Forecasting Expected Returns in the Financial Markets
Stephen Satchell
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
ক্যাটাগোরিগুলো:
সাল:
2007
প্রকাশক:
Academic Press
ভাষা:
english
পৃষ্ঠা:
288
ISBN 10:
075068321X
ISBN 13:
9780750683210
বইয়ের সিরিজ:
Quantitative finance series
ফাইল:
PDF, 2.23 MB
IPFS:
,
english, 2007