Forecasting expected returns in the financial markets
Gardado en:
| Autor Corporativo: | |
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| Outros autores: | |
| Formato: | Electrónico eBook |
| Idioma: | inglés |
| Publicado: |
Amsterdam ; Boston :
Academic Press,
2007.
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| Series: | Quantitative finance series.
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| Subjects: | |
| Acceso en liña: | An electronic book accessible through the World Wide Web; click to view |
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Table of 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.