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Forecasting expected returns in the financial markets /
Dr Stephen Satchell brings together a collection of leading thinkers from around the world to address this complex and central challenge in portfolio management.
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford :
Elsevier/AP,
2007.
|
| Colección: | Quantitative finance series.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 245 | 0 | 0 | |a Forecasting expected returns in the financial markets / |c edited by Stephen Satchell. |
| 260 | |a Oxford : |b Elsevier/AP, |c 2007. | ||
| 300 | |a 1 online resource (x, 286 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a Quantitative finance series | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Cover -- Contents -- List of contributors -- Introduction -- Chapter 1 Market efficiency and forecasting -- 1.1 Introduction -- 1.2 A modern view of market efficiency and predictability -- 1.3 Weak-form predictability -- 1.4 Semi-strong form predictability -- 1.5 Methodological issues -- 1.6 Perspective -- 1.7 Conclusion -- References -- Chapter 2 A step-by-step guide to the Black-Litterman model -- 2.1 Introduction -- 2.2 Expected returns -- 2.3 The Black-Litterman model -- 2.4 A new method for incorporating user-specified confidence levels -- 2.5 Conclusion -- References -- Chapter 3 A demystification of the Black-Litterman model: managing quantitative and traditional portfolio construction -- 3.1 Introduction -- 3.2 Workings of the model -- 3.3 Examples -- 3.4 Alternative formulations -- 3.5 Conclusion -- Appendix -- References -- Chapter 4 Optimal portfolios from ordering information -- 4.1 Introduction -- 4.2 Efficient portfolios -- 4.3 Optimal portfolios -- 4.4 A variety of sorts -- 4.5 Empirical tests -- 4.6 Conclusion -- Appendix A -- Appendix B -- References -- Chapter 5 Some choices in forecast construction -- 5.1 Introduction -- 5.2 Linear factor models -- 5.3 Approximating risk with a mixture of normals -- 5.4 Practical problems in the model-building process -- 5.5 Optimization with non-normal return expectations -- 5.6 Conclusion -- References -- Chapter 6 Bayesian analysis of the Black-Scholes option price -- 6.1 Introduction -- 6.2 Derivation of the prior and posterior densities -- 6.3 Numerical evaluation -- 6.4 Results -- 6.5 Concluding remarks and issues for further research -- Appendix -- References -- Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- 7.1 Introduction -- 7.2 A classical framework for option pricing -- 7.3 A Bayesian framework for option pricing -- 7.4 Empirical implementation -- 7.5 Conclusion -- Appendix -- References -- Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment -- 8.1 Introduction -- 8.2 Notions of robustness -- 8.3 Case study: an implementation of robustness via forecast errors and quadratic constraints -- 8.4 Extensions to the theory -- 8.5 Conclusion -- References -- Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk -- 9.1 Introduction -- 9.2 Hypotheses and calculating factors -- 9.3 Empirical results -- 9.4 Conclusions -- References -- Chapter 10 The information horizon -- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- 10.1 The information coefficient and information decay -- 10.2 Returns and information decay in the single model case -- 10.3 Model combination -- 10.4 Information decay in models -- 10.5 Models -- optimal horizon, aggression and model combination -- Reference -- Chapter 11 Optimal forecasting horizon for skilled investo. | |
| 588 | 0 | |a Print version record. | |
| 520 | |a Dr Stephen Satchell brings together a collection of leading thinkers from around the world to address this complex and central challenge in portfolio management. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Stock price forecasting. | |
| 650 | 0 | |a Stock price forecasting |x Mathematical models. | |
| 650 | 0 | |a Investment analysis. | |
| 650 | 6 | |a Actions (Titres de société) |x Prix |x Prévision. | |
| 650 | 6 | |a Actions (Titres de société) |x Prix |x Prévision |x Modèles mathématiques. | |
| 650 | 6 | |a Analyse financière. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x Stocks. |2 bisacsh | |
| 650 | 7 | |a Investment analysis |2 fast | |
| 650 | 7 | |a Stock price forecasting |2 fast | |
| 650 | 7 | |a Stock price forecasting |x Mathematical models |2 fast | |
| 700 | 1 | |a Satchell, Stephen, |d 1949- |1 https://id.oclc.org/worldcat/entity/E39PCjKWtd37brxrCjwFkfMbgq | |
| 758 | |i has work: |a Forecasting expected returns in the financial markets (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGDprv8bhdPrR9q7DKRhBK |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |t Forecasting expected returns in the financial markets. |d Oxford : Elsevier/AP, 2007 |z 9780750683210 |z 075068321X |w (OCoLC)166314253 |
| 830 | 0 | |a Quantitative finance series. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=311335 |z Texto completo |
| 938 | |a EBSCOhost |b EBSC |n 205483 | ||
| 938 | |a ProQuest MyiLibrary Digital eBook Collection |b IDEB |n 105765 | ||
| 938 | |a YBP Library Services |b YANK |n 2636960 | ||
| 938 | |a Internet Archive |b INAR |n forecastingexpec0000unse | ||
| 994 | |a 92 |b IZTAP | ||