Quantitative equity investing: techniques and strategies
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2010
|
| Schriftenreihe: | The Frank J. Fabozzi series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XVI, 511 S. Ill. |
| ISBN: | 9780470262474 0470262478 |
Internformat
MARC
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| 264 | 1 | |a Hoboken, NJ |b Wiley |c 2010 | |
| 300 | |a XVI, 511 S. |b Ill. | ||
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| 500 | |a Includes bibliographical references and index | ||
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Datensatz im Suchindex
| _version_ | 1804143148964773888 |
|---|---|
| adam_text | Titel: Quantitative equity investing
Autor: Fabozzi, Frank J.
Jahr: 2010
UUIIHflllO
Preface xi
About the Authors xv
CHAPTER1
¦uroduction 1
In Praise of Mathematical Finance 3
Studies of the Use of Quantitative Equity Management 9
Looking Ahead for Quantitative Equity Investing 45
CHAPTER2
FitancialtaJmimeTjttsliLinw 47
Historical Notes 47
Covariance and Correlation 49
Regressions, Linear Regressions, and Projections 61
Multivariate Regression 76
Quantile Regressions 78
Regression Diagnostic 80
Robust Estimation of Regressions 83
Classification and Regression Trees 96
Summary 99
CHAPTERS
Financial Fxononietrics ¦: mne Series 101
Stochastic Processes 101
Time Series 102
Stable Vector Autoregressive Processes 110
Integrated and Cointegrated Variables 114
Estimation of Stable Vector Autoregressive (VAR) Models 120
Estimating the Number of Lags 137
Autocorrelation and Distributional Properties of Residuals 139
Stationary Autoregressive Distributed Lag Models 140
VW___________________________________________________________________CONTENTS
Estimation of Nonstationary VAR Models 141
Estimation with Canonical Correlations 151
Estimation with Principal Component Analysis 153
Estimation with the Eigenvalues of the Companion Matrix 154
Nonlinear Models in Finance 155
Causality 156
Summary 157
CHAPTER4
common Piuais n rtianciai Mooenmj loo
Theory and Engineering 159
Engineering and Theoretical Science 161
Engineering and Product Design in Finance 163
Learning, Theoretical, and Hybrid Approaches to
Portfolio Management 164
Sample Biases 165
The Bias in Averages 167
Pitfalls in Choosing from Large Data Sets 170
Time Aggregation of Models and Pitfalls in the
Selection of Data Frequency 173
Model Risk and its Mitigation 174
Summary 193
CHAPTER5
Factor Models aid Hair Estimation 185
The Notion of Factors 195
Static Factor Models 196
Factor Analysis and Principal Components Analysis 205
Why Factor Models of Returns 219
Approximate Factor Models of Returns 221
Dynamic Factor Models 222
Summary 239
CHAPTERS
Factor-Bated fradmg Strategies fc
Factor Construction and Analysis 248
Factor-Based Trading 245
Developing Factor-Based Trading Strategies 247
Risk to Trading Strategies 249
Desirable Properties of Factors 251
Sources for Factors 251
Contents_______________________________________________________________jx
Building Factors from Company Characteristics 253
Working with Data 253
Analysis of Factor Data 261
Summary 266
CHAPTER 7
Factor-Based Iradmg Strategies I:
Cnm-SecuWModebairfta^ 288
Cross-Sectional Methods for Evaluation of Factor Premiums 270
Factor Models 278
Performance Evaluation of Factors 288
Model Construction Methodologies for a
Factor-Based Trading Strategy 295
Backtesting 306
Backtesting Our Factor Trading Strategy 308
Summary 309
CHAPTER8
PortiilouiitMatiorcBa* 318
Mean-Variance Analysis: Overview 314
Classical Framework for Mean-Variance Optimization 317
Mean-Variance Optimization with a Risk-Free Asset 321
Portfolio Constraints Commonly Used in Practice 327
Estimating the Inputs Used in Mean-Variance Optimization:
Expected Return and Risk 333
Portfolio Optimization with Other Risk Measures 342
Summary 357
CHAPTERS
Peruono opiMzaiion: BayesiaB mntanes aM aw
Black-Utternan Model 881
Practical Problems Encountered in
Mean-Variance Optimization 362
Shrinkage Estimation 369
The Biack-Litterman Model 373
Summary 394
CHAPTER 16
Robust Mean-Variance Formulations 396
Using Robust Mean-Variance Portfolio Optimization
in Practice 411
X ( CONTENTS
Some Practical Remarks on Robust Portfolio
Optimization Models 416
Summary 418
CHAPTER11
Transaction (tests and Untie Execution 419
A Taxonomy of Transaction Costs 420
Liquidity and Transaction Costs 427
Market Impact Measurements and Empirical Findings 430
Forecasting and Modeling Market Impact 433
Incorporating Transaction Costs in Asset-Allocation Models 439
Integrated Portfolio Management:
Beyond Expected Return and Portfolio Risk 444
Summary 446
CHAPTER 12
investment management ami rUgornnimG iranng 448
Market Impact and the Order Book 450
Optimal Execution 452
Impact Models 455
Popular Algorithmic Trading Strategies 457
What Is Next? 465
Some Comments about the High-Frequency Arms Race 467
Summary 470
UPPENDHA
Data Desertions ami Fader Definitions 478
The MSCI World Index 473
One-Month LIBOR 482
The Compustat Point-in-Time, IBES Consensus Databases
and Factor Definitions 483
JVPENDHB
§i WWHtaown factors and Tneir Underlying
487
C
Review et Ogsnvalues ana Btenvecters 488
The SWEEP Operator 494
487
|
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.63/2042 |
| dewey-sort | 3332.63 42042 |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV036568463 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:43:04Z |
| institution | BVB |
| isbn | 9780470262474 0470262478 |
| language | English |
| lccn | 2009050962 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020489631 |
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| physical | XVI, 511 S. Ill. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
| publishDateSort | 2010 |
| publisher | Wiley |
| record_format | marc |
| series2 | The Frank J. Fabozzi series |
| spelling | Fabozzi, Frank J. 1948- Verfasser (DE-588)129772054 aut Quantitative equity investing techniques and strategies Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm Hoboken, NJ Wiley 2010 XVI, 511 S. Ill. txt rdacontent n rdamedia nc rdacarrier The Frank J. Fabozzi series Includes bibliographical references and index Portfolio management Investments Methode (DE-588)4038971-6 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Methode (DE-588)4038971-6 s b DE-604 Focardi, Sergio Verfasser aut Kolm, Petter N. Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020489631&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fabozzi, Frank J. 1948- Focardi, Sergio Kolm, Petter N. Quantitative equity investing techniques and strategies Portfolio management Investments Methode (DE-588)4038971-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4038971-6 (DE-588)4115601-8 |
| title | Quantitative equity investing techniques and strategies |
| title_auth | Quantitative equity investing techniques and strategies |
| title_exact_search | Quantitative equity investing techniques and strategies |
| title_full | Quantitative equity investing techniques and strategies Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| title_fullStr | Quantitative equity investing techniques and strategies Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| title_full_unstemmed | Quantitative equity investing techniques and strategies Frank J. Fabozzi ; Sergio M. Focardi ; Petter N. Kolm |
| title_short | Quantitative equity investing |
| title_sort | quantitative equity investing techniques and strategies |
| title_sub | techniques and strategies |
| topic | Portfolio management Investments Methode (DE-588)4038971-6 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Portfolio management Investments Methode Portfoliomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020489631&sequence=000004&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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