handbook of Equity Style Management edited by T. Daniel Coggin and Frank J. Fabozzi

The Theory and Practice of Investment Management edited by Frank J. Fabozzi and Harry M. Markowitz

Foundations of Economic Value Added, Second Edition by James L. Grant

Financial Management and Analysis, Second Edition by Frank J. Fabozzi and Pamela P. Peterson

Measuring and Controlling Interest Rate and Credit Risk, Second Edition by Frank J. Fabozzi,

Steven V. Mann, and Moorad Choudhry

Professional Perspectives on Fixed Income Portfolio Management, Volume 4 edited by Frank J. Fabozzi

The Handbook of European Fixed Income Securities edited by Frank J. Fabozzi and Moorad Choudhry

The Handbook of European Structured Financial Products edited by Frank J. Fabozzi and

Moorad Choudhry

The Mathematics of Financial Modeling and Investment Management by Sergio M. Focardi and

Frank J. Fabozzi

Short Selling: Strategies, Risks, and Rewards edited by Frank J. Fabozzi

The Real Estate Investment Handbook by G. Timothy Haight and Daniel Singer

Market Neutral Strategies edited by Bruce I. Jacobs and Kenneth N. Levy

Securities Finance: Securities Lending and Repurchase Agreements edited by Frank J. Fabozzi and

Steven V. Mann

Fat-Tailed and Skewed Asset Return Distributions by Svetlozar T. Rachev, Christian Menn, and

Frank J. Fabozzi

Financial Modeling of the Equity Market: From CAPM to Cointegration by Frank J. Fabozzi, Sergio M.

Focardi, and Petter N. Kolm

Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies edited by

Frank J. Fabozzi, Lionel Martellini, and Philippe Priaulet

Analysis of Financial Statements, Second Edition by Pamela P. Peterson and Frank J. Fabozzi

Collateralized Debt Obligations: Structures and Analysis, Second Edition by Douglas J. Lucas, Laurie S.

Goodman, and Frank J. Fabozzi

Handbook of Alternative Assets, Second Edition by Mark J. P. Anson

Introduction to Structured Finance by Frank J. Fabozzi, Henry A. Davis, and Moorad Choudhry

Financial Econometrics by Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, and

Teo Jasic

Developments in Collateralized Debt Obligations: New Products and Insights by Douglas J. Lucas,

Laurie S. Goodman, Frank J. Fabozzi, and Rebecca J. Manning

Robust Portfolio Optimization and Management by Frank J. Fabozzi, Peter N. Kolm,

Dessislava A. Pachamanova, and Sergio M. Focardi

Advanced Stochastic Models, Risk Assessment, and Portfolio Optimizations by Svetlozar T. Rachev,

Stogan V. Stoyanov, and Frank J. Fabozzi

How to Select Investment Managers and Evaluate Performance by G. Timothy Haight,

Stephen O. Morrell, and Glenn E. Ross

Bayesian Methods in Finance by Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, and

Frank J. Fabozzi

Structured Products and Related Credit Derivatives by Brian P. Lancaster, Glenn M. Schultz, and

Frank J. Fabozzi

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John Wiley & Sons, Inc.

Quantitative

Equity

Investing

Techniques and Strategies

FRANK J. FABOZZI

SERGIO M. FOCARDI

PETTER N. KOLM

with the assistance of

Joseph A. Cerniglia and

Dessislava Pachamanova

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