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Record Nr. |
UNINA9910457671603321 |
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Titolo |
Forecasting expected returns in the financial markets [[electronic resource] /] / edited by Stephen Satchell |
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Pubbl/distr/stampa |
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Amsterdam ; ; Boston, : Academic Press, 2007 |
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ISBN |
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1-281-05765-7 |
9786611057657 |
0-08-055067-3 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (286 p.) |
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Collana |
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Quantitative finance series |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Stock price forecasting - Mathematics |
Securities - Prices - Mathematical models |
Investment analysis - Mathematics |
Electronic books. |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Bibliographic Level Mode of Issuance: Monograph |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices. |
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Sommario/riassunto |
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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 |
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