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ISBN10: 0071492380 | ISBN13: 9780071492386
ISBN10: 0071492380
ISBN13: 9780071492386
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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.
I An overview of QEPM
1. the Power of QEPM
2. The Fundamentals of QEPM
3. Basic QEPM Models
II Portfolio Construction and Maintenance
4. Factors and Factor Choice
5. Stock Screening and Ranking
6. Fundamentals Factor Models
7. Economic Factor Models
8. Forecasting Factor Premiums and Exposures
9. Portfolio Weights
10. Rebalancing and Transactions Costs
11. Tax Management
III Mojo
12. Leverage
13. Market Neutral
14. Bayesian
IV Performance Analysis
15. Perfomance Measurement and Attribution
V Practical Application
16. The Backtesting Process
17. The Portfilios' Performance
Contents of CD
Glossary
Bibliography
Index
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