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Equity Valuation and Portfolio Management
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Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at the Yale School of Management from 1994 to 2011 and was a visiting professor of finance and accounting at the MIT Sloan School of Management from 1986 to 1992. He is also Editor of the Journal of Portfolio Management. Harry M. Markowitz, PhD, is a consultant in the area of finance. In 1990, he was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his groundbreaking work in portfolio theory. In 1989, he received the John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciences for his work in portfolio theory and other applications of mathematics and computers to business practice.
Preface xiii About the Editors xxiii Contributing Authors xxv CHAPTER 1: An Introduction to Quantitative Equity Investing 1 Paul Bukowski CHAPTER 2: Equity Analysis Using Traditional and Value-Based Metrics 25 James L. Grant and Frank J. Fabozzi CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits 71 Stanley Kogelman and Martin L. Leibowitz CHAPTER 4: Relative Valuation Methods for Equity Analysis 105 Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland CHAPTER 5: Valuation over the Cycle and the Distribution of Returns 125 Anders Ersbak Bang Nielsen and Peter C. Oppenheimer CHAPTER 6: An Architecture for Equity Portfolio Management 147 Bruce I. Jacobs and Kenneth N. Levy CHAPTER 7: Equity Analysis in a Complex Market 171 Bruce I. Jacobs and Kenneth N. Levy CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management 189 Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas CHAPTER 9: Implementable Quantitative Equity Research 231 Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma CHAPTER 10: Tracking Error and Common Stock Portfolio Management 251 Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones CHAPTER 11: Factor-Based Equity Portfolio Construction and Analysis 265 Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi CHAPTER 12: Cross-Sectional Factor-Based Models and Trading Strategies 291 Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi CHAPTER 13: Multifactor Equity Risk Models and Their Applications 339 Anthony Lazanas, Antonio Baldaque da Silva, Arne D. Staal, and Cenk Ural CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management 373 Dorsey D. Farr CHAPTER 15: A Factor Competition Approach to Stock Selection 397 Joseph Mezrich and Junbo Feng CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios 413 Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen CHAPTER 17: Modeling Market Impact Costs 425 Petter N. Kolm and Frank J. Fabozzi CHAPTER 18: Equity Portfolio Selection in Practice 441 Dessislava A. Pachamanova and Frank J. Fabozzi CHAPTER 19: Portfolio Construction and Extreme Risk 483 Jennifer Bender, Jyh-Huei Lee, and Dan Stefek CHAPTER 20: Working with High-Frequency Data 497 Irene Aldridge CHAPTER 21: Statistical Arbitrage 521 Brian J. Jacobsen About the Website 535 Index 537