By Frank J. Fabozzi | Sergio M. Focardi | Petter
N. Kolm
Size 9.1 MB
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.
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