Linear Factor Models in Finance

Joe Knight, Stephen Satchell - Collection Elsevier Finance

282 pages, parution le 08/12/2004

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Résumé

The determination of the values of stocks, bonds, options, futures and derivatives is ascertained through the process of asset pricing. Due to advances in financial theory and econometrics asset pricing has developed dramatically in the last few years. This book covers new advances in asset pricing by concentrating on the most widely used and important modelling technique, Linear Factor Modelling. Linear Factor Models in Finance is authored by both academics and practitioners to ensure comprehensive coverage of the latest methods in this area.

As a minimum, the reader of this book must have a working knowledge of basic calculus, simple optimization and elementary statistics. In particular the reader must be comfortable with algebraic manipulation of means and variances of linear combinations of random variables. Some topics presented may require a greater mathematical sophistication, however, a survey chapter should help the reader to master this valuable material.

L'auteur - Joe Knight

Joe Knight est copropriétaire du Business Literacy Institute et l'un des principaux propriétaires de Setpoint Companies, où il est également directeur financier. Il est facilitateur responsable et orateur principal du Business Literacy Institute et intervient dans le monde entier, auprès de clients et lors de conférences, pour enseigner la finance. Joe est un fervent défenseur de la transparence financière et met ce credo en application tous les jours chez Setpoint.

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L'auteur - Stephen Satchell

Stephen Satchell is a fellow of Trinity College, a reader in Financial Econometrics at the University of Cambridge and a Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Sommaire

Review of the literature on multifactor asset pricing, M.Pitsillis
Estimating UK factor models using multivariate skew normal distribution, C. Adcock
Misspecification in the Linear Pricing Model, I. Lo
Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell
Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis
Implication of the method of portfolio formation on asset pricing tests, I. Lo
The Small Noise Arbitrage Pricing Theory, S.Satchell
Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton
Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah
Estimating a Combined Linear Model, A. Stroyny
Attributing Equity Risk with a Statistical Factor Model, T. Wilding
Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick
Decomposing Factor Exposure for Equity Portfolios, D. Tien et al

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Elsevier
Auteur(s)	Joe Knight, Stephen Satchell
Collection	Elsevier Finance
Parution	08/12/2004
Nb. de pages	282
Format	17 x 24
Couverture	Relié
Poids	640g
Intérieur	Noir et Blanc
EAN13	9780750660068
ISBN13	978-0-7506-6006-8