Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm

Quantitative Equity Investing (eBook, PDF)

Techniques and Strategies

• Format: PDF

Produktbeschreibung

A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. * Written by a solid author team who has extensive financial experience in this area * Presents state-of-the art quantitative strategies for managing equity portfolios * Focuses on the implementation of quantitative equity asset management * Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 528
• Erscheinungstermin: 12. Februar 2010
• Englisch
• ISBN-13: 9780470617519
• Artikelnr.: 37297898

Autorenporträt

FRANK J. FABOZZI is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is a Chartered Financial Analyst and earned a doctorate in economics from the City University of New York. SERGIO M. FOCARDI is Professor of Finance at EDHEC Business School in Nice and a founding partner of the Paris-based consulting firm The Intertek Group. He is also a member of the Editorial Board of the Journal of Portfolio Management. Sergio holds a degree in electronic engineering from the University of Genoa and a PhD in mathematical finance from the University of Karlsruhe as well as a postgraduate degree in communications from the Galileo Ferraris Electrotechnical Institute (Turin). PETTER N. KOLM is the Deputy Director of the Mathematics in Finance Master's Program and Clinical Associate Professor of Mathematics at the Courant Institute of Mathematical Sciences, New York University; and a founding Partner of the New York-based financial consulting firm the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management. He received an MS in mathematics from ETH in Zurich; an MPhil in applied mathematics from the Royal Institute of Technology in Stockholm; and a PhD in applied mathematics from Yale University.

Inhaltsangabe

Preface. About the Authors. Chapter 1 Introduction. In Praise of
Mathematical Finance. Studies of the Use of Quantitative Equity Management.
Looking Ahead for Quantitative Equity Investing. Chapter 2 Financial
Econometrics I: Linear Regressions. Historical Notes. Covariance and
Correlation. Regressions, Linear Regressions, and Projections. Multivariate
Regression. Quantile Regressions. Regression Diagnostic. Robust Estimation
of Regressions. Classification and Regression Trees. Summary. Chapter 3
Financial Econometrics II: Time Series. Stochastic Processes. Time Series.
Stable Vector Autoregressive Processes. Integrated and Cointegrated
Variables. Estimation of Stable Vector Autoregressive (Var) Models.
Estimating the Number of Lags. Autocorrelation and Distributional
Properties of Residuals. Stationary Autoregressive Distributed Lag Models.
Estimation of Nonstationary VAR models. Estimation with Canonical
Correlations. Estimation with Principal Component Analysis. Estimation with
the Eigenvalues of the Companion Matrix. Nonlinear Models in Finance.
Causality. Summary. Chapter 4 Common Pitfalls in Financial Modeling. Theory
and Engineering. Engineering and Theoretical Science. Engineering and
Product Design in Finance. Learning, Theoretical, and Hybrid Approaches to
Portfolio Management. Sample Biases. The Bias in Averages. Pitfalls in
Choosing from Large Data Sets. Time Aggregation of Models and Pitfalls in
the Selection of Data Frequency. Model Risk and its Mitigation. Summary.
Chapter 5 Factor Models and Their Estimation. The Notion of Factors. Static
Factor Models. Factor Analysis and Principal Components Analysis. Why
Factor Models of Returns. Approximate Factor Models of Returns. Dynamic
Factor Models. Summary. Chapter 6 Factor-Based Trading Strategies I: Factor
Construction and Analysis. Factor-Based Trading. Developing Factor-Based
Trading Strategies. Risk to Trading Strategies. Desirable Properties of
Factors. Sources for Factors. Building Factors from Company
Characteristics. Working with Data. Analysis of Factor Data. Summary.
Chapter 7 Factor-Based Trading Strategies II: Cross-Sectional Models and
Trading Strategies. Cross-Sectional Methods for Evaluation of Factor
Premiums. Factor Models. Performance Evaluation of Factors. Model
Construction Methodologies for a Factor-Based Trading Strategy.
Backtesting. Backtesting Our Factor Trading Strategy. Summary. Chapter 8
Portfolio Optimization: Basic Theory and Practice. Mean-Variance Analysis:
Overview. Classical Framework for Mean-Variance Optimization. Mean-variance
Optimization with a Risk-Free Asset. Portfolio Constraints Commonly Used in
Practice. Estimating the Inputs Used in Mean-Variance Optimization:
Expected Return and Risk. Portfolio Optimization with Other Risk Measures.
Summary. Chapter 9 Portfolio Optimization: Bayesian Techniques and the
Black-Litterman Model. Practical Problems Encountered in Mean-Variance
Optimization. Shrinkage Estimation. The Black-Litterman Model. Summary.
Chapter 10 Robust Portfolio Optimization. Robust Mean-Variance
Formulations. Using Robust Mean-Variance Portfolio Optimization in
Practice. Some Practical Remarks on Robust Portfolio Optimization Models.
Summary. Chapter 11 Transaction Costs and Trade Execution. A Taxonomy of
Transaction Costs. Liquidity and Transaction Costs. Market Impact
Measurements and Empirical Findings. Forecasting and Modeling Market
Impact. Incorporating Transaction Costs in Asset-Allocation Models.
Integrated Portfolio Management: Beyond Expected Return and Portfolio Risk.
Summary. Chapter 12 Investment Management and Algorithmic Trading. Market
Impact and the Order Book. Optimal Execution. Impact Models. Popular
Algorithmic Trading Strategies. What Is Next? Some Comments about the
High-Frequency Arms Race. Summary. Appendix A Data Descriptions and Factor
Definitions. The MSCI World Index. One-Month LIBOR. The Compustat
Point-in-Time, IBES Consensus Databases and Factor Definitions. Appendix B
Summary of Well-Known Factors and Their Underlying Economic Rationale.
Appendix C Review of Eigenvalues and Eigenvectors. The SWEEP Operator.
Index.