Fabozzi, Frank J.

Quantitative Equity Investing: Techniques and Strategies

Fabozzi, Frank J. - Quantitative Equity Investing: Techniques and Strategies, ebook


Ebook, ePUB with Adobe DRM
ISBN: 9780470617526
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Printing154 pages with an additional page accrued every 5 hours, capped at 154 pages
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A comprehensive look at the tools and techniques used in quantitative equity management

Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios.

Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained.

  • Written by a solid author team who has extensive financial experience in this area
  • Presents state-of-the art quantitative strategies for managing equity portfolios
  • Focuses on the implementation of quantitative equity asset management
  • Outlines effective analysis, optimization methods, and risk models

In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

Keywords: quantitative equity portfolio strategies, econometrics, model building, financial engineering, asset allocation, portfolio models, asset management, quantitative equity management, quantitative equity investing, managing equity portfolios, transaction costs, probability, statistics, trading strategies, market impact, classical portfolio theory, time series, random matrix theory, factor models, dynamic factor models, Black-Litterman model, robust optimization, momentum, risk management, portfolio optimization, reversal strategies, forecasting, estimation, bootstrap, Bayesian statistics, optimization, financial model building, static factor models, dynamic factor models, quantitative strategies, equity portfolio, risk management, risk modeling

John Wiley and Sons, Inc.
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Page amount
512 pages
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