Financial modeling of the equity market : from CAPM to cointegration /
An inside look at modern approaches to modeling equity portfoliosFinancial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance.
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| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, N.J. :
Wiley,
©2006.
|
| Series: | Frank J. Fabozzi series.
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| Subjects: | |
| Online Access: | CONNECT |
MARC
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| 100 | 1 | |a Fabozzi, Frank J. | |
| 245 | 1 | 0 | |a Financial modeling of the equity market : |b from CAPM to cointegration / |c Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm. |
| 260 | |a Hoboken, N.J. : |b Wiley, |c ©2006. | ||
| 300 | |a 1 online resource (xx, 651 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a Frank J. Fabozzi series | |
| 500 | |a Wiley EBA |5 TMurS | ||
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Financial Modeling of the Equity Market; Contents; Preface; Acknowledgments; About the Authors; Chapter 1: Introduction; Chapter 2: Mean-Variance Analysis and Modern Portfolio Theory; Chapter 3: Transaction and Trading Costs; Chapter 4: Applying the Portfolio Selection Framework in Practice; Chapter 5: Incorporating Higher Moments and Extreme Risk Measures; Chapter 6: Mathematical and Numerical Optimization; Chapter 7: Equity Price Models; Chapter 8: Forecasting Expected Return and Risk; Chapter 9: Robust Frameworks for Estimation and Portfolio Allocation. | |
| 520 | |a An inside look at modern approaches to modeling equity portfoliosFinancial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Stocks |x Mathematical models. | |
| 650 | 0 | |a Portfolio management |x Mathematical models. | |
| 700 | 1 | |a Focardi, Sergio M. | |
| 700 | 1 | |a Kolm, Petter N. | |
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| 776 | 0 | 8 | |i Print version: |a Fabozzi, Frank J. |t Financial modeling of the equity market. |d Hoboken, N.J. : Wiley, ©2006 |z 0471699004 |
| 830 | 0 | |a Frank J. Fabozzi series. | |
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