Quantitative Equity Portfolio Management Modern Techniques and Applications

ISBN-10: 1584885580
ISBN-13: 9781584885580
Edition: 2007
List price: $99.95
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Description: This text reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. It presents advanced techniques and applications in return  More...

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Book details

List price: $99.95
Copyright year: 2007
Publisher: CRC Press LLC
Publication date: 5/11/2007
Binding: Hardcover
Pages: 464
Size: 6.50" wide x 9.50" long x 1.25" tall
Weight: 1.694
Language: English

This text reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. It presents advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the book frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples.

Preface
Abstract
About the Authors
Introduction: Beliefs, Risk, and Process
Beliefs
Risk
Quantitative Investment Process
Information Capture
The Chapters
Psychology and Behavior Finance
Advances in Psychology
Behavioral Finance
Behavioral Models
References
Endnotes
Portfolio Theory
Distributions of Investment Returns
Optimal Portfolios
Capital Asset Pricing Model
Characteristic Portfolios
Problems
References
Risk Models and Risk Analysis
Arbitrage Pricing Theory and Apt Models
Risk Analysis
Contribution to Value at Risk
Problems
References
Evaluation of Alpha Factors
Alpha Performance Benchmarks: The Ratios
Single-Period Skill: Information Coefficient
Multiperiod Ex Ante Information Ratio
Empirical Examples
Problems
References
Quantitative Factors
Value Factors
Quality Factors
Momentum Factors
Factor Definition
Net Operating Assets (NOA)
References
Endnotes
Valuation Techniques and Value Creation
Valuation Framework
Free Cash Flow
Modeling the Business Economics of a Firm
Cost of Capital
Explicit Period, Fade Period, and Terminal Value
An Example: Cheesecake Factory, Inc. (Cake)
Multipath Discounted Cash Flow Analysis
Multipath DCF Analysis (MDCF)
Summary
Problems
References
Endnotes
Multifactor Alpha Models
Single-Period Composite IC of a Multifactor Model
Optimal Alpha Model: An Analytical Derivation
Factor Correlation vs. IC Correlation
Composite Alpha Model with Orthogonalized Factors
Fama-Macbeth Regression and Optimal Alpha Model
Problems
Inverse of a Partitioned Matrix
Decomposition of Multivariate Regression
References
Portfolio Turnover and Optimal Alpha Model
Passive Portfolio Drift
Turnover of Fixed-Weight Portfolios
Turnover Due to Forecast Change
Turnover of Composite Forecasts
Information Horizon and Lagged Forecasts
Optimal Alpha Model Under Turnover Constraints
Small Trades and Turnover
Problems
Reduction in Alpha Exposure
References
Endnotes
Advanced Alpha Modeling Techniques
The Return-Generating Equation
Contextual Modeling
Mathematical Analysis of Contextual Modeling
Empirical Examination of Contextual Approach
Performance of Contextual Models
Sector vs. Contextual Modeling
Modeling Nonlinear Effects
Summary
Problems
Model Distance Test
References
Factor Timing Models
Calendar Effect: Behavioral Reasons
Calendar Effect Empirical Results
Seasonal Effect of Earnings Announcement
Macro Timing Models
Summary
References
Endnotes
Portfolio Constraints and Information Ratio
Sector Neutral Constraint
Long/Short Ratio of an Unconstrained Portfolio
Long-Only Portfolios
The Information Ratio of Long-Only and Long-Short Portfolios
Problems
Mean-Variance Optimization with Range Constraints
References
Endnotes
Transaction Costs and Portfolio Implementation
Components of Transaction Costs
Optimal Portfolios with Transaction Costs: Single Asset
Optimal Portfolios with Transaction Costs: Multiassets
Portfolio Trading Strategies
Optimal Trading Strategies: Single Stock
Optimal Trading Strategies: Portfolios of Stocks
Problems
Calculus of Variation
References

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