Linear Factor Models in Finance - 1st Edition - ISBN: 9780750660068, 9780080455327

Linear Factor Models in Finance

1st Edition

Series Editors: Stephen Satchell
Editors: John Knight
Hardcover ISBN: 9780750660068
eBook ISBN: 9780080455327
Imprint: Butterworth-Heinemann
Published Date: 1st December 2004
Page Count: 304
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Table of Contents

Review of the literature on multifactor asset pricing, M.Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S.Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al.


Description

Review of the literature on multifactor asset pricing, M.Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S.Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al.

Key Features

  • Covers the latest methods in this area.
  • Combines actual quantitative finance experience with analytical research rigour
  • Written by both quantitative analysts and academics who work in this area

Readership

This book is aimed at Quantitative Analysts and Investment Managers in Investment Firms and Banks. In addition the book will also appeal to those following Quantitative Finance; Quantitative Investment Strategy; Financial Engineering; Valuation and Portfolio Management; Finance Theory; and Financial Modeling courses at Masters Level.


Details

No. of pages:
304
Language:
English
Copyright:
© Butterworth-Heinemann 2005
Published:
Imprint:
Butterworth-Heinemann
eBook ISBN:
9780080455327
Hardcover ISBN:
9780750660068

About the Series Editors

Stephen Satchell Series Editor

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Affiliations and Expertise

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.

About the Editors

John Knight Editor

Affiliations and Expertise

FCIBSE (Haden Young Ltd), UK