Can I read Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) on EtoBox?

Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) by Frank J. Fabozzi; Sergio M. Focardi; Petter N. Kolm is a book available to read on EtoBox.

What is Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series) about?

An inside look at modern approaches to modeling equity portfolios Financial 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. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. H

Author

Frank J. Fabozzi; Sergio M. Focardi; Petter N. Kolm

Publisher

Wiley ; John Wiley [distributor

Published

2006

Language

EN

ISBN

9781119201236

Subjects

Management, Finance, Economics