000			03444nam a22002177a 4500
999			_c1918 _d1918
005			20220316161831.0
008			220316b ||||| |||| 00| 0 eng d
020			_a9781584885580
082			_a332.6 _bQIA
100			_aQian, Edward E. _94818
245			_aQuantitative equity portfolio management: modern techniques and applications
260			_bChapman & Hall _aLondon _c2007
300			_axvi, 444 p.
365			_aGBP _b89.99
504			_aTable 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
520			_aQuantitative 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			_aPortfolio management--Mathematical models _96007
700			_aHua, Ronald H. _96008
700			_aSorensen, Eric H. _96009
942			_2ddc _cBK