Forecasting expected returns in the ...
Satchell, S.

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  • Forecasting expected returns in the financial markets
  • 紀錄類型: 書目-語言資料,印刷品 : Monograph/item
    正題名/作者: Forecasting expected returns in the financial markets/ edited by Stephen Satchell.
    其他作者: Satchell, S.
    出版者: Amsterdam ;Academic Press, : 2007.,
    面頁冊數: x, 286 p. :ill. ;25 cm.
    叢書名: Quantitative finance series
    內容註: 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.
    標題: Investment analysis - Mathematics. -
    電子資源: http://www.sciencedirect.com/science/book/9780750683210An electronic book accessible through the World Wide Web; click for information
    ISBN: 075068321X
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