Forecasting Expected Returns In The Financial Markets

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Satchell, Stephen

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ISBN:9780750683210
Editorial: Elsevier Science Publishers
Fecha de la edición:2007
Encuadernación:Tapa dura
Dimensiones: 0 cm x 0 cm
Nº Pág.:256
Idiomas:Ingles

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Forecasting returns is a key part of successful portfolio managemnet. This topic, essential to practioners, is also studied by academics. In this new book, Satchell brins together a collection of leading researchers and practitioners from around the world who address this complex problem in portfolio management using the latest quantitive techniques.

1 Market Efficiency and Forecasting, W. Ferson; 2 A Step-by-step Guide to the Black-Litterman Model, T. Idzorek; 3 A demystification of the Black?Litterman model: Managing quantitative and traditional portfolio construction, A. Scowcroft & S. Satchell; 4 Optimal Portfolios, N. Chriss & R. Almgren; 5 Some Choices in Forecast Construction, S. Wright; 6 Bayesian Analysis of the Black-Scholes Option Price, T. Darsinos & S. Satchell; 7 Bayesian Forecasting, T. Darsinos & S. Satchell; 8 Robust Optimisation for Utilising Forecasted Returns in Institutional Investment, C. Koutsoyannis & S. Satchell; 9 Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk, S. Hwang; 10 Information Horizons, E. Fishwick; 11 Optimal Forecasting Horizon for Skilled Investors, O. Williams & S. Satchell; (12) Investment as Bets in the Binomial Asset Pricing Model, D. Johnstone; 13 The Hidden Binomial Economy and The Role of Forecasts in Determining Prices, O. Williams & S. Satchell