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Forecasting expected returns in the ...

Satchell, S.

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Forecasting expected returns in the financial markets /

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Forecasting expected returns in the financial markets // edited by Stephen Satchell.
other author:	Satchell, S.
Published:	Ansterdam ;Academic Press, : 2007.,
Description:	x, 286 p. :ill. ;25 cm.
Series:	Quantitative finance series
[NT 15003449]:	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.
Subject:	Investment analysis - Mathematics. -
ISBN:	075068321X

Forecasting expected returns in the financial markets /
Forecasting expected returns in the financial markets /edited by Stephen Satchell. - Ansterdam ;Academic Press,2007. - x, 286 p. :ill. ;25 cm. - Quantitative finance series.

Includes bibliographical references and index.

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.

ISBN: 075068321X

Nat. Bib. No.: GBA765265bnb

Nat. Bib. Agency Control No.: 013763116UkSubjects--Topical Terms:

658091
Investment analysis
--Mathematics.

LC Class. No.: HG4637 / .F668 2007

Dewey Class. No.: 332.632220112

Forecasting expected returns in the financial markets /
LDR:01751cam a2200265 a 45 001 744872
003 OCoLC
005 20080102
008 071217s2007 ne a b 001 0 eng c
015 $a GBA765265 $2 bnb
016 7 $a 013763116 $2 Uk
020 $a 075068321X
020 $a 9780750683210 : $c US89.95
035 $a (OCoLC)166314253
035 $a FN96T0036 fnw96000011
040 $a UKM $c UKM $d BAKER $d YDXCP $d PIT $d IAC $d IQU $d DH
042 $a ukblsr $a pcc
049 $a FISA
050 4 $a HG4637 $b .F668 2007
082 0 4 $a 332.632220112 $2 22
245 0 0 $a Forecasting expected returns in the financial markets / $c edited by Stephen Satchell.
260 $a Ansterdam ; $a Boston : $c 2007. $b Academic Press,
300 $a x, 286 p. : $b ill. ; $c 25 cm.
440 0 $a Quantitative finance series
504 $a Includes bibliographical references and index.
505 2 $a 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.
650 $a Investment analysis $x Mathematics. $3 658091
650 $a Securities $x Prices $x Mathematical models. $3 724583
650 $a Stock price forecasting $x Mathematics. $3 854166
700 $a Satchell, S. $q (Stephen) $3 783203