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Quantitative Equity Portfolio Management - 9781584885580

Un libro in lingua di Qian Edward E. Hua Ronald H. Sorensen Eric H. edito da Chapman & Hall, 2007

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This is the first full-length treatment of equity portfolio management for both professionals and students to take financial economics, accounting, mathematics and operational research into account to create a systematic and mathematical framework. It introduces the beliefs, risks and processes of equity portfolio management, then covers portfolio theory, risk models and analysis, the evaluation of alpha factors, quantitative factors, valuation techniques and creation of value, multifactor alpha models, portfolio turnover and the optimal alpha model, advanced modeling, factor timing models, portfolio constraints and information ratios, transaction costs and portfolio implementation. The result is a thorough but accessible treatment that serves as a reference as well as a classroom text. Annotation ©2007 Book News, Inc., Portland, OR (booknews.com)

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