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Product Description
Financial Modeling of the Equity Market is the most comprehensive, up–to–date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real–world examples and practical simulations. This book presents all the major approaches to single–period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long–run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black–Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.
Sergio M. Focardi (Paris, France) is a founding partner of the Paris–based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
From the Back Cover
In Financial Modeling of the Equity Market, Frank Fabozzi, Sergio Focardi, and Petter Kolm provide you with the tools you need to succeed in managing equity portfolios.
This book presents complex concepts in a concise and clear manner and includes a wealth of real–world examples and practical simulations. Filled with in–depth insight and expert advice, Financial Modeling of the Equity Market covers a wide range of important topics including:
- The major approaches to single–period portfolio analysis, including modeling, estimation, and optimization issues
- Static and dynamic factor analysis, regime shifts, long–run modeling, and cointegration
- Estimation issues such as dimensionality reduction, Bayesian estimates, the Black–Litterman model, and random coefficient models
- Advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments
Financial Modeling of the Equity Market contains the latest techniques for modeling equity portfolios, and offers both financial professionals and students of finance a chance to improve their skills within this important area.
Since the sharp stock market downturn in the United States in 2000, we have witnessed a progressive increase of the depth and breadth of financial modeling at many asset management firms. Read the first page
Concordance
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews
5.0 out of 5 stars
For serious students,
By
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) (Hardcover)
This book is easily the best I have come across on financial markets & econometrics (and I've read a few). Almost everything important is here - robust estimation, conic optimisation, vector autoregression, random matricies, markov switching, etc. The only minor criticism is that a chapter on high frequency data and market microstructure would have been useful. They have also published an excellent but less technical monograph on the same material (not on Amazon) and appear to have two more books coming soon. Can't wait.
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Most Helpful Customer Reviews on Amazon.com (beta) Amazon.com:
4.1 out of 5 stars (7 customer reviews) 14 of 16 people found the following review helpful:
4.0 out of 5 stars
Comprehensive Coverage of Quantitative Equity Models,
By Gadgester "No Time, No Money" - Published on Amazon.com
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) (Hardcover)
Fabozzi, the guy who churned out a dozen fixed income books, has turned his attention to equity models. With two coauthors, his Financial Modeling of the Equity Market book is a comprehensive treatise on quantitative methodologies employed in equity investment and trading. Densely packed with mathematical and statistical formulae, this book is an excellent reference guide for those desiring to learn and understand equity models. The reason I didn't give it 5 stars is, like other Fabozzi books, this is heavy on the "trees" but light on the "forest," i.e., it gives you lots of equations and details but does not provide a good overview as to the why. In a sense, its audience is the technocrats, not the thinkers. It's good for the financial engineers, not the financial innovators. Still, the vast majority of us on Wall Street, yours truly included, are technical people who don't have a vision, so for us mere mortals, this is a one-stop-shop book on quant equity models.
2 of 2 people found the following review helpful:
2.0 out of 5 stars
Good reference, poor introduction,
By ChicagoQuant - Published on Amazon.com
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) (Hardcover)
If you're already familiar with much of the material, it's probably a good reference book in that it covers many topics relevant to the field. However, there is very little flow in moving from chapter to chapter, and unnecessary repetition that only confuses someone looking for an introduction. I recommend Vidyamurthy's book on Pairs Trading as a much better introduction to quantitative equity analysis.
2 of 2 people found the following review helpful:
5.0 out of 5 stars
great book for modeling,
By Lijun Shi "Crazy Quant" - Published on Amazon.com
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) (Hardcover)
this is a good introductory book for quantitative developers. Many of the recent research and application of the financial engineering idea has rendered some famous books not as up-to-date as needed.
The financial modeling has a lot of different methods and directions, this book definitly did not cover all those new developments. But it is almost impossible to do that, instead, it does covers a lot interesting ground. And I find almost few other books overlap with this one so far, so even on cost per coverage basis, it is a good buy. Also check out the other book written by this trio, "Robust Portfolio Optimization and Management". |
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