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Cover: 9781584885580 | Quantitative Equity Portfolio Management | Edward E. Qian (u. a.)
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Quantitative Equity Portfolio Management
Modern Techniques and Applications
Buch von Edward E Qian (u. a.)
Sprache: Englisch

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Beschreibung
This text reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. It presents advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the book frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples.
This text reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. It presents advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the book frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples.
Über den Autor
Edward E. Qian, Ronald H. Hua, Eric H. Sorensen
Inhaltsverzeichnis
Introduction: Beliefs, Risk, Process. Portfolio Theory. Risk Models and Risk Analysis. Evaluation of Alpha Factors. Quantitative Factors. Valuation Techniques and Value Creation. Multi-Factor Alpha Models. Portfolio Turnover and Optimal Alpha Model. Advanced Alpha Modeling Techniques. Factor Timing Models. Portfolio Constraints and Information Ratio. Transaction Costs and Portfolio Implementation.
Details
Erscheinungsjahr: 2007
Fachbereich: Allgemeines
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: Einband - fest (Hardcover)
ISBN-13: 9781584885580
ISBN-10: 1584885580
Sprache: Englisch
Einband: Gebunden
Autor: Qian, Edward E
Hua, Ronald H
Sorensen, Eric H
Hersteller: Taylor & Francis Ltd (Sales)
Maße: 241 x 161 x 29 mm
Von/Mit: Edward E Qian (u. a.)
Erscheinungsdatum: 01.04.2007
Gewicht: 0,776 kg
Artikel-ID: 121907255
Über den Autor
Edward E. Qian, Ronald H. Hua, Eric H. Sorensen
Inhaltsverzeichnis
Introduction: Beliefs, Risk, Process. Portfolio Theory. Risk Models and Risk Analysis. Evaluation of Alpha Factors. Quantitative Factors. Valuation Techniques and Value Creation. Multi-Factor Alpha Models. Portfolio Turnover and Optimal Alpha Model. Advanced Alpha Modeling Techniques. Factor Timing Models. Portfolio Constraints and Information Ratio. Transaction Costs and Portfolio Implementation.
Details
Erscheinungsjahr: 2007
Fachbereich: Allgemeines
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: Einband - fest (Hardcover)
ISBN-13: 9781584885580
ISBN-10: 1584885580
Sprache: Englisch
Einband: Gebunden
Autor: Qian, Edward E
Hua, Ronald H
Sorensen, Eric H
Hersteller: Taylor & Francis Ltd (Sales)
Maße: 241 x 161 x 29 mm
Von/Mit: Edward E Qian (u. a.)
Erscheinungsdatum: 01.04.2007
Gewicht: 0,776 kg
Artikel-ID: 121907255
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