{"product_id":"financial-modeling-of-the-equity-market-from-capm-to-cointegration-hardback-9780471699002","title":"Financial Modeling of the Equity Market; From CAPM to Cointegration (Hardback) 9780471699002","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eFinancial Modeling of the Equity Market\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eFrom CAPM to Cointegration\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eFrank J. Fabozzi (Author), Sergio M. Focardi (Author), Petter N. Kolm (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780471699002, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 20 January 2006\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e672 pages\u003cbr\u003e23.4 x 16.1 x 3.6 cm, 0.96 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cb\u003eAn inside look at modern approaches to modeling equity portfolios\u003c\/b\u003e  \u003cp\u003e\u003cb\u003e\u003ci\u003eFinancial Modeling of the Equity Market\u003c\/i\u003e\u003c\/b\u003e 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 with higher moments are also discussed.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eSergio M. Focardi\u003c\/b\u003e (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePreface.  \u003cp\u003eAcknowledgments.\u003c\/p\u003e \u003cp\u003eAbout the Authors.\u003c\/p\u003e \u003cp\u003eChapter 1. Introduction.\u003c\/p\u003e \u003cp\u003ePART ONE: PORTFOLIO ALLOCATION: CLASSICAL THEORY AND MODERN EXTENSIONS.\u003c\/p\u003e \u003cp\u003eChapter 2. Mean-Variance Analysis and Modern Portfolio Theory.\u003c\/p\u003e \u003cp\u003eChapter 3. Transaction and Trading Costs.\u003c\/p\u003e \u003cp\u003eChapter 4. Applying the Portfolio Selection Framework in Practice.\u003c\/p\u003e \u003cp\u003eChapter 5. Incorporating Higher Moments and Extreme Risk Measures.\u003c\/p\u003e \u003cp\u003eChapter 6. Mathematical and Numerical Optimization.\u003c\/p\u003e \u003cp\u003ePART TWO: MANAGING UNCERTAINTY IN PRACTICE.\u003c\/p\u003e \u003cp\u003eChapter 7. Equity Price Models.\u003c\/p\u003e \u003cp\u003eChapter 8. Forecasting Expected Return and Risk.\u003c\/p\u003e \u003cp\u003eChapter 9. Robust Frameworks for Estimation and Portfolio Allocation.\u003c\/p\u003e \u003cp\u003ePART THREE: DYNAIC MODELS FOR EQITY PRICES.\u003c\/p\u003e \u003cp\u003eChapter 10. Feedback and Predictors in Stock Markets.\u003c\/p\u003e \u003cp\u003eChapter 11. Individual Price Processes: Univariate Models.\u003c\/p\u003e \u003cp\u003eChapter 12. Multivariate Models.\u003c\/p\u003e \u003cp\u003eChapter 13. Model Selection and its Pitfalls.\u003c\/p\u003e \u003cp\u003ePART FOUR: MODEL ESTIMATION AMD RISK MITIGATION.\u003c\/p\u003e \u003cp\u003eChapter 14. Estimation of Regression Models.\u003c\/p\u003e \u003cp\u003eChapter 15. Estimation of Linear Dynamic Models.\u003c\/p\u003e \u003cp\u003eChapter 16. Estimation of Hidden Variable Models.\u003c\/p\u003e \u003cp\u003eChapter 17. Model Risk and its Mitigation.\u003c\/p\u003e \u003cp\u003eAppendix A: Differences Equations.\u003c\/p\u003e \u003cp\u003eAppendix B: Correlations, Regressions, and Copulas\/\u003c\/p\u003e \u003cp\u003eAppendix C: Data Description.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52474957988120,"sku":"9780471699002","price":55.36,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780471699002.jpg?v=1785801921","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/financial-modeling-of-the-equity-market-from-capm-to-cointegration-hardback-9780471699002","provider":"Freshly Printed Books","version":"1.0","type":"link"}