Forecasting expected returns in the financial markets / edited by Stephen Satchell.
| Other author | Satchell, Stephen, 1949- |
| Format | Book |
| Publication Info | Ansterdam ; Boston : Academic Press, 2007. |
| Description | x, 286 pages : illustrations ; 25 cm. |
| Subjects |
| Series | Quantitative finance series Quantitative finance series. ^A532783 |
| Partial contents | Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices. |
| Bibliography note | Includes bibliographical references and index. |
| ISBN | 9780750683210 |
| ISBN | 075068321X |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Joyner | General Stacks | HG4637 .F668 2007 | ✔ Available | Place Hold |