Equity Management The Art And Science Of Modern Quantitative Investing Second Edition

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Equity Management: The Art and Science of Modern Quantitative Investing, Second Edition

Bruce I. Jacobs,Kenneth N. Levy
Equity Management The Art and Science of Modern Quantitative Investing Second Edition Book PDF

Author : Bruce I. Jacobs,Kenneth N. Levy
Publisher : McGraw-Hill Education
Page : 896 pages
File Size : 45,9 Mb
Release : 2016-12-13
Category : Business & Economics
ISBN : 1259835243

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Equity Management: The Art and Science of Modern Quantitative Investing, Second Edition by Bruce I. Jacobs,Kenneth N. Levy Pdf

The classic guide to quantitative investing—expanded and updated for today’s increasingly complex markets From Bruce Jacobs and Ken Levy—two pioneers of quantitative equity management— the go-to guide to stock selection has been substantially updated to help you build portfolios in today’s transformed investing landscape. A powerful combination of in-depth research and expert insights gained from decades of experience, Equity Management, Second Edition includes 24 new peer-reviewed articles that help leveraged long-short investors and leverage-averse investors navigate today’s complex and unpredictable markets. Retaining all the content that made an instant classic of the first edition—including the authors’ innovative approach to disentangling the many factors that influence stock returns, unifying the investment process, and integrating long and short portfolio positions—this new edition addresses critical issues. Among them-- • What’s the best leverage level for long-short and leveraged long-only portfolios? • Which behavioral characteristics explain the recent financial meltdown and previous crises? • What is smart beta—and why should you think twice about using it? • How do option-pricing theory and arbitrage strategies lead to market instability? • Why are factor-based strategies on the rise? Equity Management provides the most comprehensive treatment of the subject to date. More than a mere compilation of articles, this collection provides a carefully structured view of modern quantitative investing. You’ll come away with levels of insight and understanding that will give you an edge in increasingly complex and unpredictable markets. Well-established as two of today’s most innovative thinkers, Jacobs and Levy take you to the next level of investing. Read Equity Management and design the perfect portfolio for your investing goals.

Equity Management: The Art and Science of Modern Quantitative Investing, Second Edition

Bruce I. Jacobs,Kenneth N. Levy
Equity Management The Art and Science of Modern Quantitative Investing Second Edition Book PDF

Author : Bruce I. Jacobs,Kenneth N. Levy
Publisher : McGraw Hill Professional
Page : 960 pages
File Size : 42,6 Mb
Release : 2016-10-28
Category : Business & Economics
ISBN : 9781259835254

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Equity Management: The Art and Science of Modern Quantitative Investing, Second Edition by Bruce I. Jacobs,Kenneth N. Levy Pdf

The classic guide to quantitative investing—expanded and updated for today’s increasingly complex markets From Bruce Jacobs and Ken Levy—two pioneers of quantitative equity management— the go-to guide to stock selection has been substantially updated to help you build portfolios in today’s transformed investing landscape. A powerful combination of in-depth research and expert insights gained from decades of experience, Equity Management, Second Edition includes 24 new peer-reviewed articles that help leveraged long-short investors and leverage-averse investors navigate today’s complex and unpredictable markets. Retaining all the content that made an instant classic of the first edition—including the authors’ innovative approach to disentangling the many factors that influence stock returns, unifying the investment process, and integrating long and short portfolio positions—this new edition addresses critical issues. Among them-- • What’s the best leverage level for long-short and leveraged long-only portfolios? • Which behavioral characteristics explain the recent financial meltdown and previous crises? • What is smart beta—and why should you think twice about using it? • How do option-pricing theory and arbitrage strategies lead to market instability? • Why are factor-based strategies on the rise? Equity Management provides the most comprehensive treatment of the subject to date. More than a mere compilation of articles, this collection provides a carefully structured view of modern quantitative investing. You’ll come away with levels of insight and understanding that will give you an edge in increasingly complex and unpredictable markets. Well-established as two of today’s most innovative thinkers, Jacobs and Levy take you to the next level of investing. Read Equity Management and design the perfect portfolio for your investing goals.

EQUITY MANAGEMENT QUANTITIVE ANALYSIS

Bruce I. Jacobs,Kenneth N. Levy
EQUITY MANAGEMENT QUANTITIVE ANALYSIS Book PDF

Author : Bruce I. Jacobs,Kenneth N. Levy
Publisher : McGraw Hill Professional
Page : 428 pages
File Size : 49,7 Mb
Release : 2000
Category : Business & Economics
ISBN : 0071371338

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EQUITY MANAGEMENT QUANTITIVE ANALYSIS by Bruce I. Jacobs,Kenneth N. Levy Pdf

Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing. About the Authors: Bruce I. Jacobs and Kenneth N. Levy are Principals of Jacobs Levy Equity Management. Based in Florham Park, New Jersey, Jacobs Levy Equity Management is widely recognized as a leading provider of quantitative equity strategies for institutional clients. Jacobs Levy currently manages over $15 billion in various strategies for a prestigious global roster of 50 corporate pension plans, public retirement systems, multi-employer funds, endowments, and foundations, including over 25 of Pensions & Investments' "Top 200 Pension Funds/Sponsors." Bruce I. Jacobs holds a PhD in finance from the Wharton School of the University of Pennsylvania. He is the author of Capital Ideas and Market Realities: Option Replication, Investor Behavior, and Stock Market Crashes and co-editor, with Ken Levy, of Market Neutral Strategies. He serves on the advisory board of the Journal of Portfolio Management. Kenneth N. Levy holds an MBA and an MA in applied economics from the Wharton School of the University of Pennsylvania. He is co-editor, with Bruce Jacobs, of Market Neutral Strategies. A Chartered Financial Analyst, he has served on the CFA Institute's candidate curriculum committee and on the advisory board of POSIT.

Quantitative Equity Investing

Frank J. Fabozzi,Sergio M. Focardi,Petter N. Kolm
Quantitative Equity Investing Book PDF

Author : Frank J. Fabozzi,Sergio M. Focardi,Petter N. Kolm
Publisher : John Wiley & Sons
Page : 528 pages
File Size : 51,6 Mb
Release : 2010-03-01
Category : Business & Economics
ISBN : 9780470262474

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Quantitative Equity Investing by Frank J. Fabozzi,Sergio M. Focardi,Petter N. Kolm Pdf

A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.

Quantitative Equity Portfolio Management

Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Quantitative Equity Portfolio Management Book PDF

Author : Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publisher : CRC Press
Page : 462 pages
File Size : 55,8 Mb
Release : 2007-05-11
Category : Business & Economics
ISBN : 9781420010794

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Quantitative Equity Portfolio Management by Edward E. Qian,Ronald H. Hua,Eric H. Sorensen Pdf

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

Quantitative Equity Portfolio Management, Second Edition: An Active Approach to Portfolio Construction and Management

Ludwig B. Chincarini,Daehwan Kim
Quantitative Equity Portfolio Management Second Edition An Active Approach to Portfolio Construction and Management Book PDF

Author : Ludwig B. Chincarini,Daehwan Kim
Publisher : McGraw Hill Professional
Page : 800 pages
File Size : 43,8 Mb
Release : 2022-09-06
Category : Business & Economics
ISBN : 9781264268931

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Quantitative Equity Portfolio Management, Second Edition: An Active Approach to Portfolio Construction and Management by Ludwig B. Chincarini,Daehwan Kim Pdf

Construct and manage a high-performance equity portfolio using today's most powerful quantitative methods The classic guide that taught a generation of investors how to build high-yield quant portfolios, Quantitative Equity Portfolio Management has been fully updated with new data, research, information, and insights, along with the latest, most powerful quantitative tools and methods. Renowned quant experts Ludwig Chincarini and Daehwan Kim walk you through the foundational principles of quantitative active management and explain how to build an equity portfolio using those powerful concepts. They provide clear explanations of all the topics you need to know—from basic models, factors and factor choice, and stock screening and ranking to fundamental factor models, economic factor models, and forecasting factor premiums and exposures. Inside, you’ll find: Proven methodology for creating an equity portfolio that maximizes returns and minimizes risks Techniques for to create a professionally managed portfolio Practical melding of financial theory with real-world practice Illustrative financial examples and case studies Every chapter has accompanying practical problems with solutions and labs using real data available online. In addition, the book as a whole has online appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials. Quantitative Equity Portfolio Management delivers everything you need to build a solid equity portfolio for your clients.

Quantitative Equity Portfolio Management

Ludwig B Chincarini,Daehwan Kim
Quantitative Equity Portfolio Management Book PDF

Author : Ludwig B Chincarini,Daehwan Kim
Publisher : McGraw Hill Professional
Page : 658 pages
File Size : 53,6 Mb
Release : 2010-08-18
Category : Business & Economics
ISBN : 0071492380

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Quantitative Equity Portfolio Management by Ludwig B Chincarini,Daehwan Kim Pdf

Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.

Handbook Of Applied Investment Research

John B Guerard Jr,William T Ziemba
Handbook Of Applied Investment Research Book PDF

Author : John B Guerard Jr,William T Ziemba
Publisher : World Scientific
Page : 817 pages
File Size : 53,7 Mb
Release : 2020-10-02
Category : Business & Economics
ISBN : 9789811222641

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Handbook Of Applied Investment Research by John B Guerard Jr,William T Ziemba Pdf

This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.

Modern Investment Management

Bob Litterman,Quantitative Resources Group
Modern Investment Management Book PDF

Author : Bob Litterman,Quantitative Resources Group
Publisher : John Wiley & Sons
Page : 648 pages
File Size : 46,5 Mb
Release : 2004-11-19
Category : Business & Economics
ISBN : 9780471480655

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Modern Investment Management by Bob Litterman,Quantitative Resources Group Pdf

Dieser Band füllt eine echte Marktlücke. "Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen. Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management. Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen. Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung. Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht.

Portfolio and Investment Analysis with SAS

John B. Guerard,Ziwei Wang,Ganlin Xu
Portfolio and Investment Analysis with SAS Book PDF

Author : John B. Guerard,Ziwei Wang,Ganlin Xu
Publisher : SAS Institute
Page : 277 pages
File Size : 44,5 Mb
Release : 2019-04-03
Category : Computers
ISBN : 9781635266894

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Portfolio and Investment Analysis with SAS by John B. Guerard,Ziwei Wang,Ganlin Xu Pdf

Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.

Advances in Active Portfolio Management: New Developments in Quantitative Investing

Richard C. Grinold,Ronald N. Kahn
Advances in Active Portfolio Management New Developments in Quantitative Investing Book PDF

Author : Richard C. Grinold,Ronald N. Kahn
Publisher : McGraw Hill Professional
Page : 666 pages
File Size : 42,9 Mb
Release : 2019-09-13
Category : Business & Economics
ISBN : 9781260453720

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Advances in Active Portfolio Management: New Developments in Quantitative Investing by Richard C. Grinold,Ronald N. Kahn Pdf

From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into: • Dynamic Portfolio Management • Signal Weighting • Implementation Efficiency • Holdings-based attribution • Expected returns • Risk management • Portfolio construction • Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Managementmakes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.

Handbook of Portfolio Construction

John B. Guerard, Jr.
Handbook of Portfolio Construction Book PDF

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
Page : 796 pages
File Size : 55,6 Mb
Release : 2009-12-12
Category : Business & Economics
ISBN : 9780387774398

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Handbook of Portfolio Construction by John B. Guerard, Jr. Pdf

Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

The Current State of Quantitative Equity Investing

Ying L. Becker,Marc R. Reinganum
The Current State of Quantitative Equity Investing Book PDF

Author : Ying L. Becker,Marc R. Reinganum
Publisher : CFA Institute Research Foundation
Page : 82 pages
File Size : 40,9 Mb
Release : 2018-05-10
Category : Business & Economics
ISBN : 9781944960452

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The Current State of Quantitative Equity Investing by Ying L. Becker,Marc R. Reinganum Pdf

Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.

Quantitative Portfolio Management

Michael Isichenko
Quantitative Portfolio Management Book PDF

Author : Michael Isichenko
Publisher : John Wiley & Sons
Page : 306 pages
File Size : 47,9 Mb
Release : 2021-09-10
Category : Business & Economics
ISBN : 9781119821212

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Quantitative Portfolio Management by Michael Isichenko Pdf

Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.

Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk

Richard C. Grinold,Ronald N. Kahn
Active Portfolio Management A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk Book PDF

Author : Richard C. Grinold,Ronald N. Kahn
Publisher : McGraw Hill Professional
Page : 596 pages
File Size : 54,7 Mb
Release : 1999-11-16
Category : Business & Economics
ISBN : 9780071376952

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Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Selecting Superior Returns and Controlling Risk by Richard C. Grinold,Ronald N. Kahn Pdf

"This new edition of Active Portfolio Management continues the standard of excellence established in the first edition, with new and clear insights to help investment professionals." -William E. Jacques, Partner and Chief Investment Officer, Martingale Asset Management. "Active Portfolio Management offers investors an opportunity to better understand the balance between manager skill and portfolio risk. Both fundamental and quantitative investment managers will benefit from studying this updated edition by Grinold and Kahn." -Scott Stewart, Portfolio Manager, Fidelity Select Equity ® Discipline Co-Manager, Fidelity Freedom ® Funds. "This Second edition will not remain on the shelf, but will be continually referenced by both novice and expert. There is a substantial expansion in both depth and breadth on the original. It clearly and concisely explains all aspects of the foundations and the latest thinking in active portfolio management." -Eric N. Remole, Managing Director, Head of Global Structured Equity, Credit Suisse Asset Management. Mathematically rigorous and meticulously organized, Active Portfolio Management broke new ground when it first became available to investment managers in 1994. By outlining an innovative process to uncover raw signals of asset returns, develop them into refined forecasts, then use those forecasts to construct portfolios of exceptional return and minimal risk, i.e., portfolios that consistently beat the market, this hallmark book helped thousands of investment managers. Active Portfolio Management, Second Edition, now sets the bar even higher. Like its predecessor, this volume details how to apply economics, econometrics, and operations research to solving practical investment problems, and uncovering superior profit opportunities. It outlines an active management framework that begins with a benchmark portfolio, then defines exceptional returns as they relate to that benchmark. Beyond the comprehensive treatment of the active management process covered previously, this new edition expands to cover asset allocation, long/short investing, information horizons, and other topics relevant today. It revisits a number of discussions from the first edition, shedding new light on some of today's most pressing issues, including risk, dispersion, market impact, and performance analysis, while providing empirical evidence where appropriate. The result is an updated, comprehensive set of strategic concepts and rules of thumb for guiding the process of-and increasing the profits from-active investment management.