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Produktbild: Quantitative Equity Investing

Quantitative Equity Investing Techniques and Strategies

Aus der Reihe Frank J. Fabozzi Series

83,99 €

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Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.03.2010

Verlag

John Wiley & Sons

Seitenzahl

528

Maße (L/B/H)

23,5/15,7/3,3 cm

Gewicht

905 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-26247-4

Beschreibung

Produktdetails

Einband

Gebundene Ausgabe

Erscheinungsdatum

01.03.2010

Verlag

John Wiley & Sons

Seitenzahl

528

Maße (L/B/H)

23,5/15,7/3,3 cm

Gewicht

905 g

Auflage

1. Auflage

Sprache

Englisch

ISBN

978-0-470-26247-4

Herstelleradresse

Produktsicherheitsverantwortliche/r
Europaallee 1
36244 Bad Hersfeld
DE

Email: gpsr@libri.de

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  • Produktbild: Quantitative Equity Investing

  • Preface xi

    About the Authors xv

    Chapter 1 Introduction 1

    In Praise of Mathematical Finance 3

    Studies of the Use of Quantitative Equity Management 9

    Looking Ahead for Quantitative Equity Investing 45

    Chapter 2 Financial Econometrics I: Linear Regressions 47

    Historical Notes 47

    Covariance and Correlation 49

    Regressions, Linear Regressions, and Projections 61

    Multivariate Regression 76

    Quantile Regressions 78

    Regression Diagnostic 80

    Robust Estimation of Regressions 83

    Classification and Regression Trees 96

    Summary 99

    Chapter 3 Financial Econometrics II: Time Series 101

    Stochastic Processes 101

    Time Series 102

    Stable Vector Autoregressive Processes 110

    Integrated and Cointegrated Variables 114

    Estimation of Stable Vector Autoregressive (VAR) Models 120

    Estimating the Number of Lags 137

    Autocorrelation and Distributional Properties of Residuals 139

    Stationary Autoregressive Distributed Lag Models 140

    Estimation of Nonstationary VAR Models 141

    Estimation with Canonical Correlations 151

    Estimation with Principal Component Analysis 153

    Estimation with the Eigenvalues of the Companion Matrix 154

    Nonlinear Models in Finance 155

    Causality 156

    Summary 157

    Chapter 4 Common Pitfalls in Financial Modeling 159

    Theory and Engineering 159

    Engineering and Theoretical Science 161

    Engineering and Product Design in Finance 163

    Learning, Theoretical, and Hybrid Approaches to Portfolio Management 164

    Sample Biases 165

    The Bias in Averages 167

    Pitfalls in Choosing from Large Data Sets 170

    Time Aggregation of Models and Pitfalls in the Selection of Data Frequency 173

    Model Risk and its Mitigation 174

    Summary 193

    Chapter 5 Factor Models and Their Estimation 195

    The Notion of Factors 195

    Static Factor Models 196

    Factor Analysis and Principal Components Analysis 205

    Why Factor Models of Returns 219

    Approximate Factor Models of Returns 221

    Dynamic Factor Models 222

    Summary 239

    Chapter 6 Factor-Based Trading Strategies I: Factor Construction and Analysis 243

    Factor-Based Trading 245

    Developing Factor-Based Trading Strategies 247

    Risk to Trading Strategies 249

    Desirable Properties of Factors 251

    Sources for Factors 251

    Building Factors from Company Characteristics 253

    Working with Data 253

    Analysis of Factor Data 261

    Summary 266

    Chapter 7 Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies 269

    Cross-Sectional Methods for Evaluation of Factor Premiums 270

    Factor Models 278

    Performance Evaluation of Factors 288

    Model Construction Methodologies for a Factor-Based Trading Strategy 295

    Backtesting 306

    Backtesting Our Factor Trading Strategy 308

    Summary 309

    Chapter 8 Portfolio Optimization: Basic Theory and Practice 313

    Mean-Variance Analysis: Overview 314

    Classical Framework for Mean-Variance Optimization 317

    Mean-Variance Optimization with a Risk-Free Asset 321

    Portfolio Constraints Commonly Used in Practice 327

    Estimating the Inputs Used in Mean-Variance Optimization: Expected Return and Risk 333

    Portfolio Optimization with Other Risk Measures 342

    Summary 357

    Chapter 9 Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model 361

    Practical Problems Encountered in Mean-Variance Optimization 362

    Shrinkage Estimation 369

    The Black-Litterman Model 373

    Summary 394

    Chapter 10 Robust Portfolio Optimization 395

    Robust Mean-Variance Formulations 396

    Using Robust Mean-Variance Portfolio Optimization in Practice 411

    Some Practical Remarks on Robust Portfolio Optimization Models 416

    Summary 418

    Chapter 11 Transaction Costs and Trade Execution 419

    A Taxonomy of Transaction Costs 420

    Liquidity and Transaction Costs 427

    Market Impact Measurements and Empirical Findings 430

    Forecasting and Modeling Market Impact 433

    Incorporating Transaction Costs in Asset-Allocation Models 439

    Integrated Portfolio Management: Beyond Expected Return and Portfolio Risk 444

    Summary 446

    Chapter 12 Investment Management and Algorithmic Trading 449

    Market Impact and the Order Book 450

    Optimal Execution 452

    Impact Models 455

    Popular Algorithmic Trading Strategies 457

    What Is Next? 465

    Some Comments about the High-Frequency Arms Race 467

    Summary 470

    Appendix A Data Descriptions and Factor Definitions 473

    The MSCI World Index 473

    One-Month LIBOR 482

    The Compustat Point-in-Time, IBES Consensus Databases and Factor Definitions 483

    Appendix B Summary of Well-Known Factors and Their Underlying Economic Rationale 487

    Appendix C Review of Eigenvalues and Eigenvectors 493

    The SWEEP Operator 494

    Index 497