Forecasting expected returns in the financial markets
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| Další autoři: | |
| Médium: | Elektronický zdroj E-kniha |
| Jazyk: | angličtina |
| Vydáno: |
Amsterdam ; Boston :
Academic Press,
2007.
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| Edice: | Quantitative finance series.
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| Témata: | |
| On-line přístup: | An electronic book accessible through the World Wide Web; click to view |
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Obsah:
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- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction
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- 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
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