Forecasting expected returns in the financial markets /

• Άλλοι συγγραφείς: Satchell, Stephen (επιμελητής.)
• Μορφή: Βιβλίο
• Γλώσσα: English
• Έκδοση: Amsterdam : Elsevier/AP, c2007.
• Σειρά: Quantitative finance series
• Θέματα: Οικονομικές προβλέψεις > Οικονομετρικά μοντέλα.; Μετοχές > Τιμές; Διαχείριση χαρτοφυλακίου > Μαθηματικά μοντέλα.

Πίνακας περιεχομένων:

• List of contributors
• Introduction
• Chapter 1 Market efficiency and forecasting
• Chapter 2 A step-by-step guide to the Black-Litterman model
• Chapter 3 A demystification of the Black-Litterman model: managing quantitative and traditional portfolio construction
• Chapter 4 Optimal portfolios from ordering information
• Chapter 5 Some choices in forecast construction
• Chapter 6 Bayesian analysis of the Black-Scholes option price
• Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information
• Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment
• Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk
• Chapter 10 The information horizon
• optimal holding period, strategy aggression and model combination in a multi-horizon framework
• Chapter 11 Optimal forecasting horizon for skilled investo
• Chapter 12 Investments as bets in the binomial asset pricing model
• Chapter 13 The hidden binomial economy and the role of forecasts in determining prices
• index.