Fabozzi / Markowitz Equity Valuation and Portfolio Management

1. Auflage 2011
ISBN: 978-1-118-15653-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 576 Seiten, E-Book

A detailed look at equity valuation and portfolio management
Equity valuation is a method of valuing stock prices usingfundamental analysis to determine the worth of the business anddiscover investment opportunities.
In Equity Valuation and Portfolio Management Frank J.Fabozzi and Harry M. Markowitz explain the process of equityvaluation, provide the necessary mathematical background, anddiscuss classic and new portfolio strategies for investmentmanagers. Divided into two comprehensive parts, this reliableresource focuses on valuation and portfolio strategies related toequities.
* Discusses both fundamental and new techniques for valuation andstrategies
* Fabozzi and Markowitz are experts in the fields of investmentmanagement and economics
* Includes end of chapter bullet point summaries, key chaptertake-aways, and study questions
Filled with in-depth insights and practical advice, EquityValuation and Portfolio Management will put you in a betterposition to excel at this challenging endeavor.

Autoren/Hrsg.

Fabozzi, Frank J.

Markowitz, Harry M.

Inhaltsverzeichnis

Preface xiii
About the Editors xxiii
Contributing Authors xxv
CHAPTER 1: An Introduction to Quantitative Equity Investing1
Paul Bukowski
CHAPTER 2: Equity Analysis Using Traditional and Value-BasedMetrics 25
James L. Grant and Frank J. Fabozzi
CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits71
Stanley Kogelman and Martin L. Leibowitz
CHAPTER 4: Relative Valuation Methods for Equity Analysis105
Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland
CHAPTER 5: Valuation over the Cycle and the Distribution ofReturns 125
Anders Ersbak Bang Nielsen and Peter C. Oppenheimer
CHAPTER 6: An Architecture for Equity Portfolio Management147
Bruce I. Jacobs and Kenneth N. Levy
CHAPTER 7: Equity Analysis in a Complex Market 171
Bruce I. Jacobs and Kenneth N. Levy
CHAPTER 8: Survey Studies of the Use of Quantitative EquityManagement 189
Frank J. Fabozzi, Sergio M. Focardi, and Caroline L.Jonas
CHAPTER 9: Implementable Quantitative Equity Research 231
Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma
CHAPTER 10: Tracking Error and Common Stock Portfolio Management251
Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones
CHAPTER 11: Factor-Based Equity Portfolio Construction andAnalysis 265
Petter N. Kolm, Joseph A. Cerniglia, and Frank J.Fabozzi
CHAPTER 12: Cross-Sectional Factor-Based Models and TradingStrategies 291
Joseph A. Cerniglia, Petter N. Kolm, and Frank J.Fabozzi
CHAPTER 13: Multifactor Equity Risk Models and TheirApplications 339
Anthony Lazanas, António Baldaque da Silva, Arne D. Staal,and Cenk Ural
CHAPTER 14: Dynamic Factor Approaches to Equity PortfolioManagement 373
Dorsey D. Farr
CHAPTER 15: A Factor Competition Approach to Stock Selection397
Joseph Mezrich and Junbo Feng
CHAPTER 16: Avoiding Unintended Country Bets in Global EquityPortfolios 413
Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N.Nielsen
CHAPTER 17: Modeling Market Impact Costs 425
Petter N. Kolm and Frank J. Fabozzi
CHAPTER 18: Equity Portfolio Selection in Practice 441
Dessislava A. Pachamanova and Frank J. Fabozzi
CHAPTER 19: Portfolio Construction and Extreme Risk 483
Jennifer Bender, Jyh-Huei Lee, and Dan Stefek
CHAPTER 20: Working with High-Frequency Data 497
Irene Aldridge
CHAPTER 21: Statistical Arbitrage 521
Brian J. Jacobsen
About the Website 535
Index 537

Über Autor(innen)

Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHECBusiness School and a member of the EDHEC-Risk Institute. Prior tojoining EDHEC in August 2011, he held various professorialpositions in finance at the Yale School of Management from 1994 to2011 and was a visiting professor of finance and accounting at theMIT Sloan School of Management from 1986 to 1992. He is also Editorof the Journal of Portfolio Management.
Harry M. Markowitz, PhD, is a consultant in the area offinance. In 1990, he was awarded the Sveriges Riksbank Prize inEconomic Sciences in Memory of Alfred Nobel for his groundbreakingwork in portfolio theory. In 1989, he received the John von NeumannTheory Prize of the Institute for Operations Research and theManagement Sciences for his work in portfolio theory and otherapplications of mathematics and computers to business practice.