Quantitative Equity Portfolio Management: Modern Techniques and Applications

By Edward E. Qian, Eric H. Sorensen, Ronald H. Hua

This text reviews quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. It presents 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 book frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples.

• Format: Hardcover
• Language: English
• ISBN: 1584885580
• ISBN13: 9781584885580
• Release Date: May 2007
• Publisher: CRC Press
• Length: 464 Pages
• Weight: 1.76 lbs.
• Dimensions: 1.1" x 6.3" x 9.5"