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Quantitative equity investing : techniques and strategies

Author: Frank J Fabozzi; Sergio M Focardi; Petter N Kolm
Publisher: Hoboken, N.J. : John Wiley, ©2010.
Series: Frank J. Fabozzi series.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
A comprehensive look at the tools and techniques used in quantitative equity management. Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed.
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Document Type: Book
All Authors / Contributors: Frank J Fabozzi; Sergio M Focardi; Petter N Kolm
ISBN: 9780470262474 0470262478
OCLC Number: 429027009
Description: xvi, 511 pages : illustrations ; 24 cm.
Contents: Financial econometrics. 1, Linear regressions --
Financial econometrics. 2, Time series --
Common pitfalls in financial modeling --
Factor models and their estimation --
Factor-based trading strategies. 1, Factor construction and analysis --
Factor-based trading strategies. 2, Cross-sectional models and trading strategies --
Portfolio optimization : basic theory and practice --
Portfolio optimization : Bayesian techniques and the Black-Litterman model --
Robust portfolio optimization [with Joseph A. Cerniglia] --
Transaction costs and trade execution [with Dessislava Pachamanova] --
Investment management and algorithmic trading.
Series Title: Frank J. Fabozzi series.
Responsibility: Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova.

Abstract:

A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical  Read more...

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