03412nam 2200625Ia 450 991078105310332120230725044857.00-470-61752-71-282-48199-197866124819940-470-61751-9(CKB)2550000000007121(EBL)484819(OCoLC)593321003(SSID)ssj0000342024(PQKBManifestationID)11243349(PQKBTitleCode)TC0000342024(PQKBWorkID)10284814(PQKB)10070570(MiAaPQ)EBC484819(Au-PeEL)EBL484819(CaPaEBR)ebr10369763(CaONFJC)MIL248199(EXLCZ)99255000000000712120100104d2010 uy 0engurcn|||||||||txtccrQuantitative equity investing[electronic resource] techniques and strategies /Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava PachamanovaHoboken, N.J. Wileyc20101 online resource (530 p.)The Frank J. Fabozzi seriesIncludes index.0-470-26247-8 Quantitative Equity Investing: Techniques and Strategies; Contents; Preface; About the Authors; Chapter 1: Introduction; Chapter 2: Financial Econometrics I: Linear Regressions; Chapter 3: Financial Econometrics II: Time Series; Chapter 4: Common Pitfalls in Financial Modeling; Chapter 5: Factor Models and Their Estimation; Chapter 6: Factor-Based Trading Strategies I: Factor Construction and Analysis; Chapter 7: Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies; Chapter 8: Portfolio Optimization: Basic Theory and PracticeChapter 9: Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model Chapter 10: Robust Portfolio Optimization; Chapter 11: Transaction Costs and Trade Execution; Chapter 12: Investment Management and Algorithmic Trading; Appendix A: Data Descriptions and Factor Definitions; Appendix B: Summary of Well-Known Factors and Their Underlying Economic Rationale; Appendix C: Review of Eigenvalues and Eigenvectors; IndexA 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,Frank J. Fabozzi series.Portfolio managementInvestmentsPortfolio management.Investments.332.63/2042Fabozzi Frank J109596Focardi Sergio3962Kolm Petter N856950MiAaPQMiAaPQMiAaPQBOOK9910781053103321Quantitative equity investing3674961UNINA