| 000 | 02089camuu22003254a 4500 | |
| 001 | 000045418921 | |
| 005 | 20080201150854 | |
| 008 | 071203s2007 ne a b 001 0 eng c | |
| 010 | ▼a 2007300193 | |
| 015 | ▼a GBA765265 ▼2 bnb | |
| 020 | ▼a 9780750683210 (hbk.) | |
| 020 | ▼a 075068321X (hbk.) | |
| 035 | ▼a (KERIS)REF000014806529 | |
| 040 | ▼a UKM ▼c UKM ▼d BAKER ▼d YDXCP ▼d PIT ▼d IAC ▼d IQU ▼d DLC ▼d 211009 | |
| 042 | ▼a ukblsr ▼a pcc | |
| 050 | 0 0 | ▼a HG4637 ▼b .F66 2007 |
| 082 | 0 0 | ▼a 332.63/2042 ▼2 22 |
| 090 | ▼a 332.632042 ▼b F714 | |
| 245 | 0 0 | ▼a Forecasting expected returns in the financial markets / ▼c edited by Stephen Satchell. |
| 260 | ▼a Amsterdam ; ▼a Boston : ▼b Academic Press , ▼c 2007. | |
| 300 | ▼a x, 286 p. : ▼b ill. ; ▼c 25 cm. | |
| 440 | 0 | ▼a Quantitative finance series |
| 504 | ▼a Includes bibliographical references and index. | |
| 505 | 2 | ▼a Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices. |
| 650 | 0 | ▼a Stock price forecasting ▼x Mathematics. |
| 650 | 0 | ▼a Securities ▼x Prices ▼x Mathematical models. |
| 650 | 0 | ▼a Investment analysis ▼x Mathematics. |
| 700 | 1 | ▼a Satchell, S. ▼q (Stephen) |
| 945 | ▼a KINS |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 과학도서관/Sci-Info(2층서고)/ | 청구기호 332.632042 F714 | 등록번호 121164432 (2회 대출) | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
책소개
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.
Reviews
"Stephen Satchell's Forecasting Expected Returns in the Financial Markets is a long-awaited contribution to portfolio engineering. It blends very neat summaries of existing methods ranging from Bayesian techniques to robust or rank sorted optimizations with highly original cutting edge techniques. All contributions are written by outstanding and well-known individuals. I highly recommend this book. Reading it will come at no risk but with great return."Dr Bernd Scherer, Managing Director, Global Head of Quantitative Structured Products, Morgan Stanley / IM-Alternative Investments
Feature
*Forecasting expected returns is an essential aspect of finance and highly technical*The first collection of papers to present new and developing techniques
*International authors present both academic and practitioner perspectives
정보제공 :
목차
1 Market Efficiency and Forecasting, W. Ferson; 2 A Step-by-step Guide to the Black-Litterman Model, T. Idzorek; 3 A demystification of the Black?Litterman model: Managing quantitative and traditional portfolio construction, A. Scowcroft & S. Satchell; 4 Optimal Portfolios, N. Chriss & R. Almgren; 5 Some Choices in Forecast Construction, S. Wright; 6 Bayesian Analysis of the Black-Scholes Option Price, T. Darsinos & S. Satchell; 7 Bayesian Forecasting, T. Darsinos & S. Satchell; 8 Robust Optimisation for Utilising Forecasted Returns in Institutional Investment, C. Koutsoyannis & S. Satchell; 9 Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk, S. Hwang; 10 Information Horizons, E. Fishwick; 11 Optimal Forecasting Horizon for Skilled Investors, O. Williams & S. Satchell; (12) Investment as Bets in the Binomial Asset Pricing Model, D. Johnstone; 13 The Hidden Binomial Economy and The Role of Forecasts in Determining Prices, O. Williams & S. Satchell
정보제공 :