Forecasting expected returns in the financial markets / edited by Stephen Satchell.
Τύπος υλικού: ΚείμενοΓλώσσα: Αγγλικά Σειρά: Quantitative finance seriesΛεπτομέρειες δημοσίευσης: Amsterdam : Elsevier/AP, c2007.Περιγραφή: x, 286 σ. : εικ. ; 24 εκISBN:- 9780750683210
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Τύπος τεκμηρίου | Τρέχουσα βιβλιοθήκη | Ταξιθετικός αριθμός | Κατάσταση | Ημερομηνία λήξης | Ραβδοκώδικας |
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Book [21] | ΒΚΠ - Αγρίνιο Βασική Συλλογή | 332.632 22 FOR (Περιήγηση στο ράφι(Άνοιγμα παρακάτω)) | Διαθέσιμο | 026000328785 |
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332.632 22 CAL Multifractal volatility : | 332.632 22 FOR Forecasting volatility in the financial markets / | 332.632 22 FOR Forecasting volatility in the financial markets / | 332.632 22 FOR Forecasting expected returns in the financial markets / | 332.632 22 GAT The volatility surface : a practitioner's guide / | 332.632 22 GAT The volatility surface : a practitioner's guide / | 332.632 22 JAV Inside volatility arbitrage : |
Περιλαμβάνει βιβλιογραφίες και ευρετήριο.
List of contributors -- Introduction -- Chapter 1 Market efficiency and forecasting -- Chapter 2 A step-by-step guide to the Black-Litterman model -- Chapter 3 A demystification of the Black-Litterman model: managing quantitative and traditional portfolio construction -- Chapter 4 Optimal portfolios from ordering information -- Chapter 5 Some choices in forecast construction -- Chapter 6 Bayesian analysis of the Black-Scholes option price -- Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment -- Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk -- Chapter 10 The information horizon --
optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Chapter 11 Optimal forecasting horizon for skilled investo -- Chapter 12 Investments as bets in the binomial asset pricing model -- Chapter 13 The hidden binomial economy and the role of forecasts in determining prices -- index.