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Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)

Financial Modeling of the Equity Market: From CAPM to Cointegration (Frank J. Fabozzi Series)

Автор: Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm, 651 стр., ISBN: 0471699004

An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization...
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