Quantitative Equity Portfolio Management

Modern Techniques and Applications
1. Auflage 2007
ISBN: 978-1-58488-558-0
Verlag: Taylor & Francis Inc

Buch, Englisch, 464 Seiten, Format (B × H): 161 mm x 241 mm, Gewicht: 1020 g

Reihe: Chapman and Hall/CRC Financial Mathematics Series

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.

Zielgruppe

Undergraduate

Autoren/Hrsg.

Qian, Edward E.

Sorensen, Eric H.

Hua, Ronald H.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere

Inhaltsverzeichnis

Introduction: Beliefs, Risk, Process. Portfolio Theory. Risk Models and Risk Analysis. Evaluation of Alpha Factors. Quantitative Factors. Valuation Techniques and Value Creation. Multi-Factor Alpha Models. Portfolio Turnover and Optimal Alpha Model. Advanced Alpha Modeling Techniques. Factor Timing Models. Portfolio Constraints and Information Ratio. Transaction Costs and Portfolio Implementation.

Über Autor(innen)

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen