Quantitative equity portfolio management: modern techniques and applications
- London Chapman & Hall 2007
- xvi, 444 p.
Table of Contents INTRODUCTION: BELIEFS, RISK, PROCESS Beliefs Risks Quantitative Investment Process
PORTFOLIO THEORY Distributions of Investment Returns Optimal Portfolios Capital Asset Pricing Model (CAPM) Characteristic Portfolios
RISK MODELS AND RISK ANALYSIS Arbitrage Pricing Theory and APT models Risk Analysis Contribution to Value at Risk
EVALUATION OF ALPHA FACTORS Alpha Performance Benchmarks-The Ratios Single Period Skill: Information Coefficient Multi-Period Ex Ante Information Rati
Empirical Examples
QUANTITATIVE FACTORS Value Factors Quality Factors Momentum Factors
VALUATION TECHNIQUES AND VALUE CREATION Valuation Framework Free Cash Flow Modeling Business Economics of a Firm Cost of Capital Explicit Period, Fade Period, and Terminal Value Multi-Path Discounted Cash Flow Analysis
MULTI-FACTOR ALPHA MODELS Single-Period Composite IC of a Multi-Factor Model Optimal Alpha Model-An Analytical Derivation Factor Correlation versus IC Correlation Composite Alpha Model with Orthogonalized Factors Fama-Macbeth Regression and Optimal Alpha Model
PORTFOLIO TURNOVER AND OPTIMAL ALPHA MODEL Turnover of Fixed-Weight Portfolios Turnover Due to Forecast Change Turnover of Composite Forecasts Information Horizon and Lagged Forecasts Optimal Alpha Model under Turnover Constraint Small Trades and Turnover
ADVANCED ALPHA MODELING TECHNIQUES Contextual Modeling Mathematical Analysis of Contextual Modeling Empirical Examination of Contextual Approach Sector versus Contextual Modeling Modeling Nonlinear Effects
FACTOR TIMING MODELS Calendar Effect-Behavioral Reasons Calendar Effect-Empirical Results The Earning Season Effect Macro Timing Models
PORTFOLIO CONSTRAINTS AND INFORMATION RATIO Sector Neutral Constraint Long-Short Ration of Unconstrained Portfoli
Long-Only Portfolios The IR of Long-Only and Long-Short Portfolios
TRANSACTION COSTS & PORTFOLIO IMPLEMENTATION Components of Transaction Costs Optimal Portfolios with Transaction Costs-Single Asset Optimal Portfolios with Transaction Costs-Multi Asset Portfolio Trading Strategies Optimal Trading Horizon Optimal Trading Strategies-Portfolios of Stocks
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.