Quantitative equity portfolio management : an active approach to portfolio construction and management

By: Chincarini, Ludwig B [Author]Contributor(s): Kim, DaehwanMaterial type: TextTextSeries: McGraw-Hill library of investment and financePublication details: New York : McGraw-Hill, ©2006Description: xxvii, 658 pages : illustrations ; CD RomISBN: 9780071459396; 0071459391 Subject(s): Portfolio management | Investment analysisDDC classification: 332.6
Contents:
I. An overview of QEPM -- The Power of QEPM -- The Fundamentals of QEPM -- Basic QEPM Models -- II. Portfolio Construction and Maintenance -- Factors and Factor Choice -- Stock Screening and Ranking -- Fundamentals Factor Models -- Economic Factor Models -- Forecasting Factor Premiums and Exposures -- Portfolio Weights -- Rebalancing and Transactions Costs -- Tax Management -- III. Mojo -- Leverage -- Market Neutral -- Bayesian -- IV. Performance Analysis -- Perfomance Measurement and Attribution -- V. Practical Application -- The Backtesting Process -- The Portfilios' Performance -- Contents of CD -- Glossary -- Bibliography -- Index.
Summary: "Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts."--Jacket.
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 Status Date due Barcode Item holds
Reference Books Reference Books Main Library
Reference 		Reference 332.6 (Browse shelf(Opens below)) Available 013509
Total holds: 0

Includes index, CD ROM available here

I. An overview of QEPM --
The Power of QEPM --
The Fundamentals of QEPM --
Basic QEPM Models --
II. Portfolio Construction and Maintenance --
Factors and Factor Choice --
Stock Screening and Ranking --
Fundamentals Factor Models --
Economic Factor Models --
Forecasting Factor Premiums and Exposures --
Portfolio Weights --
Rebalancing and Transactions Costs --
Tax Management --
III. Mojo --
Leverage --
Market Neutral --
Bayesian --
IV. Performance Analysis --
Perfomance Measurement and Attribution --
V. Practical Application --
The Backtesting Process --
The Portfilios' Performance --
Contents of CD --
Glossary --
Bibliography --
Index.


"Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts."--Jacket.

There are no comments on this title.

to post a comment.

© University of Vavuniya

---