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Forecasting expected returns in the ...

Satchell, S.

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Forecasting expected returns in the financial markets /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Forecasting expected returns in the financial markets // edited by Stephen Satchell.
其他作者:	Satchell, S.
出版者:	Ansterdam ;Academic Press, : 2007.,
面頁冊數:	x, 286 p. :ill. ;25 cm.
叢書名:	Quantitative finance series
內容註:	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.
標題:	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 /
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504 $a Includes bibliographical references and index.
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650 $a Stock price forecasting $x Mathematics. $3 854166
700 $a Satchell, S. $q (Stephen) $3 783203