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" Quantitative equity portfolio management : "
Ludwig B. Chincarini, Daehwan Kim.
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BL
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| Record Number
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978726
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| Doc. No
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b733096
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| Main Entry
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Chincarini, Ludwig B.
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| Title & Author
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Quantitative equity portfolio management : : an active approach to portfolio construction and management /\ Ludwig B. Chincarini, Daehwan Kim.
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| Publication Statement
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New York :: McGraw-Hill,, ©2006.
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| Series Statement
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[McGraw-Hill library of investment & finance]
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| Page. NO
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xxvii, 658 pages :: illustrations ;; 24 cm ++ 1 CD-ROM (4 3/4 in.).
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| ISBN
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0071459391
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: 9780071459396
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| Notes
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Series from jacket.
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| Bibliographies/Indexes
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Includes bibliographical references (pages 619-634) and index.
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| Contents
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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 -- Performance Measurement and Attribution -- V. Practical Application -- The Backtesting Process -- The Portfilios' Performance -- Contents of CD -- Glossary -- Bibliography -- Index.
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| Abstract
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"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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| Subject
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Investment analysis.
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Portfolio management.
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Finanzanalyse
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Investment analysis.
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Investment analysis.
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Portfolio management.
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Portfolio management.
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Portfoliomanagement
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Kwantitatieve methoden.
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Portfolio-analyse.
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| Dewey Classification
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332.6
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| LC Classification
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HG4529.5.C4794 2006
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| NLM classification
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85.33bcl
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85.33.bcl
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F830.91clc
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QK 810rvk
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| Added Entry
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Kim, Daehwan.
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