Ben Graham Was a Quant : Raising the IQ of the Intelligent Investor.

• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiley 2011.
• Θέματα: Graham, Benjamin, > 1894-1976.; Securities.; Investments.; Investment analysis.; Electronic resource.

 Cover -- Contents -- Preface -- Introduction: The Birth of the Quant -- Characterizing the Quant -- Active Versus Passive Investing -- Chapter 1 Desperately Seeking Alpha -- The Beginnings of the Modern Alpha Era -- Important History of Investment Management -- Methods of Alpha Searching -- Chapter 2 Risky Business -- Experienced Versus Exposed Risk -- The Black Swan: A Minor Ele Event8212;Are Quants to Blame? -- Active Versus Passive Risk -- Other Risk Measures: Var, C-Var, and Etl -- Summary -- Chapter 3 Beta Is Not 8220;Sharpe8221; Enough -- Back to Beta -- Beta and Volatility -- The Way to a Better Beta: Introducing the G-Factor -- Tracking Error: The Deviant Differential Measurer -- Summary -- Chapter 4 Mr. Graham, I Give You Intelligence -- Fama-French Equation -- The Graham Formula -- Factors for Use in Quant Models -- Momentum: Increasing Investor Interest -- Volatility As a Factor in Alpha Models -- Chapter 5 Modeling Pitfalls and Perils -- Data Availability, Look-Ahead, and Survivorship Biases -- Building Models You Can Trust -- Scenario, Out-of-Sample, and Shock Testing -- Data Snooping and Mining -- Statistical Significance and Other Fascinations -- Choosing An Investment Philosophy -- Growth, Value, Quality -- Investment Consultant As Dutch Uncle -- Where Are the Relative Growth Managers? -- Chapter 6 Testing the Graham Crackers ... Er, Factors -- The First Tests: Sorting -- Time-Series Plots -- The Next Tests: Scenario Analysis -- Chapter 7 Building Models From Factors -- Surviving Factors -- Weighting the Factors -- The Art Versus Science of Modeling -- Time Series of Returns -- Other Conditional Information -- The Final Model -- Other Methods of Measuring Performance: Attribution Analysis Via Brinson and Risk Decomposition -- Regression of the Graham Factors With Forward Returns -- Chapter 8 Building Portfolios From Models -- The Deming Way: Benchmarking Your Portfolio -- Portfolio Construction Issues -- Using An Online Broker: Fidelity, E*Trade, Td Ameritrade, Schwab, Interactive Brokers, and Tradestation -- Working With a Professional Investment Management System: Bloomberg, Clarifi, and Factset -- Chapter 9 Barguments: The Antidementia Bacterium -- The Colossal Nonfailure of Asset Allocation -- The Stock Market As a Class of Systems -- Stochastic Portfolio Theory: An Introduction -- Portfolio Optimization: The Laymans Perspective -- Tax-Efficient Optimization -- Summary -- Chapter 10 Past and Future View -- Why Did Global Contagion and Meltdown Occur? -- Fallout of Crises -- The Rise of the Multinational State-Owned Enterprises -- The Emerged Markets -- The Future Quant -- Notes -- Acknowledgments -- About the Author -- Index.