Financial Modeling of the Equity Market

From CAPM to Cointegration

Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm - Collection The Frank J. Fabozzi Series

652 pages, parution le 11/01/2006

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Résumé

An inside look at modern approaches to modeling equity portfolios

Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.

L'auteur - Frank J. Fabozzi

Frank J. Fabozzi, Ph.D., CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. One of the world's foremost authorities on fixed income securities and derivative instruments, Dr. Fabozzi is editor of the Journal of Portfolio Management and the bestselling author of more than forty books, including the acclaimed The Handbook of Fixed Income Securities. Prior to joining the Yale faculty, he was on the faculty of MIT's Sloan School of Management.

L'auteur - Sergio M. Focardi

Sergio Focardi is a founding partner of The Intertek Group, a Paris-based firm providing consulting on advanced mathematical methods in banking and finance, and a cofounder of CINEF (Center for Interdisciplinary Research in Economics and Finance) at the University of Genoa, Italy. Focardi's research interests focus on statistical arbitrage, dynamic factor analysis, and financial modeling in a multiple heterogeneous interacting agents framework. He has published numerous articles and coauthored the books Modeling the Market: New Theories and Techniques and Risk Management: Framework, Methods, and Practice (both published by Wiley). Focardi holds a degree in electronic engineering from the University of Genoa.

L'auteur - Petter N. Kolm

Petter N. Kolm, PHD, is a doctoral student in finance at Yale University's School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management where he developed quantitative investment models and strategies.

Sommaire

Preface
Acknowledgments
About the Authors
Introduction
Portfolio Allocation: Classical Theory and Modern Extensions
Managing Uncertainty in Practice
Dynamic Models for Equity Prices
Model Estimation AMD Risk Mitigation
Appendix A: Differences Equations
Appendix B: Correlations, Regressions, and Copulas
Appendix C: Data Description
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Wiley
Auteur(s)	Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Collection	The Frank J. Fabozzi Series
Parution	11/01/2006
Nb. de pages	652
Format	15,5 x 23,5
Couverture	Relié
Poids	984g
Intérieur	Noir et Blanc
EAN13	9780471699002
ISBN13	978-0-471-69900-2