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FINANCIAL MODELING OF THE EQUITY MARKET FROM CAPM TO COINTEGRATION

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Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.

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Availability

10000798

332.015118 FAB f

RLC MM (Rak Buku Umum)

Available

Detail Information

Series Title

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Statement of Responsibility

Frank J. Fabozzi

Call Number

332.015118 FAB f

Publisher

New Jersey : John Wiley & Sons., 2006

Collation

xx, 651 p. : ill ; 23cm.

Language

English

ISBN/ISSN

978-0471-69900-2

Classification

332.015118

Content Type

-

Edition

-

Subject(s)

Buku Umum
Financial Market

Specific Detail Info

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