skip to content
Linear factor models in finance Preview this item
ClosePreview this item
Checking...

Linear factor models in finance

Author: John L Knight; S Satchell
Publisher: Oxford ; Boston : Elsevier/Butterworth-Heinemann, 2005.
Series: Quantitative finance series.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"The determination of the values of stocks, bonds, options, futures and derivatives is ascertained through the process of asset pricing. Due to advances in financial theory and econometrics asset pricing has developed dramatically in the last few years. This book covers new advances in asset pricing by concentrating on the most widely used and important modelling technique, Linear Factor Modelling." "As a minimum,  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Document Type: Book
All Authors / Contributors: John L Knight; S Satchell
ISBN: 0750660066 9780750660068
OCLC Number: 56451653
Description: xiv, 282 pages ; 24 cm.
Contents: 1. Review of literature on multifactor asset pricing models / Mario Pitsillis --
2. Estimating UK factor models using the multivariate skew normal distribution / C. J. Adcock --
3. Misspecification in the linear pricing model / Ka-Man Lo --
4. Bayesian estimation of risk premia in an APT context / Theofanis Darsinos and Stephen E. Satchell --
5. Sharpe style analysis in the MSCI sector portfolios : a Monte Carlo integration approach / George A. Christodoulakis --
6. Implication of the method of portfolio formation on asset pricing tests / Ka-Man Lo --
7. The small noise arbitrage price theory and its welfare implications / Stephen E. Satchell --
8. Risk attribution in a global country-sector model / Alan Scowcroft and James Sefton --
9. Predictability of fund of hedge fund returns using DynaPorte / Greg N. Gregoriou and Fabrice Rouah --
10. Estimating a combined linear factor model / Alvin L. Stroyny --
11. Attributing investment risk with a factor analytic model / T. Wilding --
12. Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information / Dan diBartolomeo and Sandy Warrick --
13. Decomposing factor exposure for equity portfolios / David Tien, Paul Pfleiderer, Robert Maxim and Terry Marsh.
Series Title: Quantitative finance series.
Responsibility: John Knight and Stephen Satchell.

Abstract:

The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed due to advances in financial theory and  Read more...

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Related Subjects:(1)

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/56451653> # Linear factor models in finance
    a schema:Book, schema:CreativeWork ;
   library:oclcnum "56451653" ;
   library:placeOfPublication <http://id.loc.gov/vocabulary/countries/enk> ;
   library:placeOfPublication <http://dbpedia.org/resource/Boston> ; # Boston
   library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/134859146#Place/oxford> ; # Oxford
   schema:about <http://id.loc.gov/authorities/subjects/sh85048260> ; # Finance--Mathematical models
   schema:about <http://id.worldcat.org/fast/924398> ; # Finance--Mathematical models
   schema:about <http://dewey.info/class/332.015118/e22/> ;
   schema:bookFormat bgn:PrintBook ;
   schema:contributor <http://viaf.org/viaf/74998924> ; # Stephen Satchell
   schema:creator <http://viaf.org/viaf/11970311> ; # John L. Knight
   schema:datePublished "2005" ;
   schema:exampleOfWork <http://worldcat.org/entity/work/id/134859146> ;
   schema:inLanguage "en" ;
   schema:isPartOf <http://experiment.worldcat.org/entity/work/data/134859146#Series/quantitative_finance_series> ; # Quantitative finance series.
   schema:name "Linear factor models in finance"@en ;
   schema:productID "56451653" ;
   schema:publication <http://www.worldcat.org/title/-/oclc/56451653#PublicationEvent/oxford_boston_elsevier_butterworth_heinemann_2005> ;
   schema:publisher <http://experiment.worldcat.org/entity/work/data/134859146#Agent/elsevier_butterworth_heinemann> ; # Elsevier/Butterworth-Heinemann
   schema:reviews <http://www.worldcat.org/title/-/oclc/56451653#Review/-2028265225> ;
   schema:workExample <http://worldcat.org/isbn/9780750660068> ;
   umbel:isLike <http://bnb.data.bl.uk/id/resource/GBA4Y3600> ;
   wdrs:describedby <http://www.worldcat.org/title/-/oclc/56451653> ;
    .


Related Entities

<http://dbpedia.org/resource/Boston> # Boston
    a schema:Place ;
   schema:name "Boston" ;
    .

<http://experiment.worldcat.org/entity/work/data/134859146#Agent/elsevier_butterworth_heinemann> # Elsevier/Butterworth-Heinemann
    a bgn:Agent ;
   schema:name "Elsevier/Butterworth-Heinemann" ;
    .

<http://experiment.worldcat.org/entity/work/data/134859146#Series/quantitative_finance_series> # Quantitative finance series.
    a bgn:PublicationSeries ;
   schema:hasPart <http://www.worldcat.org/oclc/56451653> ; # Linear factor models in finance
   schema:name "Quantitative finance series." ;
   schema:name "Quantitative finance series" ;
    .

<http://id.loc.gov/authorities/subjects/sh85048260> # Finance--Mathematical models
    a schema:Intangible ;
   schema:name "Finance--Mathematical models"@en ;
    .

<http://id.worldcat.org/fast/924398> # Finance--Mathematical models
    a schema:Intangible ;
   schema:name "Finance--Mathematical models"@en ;
    .

<http://viaf.org/viaf/11970311> # John L. Knight
    a schema:Person ;
   schema:familyName "Knight" ;
   schema:givenName "John L." ;
   schema:name "John L. Knight" ;
    .

<http://viaf.org/viaf/74998924> # Stephen Satchell
    a schema:Person ;
   schema:familyName "Satchell" ;
   schema:givenName "Stephen" ;
   schema:givenName "S." ;
   schema:name "Stephen Satchell" ;
    .

<http://worldcat.org/isbn/9780750660068>
    a schema:ProductModel ;
   schema:isbn "0750660066" ;
   schema:isbn "9780750660068" ;
    .

<http://www.worldcat.org/title/-/oclc/56451653#Review/-2028265225>
    a schema:Review ;
   schema:itemReviewed <http://www.worldcat.org/oclc/56451653> ; # Linear factor models in finance
   schema:reviewBody ""The determination of the values of stocks, bonds, options, futures and derivatives is ascertained through the process of asset pricing. Due to advances in financial theory and econometrics asset pricing has developed dramatically in the last few years. This book covers new advances in asset pricing by concentrating on the most widely used and important modelling technique, Linear Factor Modelling." "As a minimum, the reader of this book must have a working knowledge of basic calculus, simple optimization and elementary statistics. In particular the reader must be comfortable with algebraic manipulation of means and variances of linear combinations of random variables. Some topics presented may require a greater mathematical sophistication, however, a survey chapter should help the reader to master this valuable material."--BOOK JACKET." ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.