Quantitative Equity Portfolio Management

Quantitative Equity Portfolio Management : Modern Techniques and Applications

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Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.show more

Product details

  • Hardback | 464 pages
  • 154.9 x 236.2 x 30.5mm | 748.44g
  • Taylor & Francis Inc
  • Chapman & Hall/CRC
  • Boca Raton, FL, United States
  • English
  • 81 black & white illustrations, 59 black & white tables
  • 1584885580
  • 9781584885580
  • 531,167

Table of contents

INTRODUCTION: BELIEFS, RISK, PROCESS Beliefs Risks Quantitative Investment Process PORTFOLIO THEORY Distributions of Investment Returns Optimal Portfolios Capital Asset Pricing Model (CAPM) Characteristic Portfolios RISK MODELS AND RISK ANALYSIS Arbitrage Pricing Theory and APT models Risk Analysis Contribution to Value at Risk EVALUATION OF ALPHA FACTORS Alpha Performance Benchmarks-The Ratios Single Period Skill: Information Coefficient Multi-Period Ex Ante Information Rati* Empirical Examples QUANTITATIVE FACTORS Value Factors Quality Factors Momentum Factors VALUATION TECHNIQUES AND VALUE CREATION Valuation Framework Free Cash Flow Modeling Business Economics of a Firm Cost of Capital Explicit Period, Fade Period, and Terminal Value Multi-Path Discounted Cash Flow Analysis MULTI-FACTOR ALPHA MODELS Single-Period Composite IC of a Multi-Factor Model Optimal Alpha Model-An Analytical Derivation Factor Correlation versus IC Correlation Composite Alpha Model with Orthogonalized Factors Fama-Macbeth Regression and Optimal Alpha Model PORTFOLIO TURNOVER AND OPTIMAL ALPHA MODEL Turnover of Fixed-Weight Portfolios Turnover Due to Forecast Change Turnover of Composite Forecasts Information Horizon and Lagged Forecasts Optimal Alpha Model under Turnover Constraint Small Trades and Turnover ADVANCED ALPHA MODELING TECHNIQUES Contextual Modeling Mathematical Analysis of Contextual Modeling Empirical Examination of Contextual Approach Sector versus Contextual Modeling Modeling Nonlinear Effects FACTOR TIMING MODELS Calendar Effect-Behavioral Reasons Calendar Effect-Empirical Results The Earning Season Effect Macro Timing Models PORTFOLIO CONSTRAINTS AND INFORMATION RATIO Sector Neutral Constraint Long-Short Ration of Unconstrained Portfoli* Long-Only Portfolios The IR of Long-Only and Long-Short Portfolios TRANSACTION COSTS & PORTFOLIO IMPLEMENTATION Components of Transaction Costs Optimal Portfolios with Transaction Costs-Single Asset Optimal Portfolios with Transaction Costs-Multi Asset Portfolio Trading Strategies Optimal Trading Horizon Optimal Trading Strategies-Portfolios of Stocksshow more

About Edward E. Qian

PanAgora Asset Management, Boston, Massachusetts, USA PanAgora Asset Management, Boston, Massachusetts, USA PanAgora Asset Management, Boston, Massachusetts, USAshow more

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