Commentaire :

ISBN 13 : 978-0-470-26247-4

Sommaire : Contents

Preface.
About the Authors.
Chapter 1 Introduction.
Chapter 2 Financial Econometrics I: Linear Regressions.
Chapter 3 Financial Econometrics II: Time Series.
Chapter 4 Common Pitfalls in Financial Modeling.
Chapter 5 Factor Models and Their Estimation.
Chapter 6 Factor-Based Trading Strategies I: Factor Construction and Analysis.
Chapter 7 Factor-Based Trading Strategies II: Cross-Sectional Models and Trading Strategies.
Chapter 8 Portfolio Optimization: Basic Theory and Practice.
Chapter 9 Portfolio Optimization: Bayesian Techniques and the Black-Litterman Model.
Chapter 10 Robust Portfolio Optimization.
Chapter 11 Transaction Costs and Trade Execution.
Chapter 12 Investment Management and Algorithmic Trading.
Appendix A Data Descriptions and Factor Definitions.
Appendix B Summary of Well-Known Factors and Their Underlying Economic Rationale.
Appendix C Review of Eigenvalues and Eigenvectors.
The SWEEP Operator.
Index.

Langue : Anglais

Lieu d'édition : TORONTO

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Professeur EDHEC : Oui

Propriétaire : Bibliothèque