Fabozzi / Focardi / Kolm Quantitative Equity Investing

Techniques and Strategies
1. Auflage 2010
ISBN: 978-0-470-61752-6
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 528 Seiten, E-Book

Reihe: Frank J. Fabozzi Series

A comprehensive look at the tools and techniques used inquantitative equity management
Some books attempt to extend portfolio theory, but the realissue today relates to the practical implementation of the theoryintroduced by Harry Markowitz and others who followed. The purposeof this book is to close the implementation gap by presentingstate-of-the art quantitative techniques and strategies formanaging equity portfolios.
Throughout these pages, Frank Fabozzi, Sergio Focardi, andPetter Kolm address the essential elements of this discipline,including financial model building, financial engineering, staticand dynamic factor models, asset allocation, portfolio models,transaction costs, trading strategies, and much more. They alsoprovide ample illustrations and thorough discussions ofimplementation issues facing those in the investment managementbusiness and include the necessary background material inprobability, statistics, and econometrics to make the bookself-contained.
* Written by a solid author team who has extensive financialexperience in this area
* Presents state-of-the art quantitative strategies for managingequity portfolios
* Focuses on the implementation of quantitative equity assetmanagement
* Outlines effective analysis, optimization methods, and riskmodels
In today's financial environment, you have to have the skills toanalyze, optimize and manage the risk of your quantitative equityinvestments. This guide offers you the best information availableto achieve this goal.

Autoren/Hrsg.

Fabozzi, Frank J.

Focardi, Sergio M.

Kolm, Petter N.

Über Autor(innen)

Frank J. Fabozzi is Professor in the Practice of Finance andBecton Fellow at the Yale School of Management and Editor of theJournal of Portfolio Management. He is a Chartered FinancialAnalyst and earned a doctorate in economics from the CityUniversity of New York.
Sergio M. Focardi is Professor of Finance at EDHECBusiness School in Nice and a founding partner of the Paris-basedconsulting firm The Intertek Group. He is also a member of theEditorial Board of the Journal of Portfolio Management.Sergio holds a degree in electronic engineering from the Universityof Genoa and a PhD in mathematical finance from the University ofKarlsruhe as well as a postgraduate degree in communications fromthe Galileo Ferraris Electrotechnical Institute (Turin).
Petter N. Kolm is the Deputy Director of the Mathematicsin Finance Master's Program and Clinical Associate Professor ofMathematics at the Courant Institute of Mathematical Sciences, NewYork University; and a founding Partner of the New York-basedfinancial consulting firm the Heimdall Group, LLC. Previously,Petter worked in the Quantitative Strategies Group at Goldman SachsAsset Management. He received an MS in mathematics from ETH inZurich; an MPhil in applied mathematics from the Royal Institute ofTechnology in Stockholm; and a PhD in applied mathematics from YaleUniversity.