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: | |
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| Other Authors: | , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken, N.J. :
Wiley,
©2006.
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| Series: | Frank J. Fabozzi series.
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| Subjects: | |
| Online Access: | CONNECT |
Table of Contents:
- 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.
