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Forecasting Expected Returns in the Financial Markets

ISBN-10: 075068321X

ISBN-13: 9780750683210

Edition: 2007

Authors: Stephen Satchell

List price: $116.00
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Description:

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives
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Book details

List price: $116.00
Copyright year: 2007
Publisher: Elsevier Science & Technology Books
Publication date: 7/16/2007
Binding: Hardcover
Pages: 304
Size: 6.75" wide x 9.25" long x 1.00" tall
Weight: 1.386
Language: English

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Market Efficiency and Forecasting
A Step-by-step Guide to the Black-Litterman Model
A demystification of the Black Litterman model: Managing quantitative and traditional portfolio construction
Optimal Portfolios
Some Choices in Forecast Construction
Bayesian Analysis of the Black-Scholes Option Price
Bayesian Forecasting
Robust Optimisation for Utilising Forecasted Returns in Institutional Investment
Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk
Information Horizons
Optimal Forecasting Horizon for Skilled Investors
Investment as Bets in the Binomial Asset Pricing Model
The Hidden Binomial Economy and The Role of Forecasts in Determining Prices