Binding: Hardcover
Dewey Decimal Number: 332.6
EAN: 9781584885580
ISBN: 1584885580
Label: Chapman & Hall/CRC
Manufacturer: Chapman & Hall/CRC
Number Of Items: 1
Number Of Pages: 464
Publication Date: May 11, 2007
Publisher: Chapman & Hall/CRC
Sales Rank: 53134
Studio: Chapman & Hall/CRC

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Editorial Review:

Product Description:
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.




Rating: - advance "quant" book - update: 5 stars
Update after 1 month of reading:
(1) intially rated 4 stars, should be 5 stars (Good books are hard to find, language factor is minor)
(2) A serious Quant reader can gain a lot of insights from this book.
(3) Some of the discussions are way better than the other QEPM book(by Chincarini & Kim ). Although, this is half of the thickness.
(4) you need to be good with Linear Algebra. It is so much fun to see the authors use Linear equations to solve almost everything.
... Read More

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Rating: - Very practical book on quant portfolios
I never liked Grinold/kahn's super-dry book, admittedly a classic, so I was really glad to have found this book, which provides a practical in-depth look at the various techniques one could use in constructing and managing portfolios. One of the authors, Sorenson, is well-known in the field but all three authors did a good job putting together a coherent and highly usable volume. I'm halfway through and I can't wait to finish the second half. If you're interested in or practice quantitative portfolio ... Read More

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