| Description |
1 online resource (x, 286 pages) : illustrations |
| Series |
Quantitative finance series |
|
Quantitative finance series.
|
| Bibliography |
Includes bibliographical references and index. |
| Contents |
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. |
| Subject |
Investment analysis.
|
|
Securities -- Prices -- Mathematical models.
|
|
Stock price forecasting.
|
|
Corporations -- Finance.
|
|
Business enterprises -- Finance.
|
|
Analyse financière. |
|
Valeurs mobilières -- Prix -- Modèles mathématiques. |
|
Actions (Titres de société) -- Prix -- Prévision. |
|
Corporations -- Finance |
|
Business enterprises -- Finance |
|
Investment analysis |
|
Securities -- Prices -- Mathematical models |
|
Stock price forecasting |
| Added Author |
Satchell, Stephen, 1949- editor.
|
| ISBN |
9780080550671 (eISBN) |
|
0080550673 (eISBN) |
|
More Resources