Quantitative Equity Portfolio Management: Modern Techniques and Applications (Chapman & Hall/CRC Financial Mathematics Series) Hardcover – 11 May 2007
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About the Author
PanAgora Asset Management, Boston, Massachusetts, USA PanAgora Asset Management, Boston, Massachusetts, USA PanAgora Asset Management, Boston, Massachusetts, USA
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Top Customer Reviews
I skipped through the earlier chapters in the book, as I already had a pretty good grounding in APT and modern portfolio theory, but I imagine these are handled in as thorough and clear a manner as the other areas in the book.
I was lent a copy originally, but felt compelled to buy my own anyway to have as a reference.
I'd even recommend this book to discretionary equities traders, as it details the behavioural factors, which allow equities to become under- or over-priced, as well as looking at the key value and valuation factors that effect perfomance of a share. However, those without a stats background would have to resign themselves to the fact that certain parts would go over their heads.
Most Helpful Customer Reviews on Amazon.com (beta)
(1) intially rated 4 stars, should be 5 stars (Good books are hard to find, language factor is minor)
(2) A serious Quant reader can gain a lot of insights from this book.
(3) Some of the discussions are way better than the other QEPM book(by Chincarini & Kim ). Although, this is half of the thickness.
(4) you need to be good with Linear Algebra. It is so much fun to see the authors use Linear equations to solve almost everything.
(1) Some advanced math background is needed (Linear Algebra mostly)
(2) Modern investment ideas are presented clearly.
(3) "Quant" book
(4) The Full 9 yards coverage from basic CAPM, alpha model, portfolio construction, trading and turnover, to attribution.
(5) the non-native author(s) should get some help on the writing.
This is an advanced book for quantitative analyst. On the surface, it does not require special math skills to read, which is nice. But to fully appreciate the ideas, you still need a lot of math background.
Most explanations are clean and easy to understand, even with the sometimes annoying writing skills.
Coverage of the modern investment ideas are quite comprehensive and to the right depth. Going deeper could risk more than 1000 pages, less will risk being superficial. There are certain areas in the investment industry that is not covered in this book, including automatic trading, pattern recognition, Bayesian based analysis, macro investing strategies, and alternative investment strategies. Lightly mentioned behavior finance.
Overall, still a good book to have.
My gripe is that the book itself has numerous typographical issues, largely around leaving out various math symbols. I contacted the publisher and they verified the issue and are in process of fixing (older versions of the book do not have the problem) but I would be aware that "fixed" versions of the book may not be available yet. The errors are things that are more annoying than anything, one can piece together the idea and see what is missing. But for an expensive book aimed at potential practitioners, this should be fixed.
It is an A-Z approach.
The authors cover the fundamentals of Modern Portfolio Theory.
They describe in detail the various indices / criteria active managers use in the design, optimization and control of ("alpha") portfolio optimization models and in performance attribution.
They cover the topic of factor models in full detail. I really liked the various results that are reported concerning the performnce of many factor-based alpha models that can be used to estimate expected returns.
Portfolio's turnover and transaction costs are also covered.
Although the topic is not the kind of "rocket science" I found the book very useful for the design of portfolio optimization models.
Unfortunately, similar textbooks, share the characteristic of redundant material.
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