Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) Fabozzi, Frank J.; Focardi, Sergio M. and Kolm, Petter N.

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

ISBN 10: 0471699004 / ISBN 13: 9780471699002

Published by Wiley, 2006

About this Item

ungebraucht, ein anderew Coverbild, Auflage 2006, Hardcover.

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Bibliographic Details

• Title: Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) Fabozzi, Frank J.; Focardi, Sergio M. and Kolm, Petter N.
• Publisher: Wiley
• Publication Date: 2006
• Language: English
• ISBN 10: 0471699004
• ISBN 13: 9780471699002
• Binding: Hardcover Jan 20, 2006
• Condition: gebraucht; wie neu

About this title

Synopsis

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.

Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

About the Author

FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management.

Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. He consults on, trains on, and implements quantitative financial models. He is also a member of the editorial board of the Journal of Portfolio Management and author of numerous articles and books on financial modeling.

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.