金融市場における期待収益の予測 Forecasting Expected Returns in the Financial Markets (Quantitative Finance)

Satchell, Stephen (EDT)

Academic Pr（2007/08発売）

• 製本 Hardcover:ハードカバー版／ページ数 286 p.
• 言語 ENG
• 商品コード 9780750683210
• DDC分類 332.632042

基本説明

A YBP Library Services Bestselling Professional Title, July-September 2007.

Full Description

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.

Contents

1 Market Efficiency and Forecasting, W. Ferson; 2 A Step-by-step Guide to the Black-Litterman Model, T. Idzorek; 3 A demystification of the Black-Litterman model: Managing quantitative and traditional portfolio construction, A. Scowcroft & S. Satchell; 4 Optimal Portfolios, N. Chriss & R. Almgren; 5 Some Choices in Forecast Construction, S. Wright; 6 Bayesian Analysis of the Black-Scholes Option Price, T. Darsinos & S. Satchell; 7 Bayesian Forecasting, T. Darsinos & S. Satchell; 8 Robust Optimisation for Utilising Forecasted Returns in Institutional Investment, C. Koutsoyannis & S. Satchell; 9 Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk, S. Hwang; 10 Information Horizons, E. Fishwick; 11 Optimal Forecasting Horizon for Skilled Investors, O. Williams & S. Satchell; (12) Investment as Bets in the Binomial Asset Pricing Model, D. Johnstone; 13 The Hidden Binomial Economy and The Role of Forecasts in Determining Prices, O. Williams & S. Satchell