Description |
x, 286 p. : ill. |
Series |
Quantitative finance series |
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Quantitative finance series.
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Bibliography |
Includes bibliographical references and index. |
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. |
Reproduction |
Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries. |
Subject |
Stock price forecasting -- Mathematics.
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Securities -- Prices -- Mathematical models.
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Investment analysis -- Mathematics.
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Genre/Form |
Electronic books.
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Added Author |
Satchell, S. (Stephen)
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ProQuest (Firm)
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ISBN |
9780750683210 (hbk.) |
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075068321X (hbk.) |
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