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Forecasting expected returns in the financial markets [electronic resource]
- 其他作者：
- 出版： Amsterdam ;Boston : Academic Press
- 叢書名： Quantitative finance series
- 主題： Stock price forecasting--Mathematics. , Securities--Prices--Mathematical models , Investment analysis--Mathematics. , Electronic books.
- ISBN： 9780750683210 (paper) 、 075068321X (paper)
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FIND@SFXID:
CGU
- 資料類型: 電子書
- 內容註: Includes bibliographical references and index. 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 from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices.
- 摘要註: 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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讀者標籤：
- 系統號： 005036801 | 機讀編目格式
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