Edward E. Qian (PanAgora Asset Management, Boston, Massachusetts, U, Ronald H. Hua (Goldman Sachs Asset Management, New York, New York,, Eric H. Sorensen (PanAgora Asset Management, Boston, Massachusetts,

Quantitative Equity Portfolio Management

Modern Techniques and Applications

• Gebundenes Buch

Produktbeschreibung

Reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. This work presents advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation.

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Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Inc
• Seitenzahl: 464
• Erscheinungstermin: 1. April 2007
• Englisch
• Abmessung: 241mm x 161mm x 29mm
• Gewicht: 790g
• ISBN-13: 9781584885580
• ISBN-10: 1584885580
• Artikelnr.: 22311056

Autorenporträt

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen

Inhaltsangabe

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.