Forecasting expected returns in the financial markets / edited by Stephen Satchell.

Contributor(s): Material type: TextTextSeries: Quantitative finance seriesPublication details: Oxford : Elsevier/AP, 2007.Description: x, 286 p. : ill. ; 25 cmISBN:
  • 9780750683210 (hbk.)
Subject(s): Genre/Form: DDC classification:
  • 332.632220112 SAT 22
Online resources: Available additional physical forms:
  • Also available online via the World Wide Web, by subscription to Books24x7 (FinancePro).
Contents:
1. Market efficiency and forecasting / Wayne Ferson -- 2. A step-by-step guide to the Black-Litterman model / Thomas Idzorek -- 3. A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction / Stephen Satchell and Alan Scowcroft -- 4. Optimal portfolios from ordering information / Robert Almgren and Neil Chriss -- 5. Some choices in forecast construction / Stephen Wright and Stephen Satchell -- 6. Bayesian analysis of the Black-Scholes option price / Theo Darsinos and Stephen Satchell -- 7. Bayesian forecasting of options prices : a natural framework for pooling historical and implied volatility information / Theo Darsinos and Stephen Satchell -- 8. Robust optimization for utilizing forecasted returns in institutional investment / Christos Koutsoyannis and Stephen Satchell -- 9. Cross-sectional stock returns in the UK market : the role of liquidity risk / Soosung Hwang and Chensheng Lu -- 10. The information horizon - optimal holding period, strategy aggression and model combination in a multi-horizon framework / Edward Fishwick -- 11. Optimal forecasting horizon for skilled investors / Stephen Satchell and Oliver Williams -- 12. Investments as bets in the binomial asset pricing model / David Johnstone -- 13. The hidden binomial economy and the role of forecasts in determining prices / Stephen Satchell and Oliver Williams.
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Item type Current library Collection Call number Copy number Status Barcode
Books Books KILIMANJARO Non-fiction 332.632220112 SAT (Browse shelf(Opens below)) 1 Not For Loan 61947

Includes bibliographical references and index.

1. Market efficiency and forecasting / Wayne Ferson -- 2. A step-by-step guide to the Black-Litterman model / Thomas Idzorek -- 3. A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction / Stephen Satchell and Alan Scowcroft -- 4. Optimal portfolios from ordering information / Robert Almgren and Neil Chriss -- 5. Some choices in forecast construction / Stephen Wright and Stephen Satchell -- 6. Bayesian analysis of the Black-Scholes option price / Theo Darsinos and Stephen Satchell -- 7. Bayesian forecasting of options prices : a natural framework for pooling historical and implied volatility information / Theo Darsinos and Stephen Satchell -- 8. Robust optimization for utilizing forecasted returns in institutional investment / Christos Koutsoyannis and Stephen Satchell -- 9. Cross-sectional stock returns in the UK market : the role of liquidity risk / Soosung Hwang and Chensheng Lu -- 10. The information horizon - optimal holding period, strategy aggression and model combination in a multi-horizon framework / Edward Fishwick -- 11. Optimal forecasting horizon for skilled investors / Stephen Satchell and Oliver Williams -- 12. Investments as bets in the binomial asset pricing model / David Johnstone -- 13. The hidden binomial economy and the role of forecasts in determining prices / Stephen Satchell and Oliver Williams.

Also available online via the World Wide Web, by subscription to Books24x7 (FinancePro).

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