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| FORECASTING EXPECTED RETURNS IN THE FINANCIAL MARKETS
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To order this title, and for more information, click here
By
Stephen Satchell, Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief
of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.
Audience
Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is
also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from
around the world who address this complex problem using the latest quantitative techniques.
Contents
1 Market Efficiency and Forecasting, W. Ferson; 2 A Step-by-step Guide to the Black-Litterman Model, T. Idzorek; 3 A demystification
of the Black?Litterman model: Managing quantitative and traditional portfolio construction, A. Scowcroft & S. Satchell; 4 Optimal Portfolios,
N. Chriss & R. Almgren; 5 Some Choices in Forecast Construction, S. Wright; 6 Bayesian Analysis of the Black-Scholes Option Price, T.
Darsinos & S. Satchell; 7 Bayesian Forecasting, T. Darsinos & S. Satchell; 8 Robust Optimisation for Utilising Forecasted Returns in
Institutional Investment, C. Koutsoyannis & S. Satchell; 9 Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk,
S. Hwang; 10 Information Horizons, E. Fishwick; 11 Optimal Forecasting Horizon for Skilled Investors, O. Williams & S. Satchell; (12)
Investment as Bets in the Binomial Asset Pricing Model, D. Johnstone; 13 The Hidden Binomial Economy and The Role of Forecasts in Determining
Prices, O. Williams & S. Satchell
| Bibliographic details |
Hardbound, 304 pages, publication date: JUL-2007
ISBN-13: 978-0-7506-8321-0
ISBN-10: 0-7506-8321-X
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
EUR 75.95
GBP 64
USD 95.95
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Last update: 15 Oct 2009
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