Financial Modeling of the Equity Market: From Capm to Cointegration

ISBN-13: 9780471699002 / Angielski / Twarda / 2005 / 651 str.

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

Opis

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. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

Spis treści

Preface.

Acknowledgments.

About the Authors.

Chapter 1. Introduction.

PART ONE: PORTFOLIO ALLOCATION: CLASSICAL THEORY AND MODERN EXTENSIONS.

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.

PART TWO: MANAGING UNCERTAINTY IN PRACTICE.

Chapter 7. Equity Price Models.

Chapter 8. Forecasting Expected Return and Risk.

Chapter 9. Robust Frameworks for Estimation and Portfolio Allocation.

PART THREE: DYNAIC MODELS FOR EQITY PRICES.

Chapter 10. Feedback and Predictors in Stock Markets.

Chapter 11. Individual Price Processes: Univariate Models.

Chapter 12. Multivariate Models.

Chapter 13. Model Selection and its Pitfalls.

PART FOUR: MODEL ESTIMATION AMD RISK MITIGATION.

Chapter 14. Estimation of Regression Models.

Chapter 15. Estimation of Linear Dynamic Models.

Chapter 16. Estimation of Hidden Variable Models.

Chapter 17. Model Risk and its Mitigation.

Appendix A: Differences Equations.

Appendix B: Correlations, Regressions, and Copulas/

Appendix C: Data Description.

Index.

O autorze

FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University′s School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management.

Sergio M. Focardi is a founding partner of the Paris–based consulting firm, The Intertek Group. He consults on, trains on, and implements quantitative financial models. He is also a member of the editorial board of the Journal of Portfolio Management and author of numerous articles and books on financial modeling.

Petter N. Kolm, PHD, is a doctoral student in finance at Yale University′s School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management where he developed quantitative investment models and strategies.

Blurb

Financial Modeling of the Equity Market

In Financial Modeling of the Equity Market, Frank Fabozzi, Sergio Focardi, and Petter Kolm provide you with the tools you need to succeed in managing equity portfolios.

This book presents complex concepts in a concise and clear manner and includes a wealth of real–world examples and practical simulations. Filled with in–depth insight and expert advice, Financial Modeling of the Equity Market covers a wide range of important topics including:

• The major approaches to single–period portfolio analysis, including modeling, estimation, and optimization issues
• Static and dynamic factor analysis, regime shifts, long–run modeling, and cointegration
• Estimation issues such as dimensionality reduction, Bayesian estimates, the Black–Litterman model, and random coefficient models
• Advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments

Financial Modeling of the Equity Market contains the latest techniques for modeling equity portfolios, and offers both financial professionals and students of finance a chance to improve their skills within this important area.