Quantitative equity investing
Subtitle: techniques and strategies
By: Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova
Contributors: Focardi, Sergio M.; Kolm, Petter N.
Series: The Frank J. Fabozzi series; Frank J. Fabozzi series
Publisher: John Wiley
Published: 2010
Place of publication: Hoboken, N.J
Language: eng
Number of pages: 511
ISBN-13: 9780470262474
Notes: Includes bibliographical references and index.
Table of contents: title: Financial econometrics. 1, Linear regressions; title: Financial econometrics. 2, Time series; title: Common pitfalls in financial modeling; title: Factor models and their estimation; title: Factor-based trading strategies. 1, Factor construction and analysis; title: Factor-based trading strategies. 2, Cross-sectional models and trading strategies; title: Portfolio optimization : basic theory and practice; title: Portfolio optimization : Bayesian techniques and the Black-Litterman model; title: Robust portfolio optimization [with Joseph A. Cerniglia]; title: Transaction costs and trade execution [with Dessislava Pachamanova]; title: Investment management and algorithmic trading.