Image from Google Jackets

Forecasting expected returns in the financial markets / edited by Stephen Satchell.

Contributor(s): Material type: TextTextSeries: Quantitative finance seriesPublication details: Amsterdam ; Boston : Academic Press, 2007.Description: x, 286 p. : ill. ; 25 cmISBN:
  • 9780750683210 (hbk.)
  • 075068321X (hbk.)
Subject(s): DDC classification:
  • 332.632042 22 FOR
LOC classification:
  • HG4637 .F66 2007
Online resources:
Partial contents:
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.
Tags from this library: No tags from this library for this title. Log in to add tags.
Star ratings
    Average rating: 0.0 (0 votes)
Holdings
Item type Current library Collection Call number Vol info Status Date due Barcode Item holds
Book - Borrowing Book - Borrowing Central Library First floor Baccah 332.632042 FOR (Browse shelf(Opens below)) 6993 Available 000015780
Total holds: 0

Includes bibliographical references and index.

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.

There are no comments on this title.

to post a comment.

© BUE Library 2020