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Product Description
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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Customer Reviews
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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