Forecasting Expected Returns in the Financial Markets
eBook - PDF

Forecasting Expected Returns in the Financial Markets

  1. 304 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Forecasting Expected Returns in the Financial Markets

Book details
Table of contents
Citations

About This Book

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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Information

Publisher
Academic Press
Year
2011
ISBN
9780080550671
Topic
Desarrollo personal
Subtopic
Finanzas personales

Table of contents

  1. Front Cover
  2. Forecasting Expected Returns in the Financial Markets
  3. Copyright Page
  4. Table of Contents
  5. List of contributors
  6. Introduction
  7. Chapter 1 Market efficiency and forecasting
  8. Chapter 2 A step-by-step guide to the Blackā€“Litterman model
  9. Chapter 3 A demystification of the Blackā€“Litterman model: managing quantitative and traditional portfolio construction
  10. Chapter 4 Optimal portfolios from ordering information
  11. Chapter 5 Some choices in forecast construction
  12. Chapter 6 Bayesian analysis of the Blackā€“Scholes option price
  13. Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information
  14. Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment
  15. Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk
  16. Chapter 10 The information horizon ā€“ optimal holding period, strategy aggression and model combination in a multi-horizon framework
  17. Chapter 11 Optimal forecasting horizon for skilled investors
  18. Chapter 12 Investments as bets in the binomial asset pricing model
  19. Chapter 13 The hidden binomial economy and the role of forecasts in determining prices
  20. Index