Quantitative equity portfolio management : an active approach to portfolio construction and management
Material type: TextSeries: McGraw-Hill library of investment and financePublication details: New York : McGraw-Hill, ©2006Description: xxvii, 658 pages : illustrations ; CD RomISBN: 9780071459396; 0071459391 Subject(s): Portfolio management | Investment analysisDDC classification: 332.6Item type | Current library | Collection | Call number | Status | Date due | Barcode | Item holds |
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Reference Books | Main Library Reference | Reference | 332.6 (Browse shelf(Opens below)) | Available | 013509 |
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Includes index, CD ROM available here
I. An overview of QEPM --
The Power of QEPM --
The Fundamentals of QEPM --
Basic QEPM Models --
II. Portfolio Construction and Maintenance --
Factors and Factor Choice --
Stock Screening and Ranking --
Fundamentals Factor Models --
Economic Factor Models --
Forecasting Factor Premiums and Exposures --
Portfolio Weights --
Rebalancing and Transactions Costs --
Tax Management --
III. Mojo --
Leverage --
Market Neutral --
Bayesian --
IV. Performance Analysis --
Perfomance Measurement and Attribution --
V. Practical Application --
The Backtesting Process --
The Portfilios' Performance --
Contents of CD --
Glossary --
Bibliography --
Index.
"Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts."--Jacket.
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