Forecasting Expected Returns in the Financial Markets

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.

BUSINESS/FINANCE

Forecasting Expected Returns in the Financial Markets

by Stephen Satchell
"Stephen Satchell's Forecasting Expected Returns in the Financial Markets is a long-awaited contribution to portfolio engineering. It blends very neat summaries of existing methods ranging from Bayesian techniques to robust or rank sorted optimizations with highly original cutting edge techniques. All contributions are written by outstanding and well-known individuals. I highly recommend this book. Reading it will come at no risk but with great return."
Dr Bernd Scherer - Managing Director, Global Head of Quantitative Structured Products, Morgan Stanley | IM-Alternative Investments
Forecasting returns is a key part of successful portfolio management. This topic, essential to practitioners, is also studied by academics. In his new book, Forecasting Expected Returns in the Financial Markets, Dr Stephen Satchell brings together a collection of leading researchers and practitioners from around the world who address this complex problem in portfolio management using the latest quantitative techniques.

Forecasting Expected Returns in the Financial Markets includes new research of value to practitioners and researchers alike, for example: Wayne Ferson looks at market efficiency and forecasting returns; Thomas Idzorek, Director of Research at Ibbotson Associates, writes about the Black-Litterman model which enables investors to combine their unique views regarding the performance of various assets with the market equilibrium in a manner that results in intuitive, diversified portfolios. Ed Fishwick of Blackrock discusses the analysis of forecasting horizons, an area where very little work has been published. Other topics presented include how robust optimization can be used to improve forecasting returns, and the role of liquidity as an explanatory variable in forecasting returns.