Quantitative equity portfolio management: modern techniques and applications (Record no. 1918)
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| 000 -LEADER | |
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| fixed length control field | 03444nam a22002177a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220316161831.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 220316b ||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781584885580 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.6 |
| Item number | QIA |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Qian, Edward E. |
| 245 ## - TITLE STATEMENT | |
| Title | Quantitative equity portfolio management: modern techniques and applications |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Name of publisher, distributor, etc. | Chapman & Hall |
| Place of publication, distribution, etc. | London |
| Date of publication, distribution, etc. | 2007 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xvi, 444 p. |
| 365 ## - TRADE PRICE | |
| Price type code | GBP |
| Price amount | 89.99 |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc. note | Table of Contents<br/>INTRODUCTION: BELIEFS, RISK, PROCESS<br/>Beliefs<br/>Risks<br/>Quantitative Investment Process<br/><br/>PORTFOLIO THEORY<br/>Distributions of Investment Returns<br/>Optimal Portfolios<br/>Capital Asset Pricing Model (CAPM)<br/>Characteristic Portfolios<br/><br/>RISK MODELS AND RISK ANALYSIS<br/>Arbitrage Pricing Theory and APT models<br/>Risk Analysis<br/>Contribution to Value at Risk<br/><br/>EVALUATION OF ALPHA FACTORS<br/>Alpha Performance Benchmarks-The Ratios<br/>Single Period Skill: Information Coefficient<br/>Multi-Period Ex Ante Information Rati<br/><br/><br/>Empirical Examples<br/><br/>QUANTITATIVE FACTORS<br/>Value Factors<br/>Quality Factors<br/>Momentum Factors<br/><br/>VALUATION TECHNIQUES AND VALUE CREATION Valuation Framework<br/>Free Cash Flow<br/>Modeling Business Economics of a Firm<br/>Cost of Capital<br/>Explicit Period, Fade Period, and Terminal Value<br/>Multi-Path Discounted Cash Flow Analysis<br/><br/>MULTI-FACTOR ALPHA MODELS<br/>Single-Period Composite IC of a Multi-Factor Model<br/>Optimal Alpha Model-An Analytical Derivation<br/>Factor Correlation versus IC Correlation<br/>Composite Alpha Model with Orthogonalized Factors<br/>Fama-Macbeth Regression and Optimal Alpha Model<br/><br/>PORTFOLIO TURNOVER AND OPTIMAL ALPHA MODEL<br/>Turnover of Fixed-Weight Portfolios<br/>Turnover Due to Forecast Change<br/>Turnover of Composite Forecasts<br/>Information Horizon and Lagged Forecasts<br/>Optimal Alpha Model under Turnover Constraint<br/>Small Trades and Turnover<br/><br/>ADVANCED ALPHA MODELING TECHNIQUES<br/>Contextual Modeling<br/>Mathematical Analysis of Contextual Modeling<br/>Empirical Examination of Contextual Approach<br/>Sector versus Contextual Modeling<br/>Modeling Nonlinear Effects<br/><br/>FACTOR TIMING MODELS<br/>Calendar Effect-Behavioral Reasons<br/>Calendar Effect-Empirical Results<br/>The Earning Season Effect<br/>Macro Timing Models<br/><br/>PORTFOLIO CONSTRAINTS AND INFORMATION RATIO<br/>Sector Neutral Constraint<br/>Long-Short Ration of Unconstrained Portfoli<br/><br/>Long-Only Portfolios<br/>The IR of Long-Only and Long-Short Portfolios<br/><br/>TRANSACTION COSTS & PORTFOLIO IMPLEMENTATION<br/>Components of Transaction Costs<br/>Optimal Portfolios with Transaction Costs-Single Asset<br/>Optimal Portfolios with Transaction Costs-Multi Asset<br/>Portfolio Trading Strategies<br/>Optimal Trading Horizon<br/>Optimal Trading Strategies-Portfolios of Stocks |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Portfolio management--Mathematical models |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Hua, Ronald H. |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Sorensen, Eric H. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Book |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Collection code | Bill No | Bill Date | Home library | Current library | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Total Checkouts | Full call number | Accession Number | Date last seen | Copy number | Cost, replacement price | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Public Policy & General Management | 31699 | 07-03-2022 | Indian Institute of Management LRC | Indian Institute of Management LRC | General Stacks | 03/16/2022 | University Book House Pvt. Ltd. | 6194.93 | 332.6 QIA | 002210 | 03/16/2022 | 1 | 9421.95 | 03/16/2022 | Book |