Forecasting expected returns in the financial markets /
Forecasting expected returns in the financial markets /
edited by Stephen Satchell.
- Oxford : Elsevier/AP, 2007.
- x, 286 p. : ill. ; 25 cm.
- Quantitative finance series .
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 / Wayne Ferson -- Thomas Idzorek -- Stephen Satchell and Alan Scowcroft -- Robert Almgren and Neil Chriss -- Stephen Wright and Stephen Satchell -- Theo Darsinos and Stephen Satchell -- Theo Darsinos and Stephen Satchell -- Christos Koutsoyannis and Stephen Satchell -- Soosung Hwang and Chensheng Lu -- Edward Fishwick -- Stephen Satchell and Oliver Williams -- David Johnstone -- Stephen Satchell and Oliver Williams. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13.
9780750683210 (hbk.)
2007300193
Investment analysis
Stock price forecasting
Stock price forecasting--Mathematical models
Electronic books.
332.632220112 SAT
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 / Wayne Ferson -- Thomas Idzorek -- Stephen Satchell and Alan Scowcroft -- Robert Almgren and Neil Chriss -- Stephen Wright and Stephen Satchell -- Theo Darsinos and Stephen Satchell -- Theo Darsinos and Stephen Satchell -- Christos Koutsoyannis and Stephen Satchell -- Soosung Hwang and Chensheng Lu -- Edward Fishwick -- Stephen Satchell and Oliver Williams -- David Johnstone -- Stephen Satchell and Oliver Williams. 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13.
9780750683210 (hbk.)
2007300193
Investment analysis
Stock price forecasting
Stock price forecasting--Mathematical models
Electronic books.
332.632220112 SAT