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Quantitative Equity Portfolio Management

Quantitative Equity Portfolio Management

1st Edition
By Ludwig Chincarini and Daehwan Kim
ISBN10: 0071459391
ISBN13: 9780071459396
Copyright: 2007

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ISBN10: 0071459391 | ISBN13: 9780071459396

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$77.00

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Program Details

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