Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) (Hardcover)

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
Financial Modeling of the Equity Market

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.

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• Books > Business, Finance & Law > Economics
• Books > Business, Finance & Law > Professional Finance > Investments & Securities > Stocks & Shares
• Books > Scientific, Technical & Medical > Mathematics > Applied Mathematics > Finance & Economics

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