Financial Modeling of the Equity Market: From CAPM to Cointegration
Financial Modeling of the Equity MarketIn Financial Modeling of the Equity Market, Frank Fabozzi, Sergio Focardi, and Petter Kolm provide you with the tools you need to succeed in managing equity portfolios.This book presents complex concepts in a concise and clear manner and includes a wealth of real-world examples and practical simulations. Filled with in-depth insight and expert advice, Financial Modeling of the Equity Market covers a wide range of important topics including:The major approaches to single-period portfolio analysis, including modeling, estimation, and optimization issuesStatic and dynamic factor analysis, regime shifts, long-run modeling, and cointegrationEstimation issues such as dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient modelsAdvances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher momentsFinancial Modeling of the Equity Market contains the latest techniques for modeling equity portfolios, and offers both financial professionals and students of finance a chance to improve their skills within this important area.