| Description |
x, 286 p. : ill. |
| Series |
Quantitative finance series |
|
Quantitative finance series.
|
| 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.
|
|
Securities -- Prices -- Mathematical models.
|
|
Investment analysis -- Mathematics.
|
| Genre/Form |
Electronic books.
|
| Added Author |
Satchell, S. (Stephen)
|
|
ProQuest (Firm)
|
| ISBN |
9780750683210 (hbk.) |
|
075068321X (hbk.) |
|
