LEADER 03479nam 2200661Ia 450 001 9910819176103321 005 20240505231152.0 010 $a0-470-61752-7 010 $a1-282-48199-1 010 $a9786612481994 010 $a0-470-61751-9 035 $a(CKB)2550000000007121 035 $a(EBL)484819 035 $a(OCoLC)593321003 035 $a(SSID)ssj0000342024 035 $a(PQKBManifestationID)11243349 035 $a(PQKBTitleCode)TC0000342024 035 $a(PQKBWorkID)10284814 035 $a(PQKB)10070570 035 $a(MiAaPQ)EBC484819 035 $a(Au-PeEL)EBL484819 035 $a(CaPaEBR)ebr10369763 035 $a(CaONFJC)MIL248199 035 $a(OCoLC)1200076057 035 $a(FINmELB)ELB178260 035 $a(EXLCZ)992550000000007121 100 $a20100104d2010 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 10$aQuantitative equity investing $etechniques and strategies /$fFrank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova 205 $a1st ed. 210 $aHoboken, N.J. $cWiley$dc2010 215 $a1 online resource (530 p.) 225 1 $aThe Frank J. Fabozzi series 300 $aIncludes index. 311 $a0-470-26247-8 327 $aQuantitative 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 Practice 327 $aChapter 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; Index 330 $aA comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, 410 0$aFrank J. Fabozzi series. 606 $aPortfolio management 606 $aInvestments 615 0$aPortfolio management. 615 0$aInvestments. 676 $a332.63/2042 700 $aFabozzi$b Frank J$0109596 701 $aFocardi$b Sergio$03962 701 $aKolm$b Petter N$01615759 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910819176103321 996 $aQuantitative equity investing$94006451 997 $aUNINA