Quantitative Equity Portfolio Management: Modern Techniques and Applications

ISBN-13: 9781584885580 / Angielski / Twarda / 2007 / 464 str.

Edward E. Qian; Ronald H. Hua; Eric H. Sorensen

Opis

< P> Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.< /P>

Recenzje

"This book is a must have for quantitative equity managers and it provides a step-by-step illustration of how to build a superior, repeatable investment process. By combining academic research with practical implementation considerations, the book outlines the theoretical foundation of various market anomalies such as value, momentum, quality, calendar effect, and analyzes their actual performance with real world portfolios under institutional setting. The book can also serve as a valuable text and reference for students and academic researchers in the field. With rigorous mathematical analytics, the book goes beyond the traditional efficient frontier paradigm. For example, the objective of maximizing information ratio as a performance measure extends traditional academic research settings to make it more practically relevant. This results in some subtle yet critical analytical insights regarding quantitative factors and strategies. In addition, the mathematical treatment of the nonlinear factor effect and contextual factor model is intuitive and based on fundamental understanding of the market dynamics."
-Li Jin, Assistant Professor of Finance, Harvard Business School, Boston, Massachusetts, USA

"Quantitative Equity Portfolio Management sets a new standard for comprehensive assessments of quantitative techniques. The authors' experience as practitioners brings to light critical issues of implementation, such as transaction costs and turnover, which have not previously achieved sufficient attention. Overall, the depth, rigor, and elegance of the authors' approach to the topic make it a valuable resource for investment professionals everywhere."
-Bruce MacDonald, Director, Asset Allocation and Risk Analysis, University of Virginia Investment Management Company, Charlottesville, USA

"Fans of Grinold and Kahn's standard text Active Portfolio Management will love the new book Quantitative Equity Portfolio Management by Qian, Hua, and Sorensen. It reflects the latest, most up-to-date thinking on portfolio theory, risk and alpha modeling, transaction costs, and multiperiod strategies. The authors are expert, proven practitioners of the art and active researchers in the field, and have provided an essential handbook covering both theory and many practical implementation issues not available in existing books. This is a must-have addition to the bookshelf of professional portfolio managers and students of portfolio management alike. I also expect this book will inspire faculty in quantitative finance and financial engineering to add more quantitative portfolio management to the usual option pricing material that students learn on their way to careers in the investments industry."
-Alec N. Kercheval, Associate Professor, Director of Financial Mathematics, Florida State University, Tallahassee, USA

"… a superb book for the sophisticated investment practitioner. It brings together rigorous derivation and practical insight across the complete spectrum of topics needed for an intelligent investment process. Most importantly, it brings forward detailed methodologies for dealing with subtle, but critical subjects such as alpha decay and optimal trading strategies that are beyond the scope of other texts. For many of us in the field, our only regret about the book will be that we did not write it."
-Dan diBartolomeo, President, Northfield Information Services, Inc., Boston, Massachusetts, USA

Spis treści

INTRODUCTION: BELIEFS, RISK, PROCESS Beliefs Risks Quantitative Investment Process PORTFOLIO THEORY Distributions of Investment Returns Optimal Portfolios Capital Asset Pricing Model (CAPM) Characteristic Portfolios RISK MODELS AND RISK ANALYSIS Arbitrage Pricing Theory and APT models Risk Analysis Contribution to Value at Risk EVALUATION OF ALPHA FACTORSAlpha Performance Benchmarks-The Ratios Single Period Skill: Information Coefficient Multi-Period Ex Ante Information Rati Empirical ExamplesQUANTITATIVE FACTORS Value Factors Quality Factors Momentum FactorsVALUATION TECHNIQUES AND VALUE CREATION Valuation Framework Free Cash Flow Modeling Business Economics of a Firm Cost of Capital Explicit Period, Fade Period, and Terminal Value Multi-Path Discounted Cash Flow AnalysisMULTI-FACTOR ALPHA MODELS Single-Period Composite IC of a Multi-Factor ModelOptimal Alpha Model-An Analytical Derivation Factor Correlation versus IC Correlation Composite Alpha Model with Orthogonalized Factors Fama-Macbeth Regression and Optimal Alpha ModelPORTFOLIO TURNOVER AND OPTIMAL ALPHA MODEL Turnover of Fixed-Weight Portfolios Turnover Due to Forecast Change Turnover of Composite Forecasts Information Horizon and Lagged Forecasts Optimal Alpha Model under Turnover Constraint Small Trades and TurnoverADVANCED ALPHA MODELING TECHNIQUES Contextual Modeling Mathematical Analysis of Contextual Modeling Empirical Examination of Contextual Approach Sector versus Contextual Modeling Modeling Nonlinear EffectsFACTOR TIMING MODELS Calendar Effect-Behavioral Reasons Calendar Effect-Empirical Results The Earning Season Effect Macro Timing Models PORTFOLIO CONSTRAINTS AND INFORMATION RATIO Sector Neutral Constraint Long-Short Ration of Unconstrained Portfoli Long-Only Portfolios The IR of Long-Only and Long-Short PortfoliosTRANSACTION COSTS & PORTFOLIO IMPLEMENTATION Components of Transaction Costs Optimal Portfolios with Transaction Costs-Single Asset Optimal Portfolios with Transaction Costs-Multi Asset Portfolio Trading Strategies Optimal Trading Horizon Optimal Trading Strategies-Portfolios of Stocks

O autorze

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen