Quantitative Equity Portfolio Management : Modern Techniques and Applications

作者：EdwardE.Qian/RonaldH.Hua/EricH.Sorensen

出版社：ChapmanandHall/CRC

副标题：ModernTechniquesandApplications

出版年：2007-5-11

页数：464

定价：USD99.95

装帧：Hardcover

ISBN：9781584885580

内容简介
······

"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.

评论 ······

非！常！牛！逼！甚至连每章后面的references都闪闪发光✨

能把多因子用到这份上也算尽心竭力，当然，结果还是

因子投资领域入门之作

good

• 下载电子版：下载地址
• 购买纸质版：京东商城
• 购买纸质版：当当网