Forecasting expected returns in the financial markets /

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Bibliographic Details
Call Number:Libro Electrónico
Other Authors: Satchell, Stephen, 1949- (Editor)
Format: Electronic eBook
Language:Inglés
Published: Amsterdam ; Boston : Academic Press, 2007.
Edition:First edition.
Series:Quantitative finance series.
Subjects:
Investment analysis.
Securities > Prices > Mathematical models.
Stock price forecasting.
Corporations > Finance.
Business enterprises > Finance.
Analyse financière.
Valeurs mobilières > Prix > Modèles mathématiques.
Actions (Titres de société) > Prix > Prévision.
Online Access:Texto completo (Requiere registro previo con correo institucional)
Table of Contents:
  • Market efficiency and forecasting
  • A step-by-step guide to the Black-Litterman model
  • A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction
  • Optimal portfolios from ordering information
  • Some choices in forecast construction
  • Bayesian analysis of the Black-Scholes option price
  • Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information
  • Robust optimization for utilizing forecasted returns in institutional investment
  • Cross-sectional stock returns in the UK market : the role of liquidity risk
  • The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework
  • Optimal forecasting horizon for skilled investors
  • Investments as bets in the binomial asset pricing model
  • The hidden binomial economy and the role of forecasts in determining prices.

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