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Financial Modeling of the Equity Market: From Capm to Cointegration by Frank J. Fabozzi

Financial Modeling of the Equity Market: From Capm to Cointegration

by Frank J. Fabozzi
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Book cover type: Hardcover
  • ISBN13: 9780471699002
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Wiley
  • Publisher Imprint: Wiley
  • Publication Date:
  • Pages: 651
  • Original Price: USD 110.0
  • Language: English
  • Edition: N/A
  • Item Weight: 1125 grams
  • BISAC Subject(s): Finance / General and Investments & Securities / Stocks

From the Back Cover
Financial Modeling of the Equity Market

In Financial Modeling of the Equity Market, Frank Fabozzi, Sergio Focardi, and Petter Kolm provide you with the tools you need to succeed in managing equity portfolios.

This book presents complex concepts in a concise and clear manner and includes a wealth of real-world examples and practical simulations. Filled with in-depth insight and expert advice, Financial Modeling of the Equity Market covers a wide range of important topics including:

  • The major approaches to single-period portfolio analysis, including modeling, estimation, and optimization issues
  • Static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration
  • Estimation issues such as dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models
  • Advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments

Financial Modeling of the Equity Market contains the latest techniques for modeling equity portfolios, and offers both financial professionals and students of finance a chance to improve their skills within this important area.

FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management.

Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. He consults on, trains on, and implements quantitative financial models. He is also a member of the editorial board of the Journal of Portfolio Management and author of numerous articles and books on financial modeling.

Petter N. Kolm, PHD, is a doctoral student in finance at Yale University's School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management where he developed quantitative investment models and strategies.

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