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Quantitative Equity Portfolio Management: Modern Techniques and Applications (Chapman & Hall/CRC Financial Mathematics Series) Hardcover – 11 May 2007

5.0 out of 5 stars 1 customer review

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Product details

  • Hardcover: 464 pages
  • Publisher: Chapman and Hall/CRC; 1 edition (11 May 2007)
  • Language: English
  • ISBN-10: 1584885580
  • ISBN-13: 978-1584885580
  • Product Dimensions: 16.1 x 2.9 x 24.1 cm
  • Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
  • Amazon Bestsellers Rank: 555,419 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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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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Format: Hardcover Verified Purchase
I was recommended this book by my boss, who told me it's the bread and butter stuff for quantitative equity portfolio management. He was absolutely right. It goes clearly through why market inefficiencies arise, how to identify them and how to build a portfolio around them. The stats shouldn't present a challenge for anyone who studied statistics at degree level.

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.
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Most Helpful Customer Reviews on Amazon.com (beta)

Amazon.com: 4.2 out of 5 stars 6 reviews
22 of 22 people found the following review helpful
4.0 out of 5 stars advance "quant" book - update: 5 stars 17 Jun. 2008
By Lijun Shi - Published on Amazon.com
Format: Hardcover
Update after 1 month of reading:
(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.

Short summary:
(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.
8 of 8 people found the following review helpful
2.0 out of 5 stars Printing issues 4 Jun. 2014
By Ian McDonald - Published on Amazon.com
Format: Hardcover Verified Purchase
The book itself is a clear explanation of the cross sectional approach to forecasting and portfolio construction, primarily applied to equities. The overall level of the book is both informative and mathematically straightforward, a good guide to a research framework. It covers somewhat similar ground as Grinold and Kahn, but from more of a cross-sectional as opposed to time series perspective. Both viewpoints have value, but this text feels more fleshed out and clear than GK. It is hard to argue against getting this book if you are interested in the field.

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.
10 of 12 people found the following review helpful
4.0 out of 5 stars Very practical book on quant portfolios 27 Feb. 2008
By Gadgester - Published on Amazon.com
Format: Hardcover
I never liked Grinold/kahn's super-dry book, admittedly a classic, so I was really glad to have found this book, which provides a practical in-depth look at the various techniques one could use in constructing and managing portfolios. One of the authors, Sorenson, is well-known in the field but all three authors did a good job putting together a coherent and highly usable volume. I'm halfway through and I can't wait to finish the second half. If you're interested in or practice quantitative portfolio managemetn I highly recommend this book as a practical reference.
6 of 7 people found the following review helpful
5.0 out of 5 stars The best book on quantitative equity research and portfolio management 3 Feb. 2011
By Yin Luo - Published on Amazon.com
Format: Hardcover Verified Purchase
This is the best book on the market on quantitative equity research and portfolio management. This book is written by three highly respected quant managers at one of the best buy-side quant firms, Panagora. It's a great book for both students who want to learn quant equity research and practitioners in this business. In addition to entry-level materials on how to build factor models, the authors also include a few more advanced topics about dynamic factor weighting, contextual modeling, portfolio construction with transaction costs, etc. It's very well written, rigorous yet still highly readable. This book was published in 2007, just before the quant crisis; therefore, it didn't cover those areas like how to deal with market crisis, macroeconomic regime shift, and the latest new databases/factors. It's much more practical than Grinold and Kahn's [1999] book and roughly at the same level as Chincarini and Kim [2006], which is another book I'd recommend.
3 of 3 people found the following review helpful
5.0 out of 5 stars A Useful Manual for ("Active") Portfolio Managers 27 May 2009
By Vasileios Malafouris - Published on Amazon.com
Format: Hardcover
This book provides a nice introduction to Quantitative Equity Portfolio Management. The Math is simple even for undergraduate students with basic knowledge of algebra, calculus and statistics - econometrics.

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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