Forecasting expected returns in the financial markets /
| Other Authors: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Amsterdam :
Elsevier/AP,
c2007.
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| Series: | Quantitative finance series
|
| Subjects: |
Table of Contents:
- List of contributors
- Introduction
- Chapter 1 Market efficiency and forecasting
- Chapter 2 A step-by-step guide to the Black-Litterman model
- Chapter 3 A demystification of the Black-Litterman model: managing quantitative and traditional portfolio construction
- Chapter 4 Optimal portfolios from ordering information
- Chapter 5 Some choices in forecast construction
- Chapter 6 Bayesian analysis of the Black-Scholes option price
- Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information
- Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment
- Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk
- Chapter 10 The information horizon
- optimal holding period, strategy aggression and model combination in a multi-horizon framework
- Chapter 11 Optimal forecasting horizon for skilled investo
- Chapter 12 Investments as bets in the binomial asset pricing model
- Chapter 13 The hidden binomial economy and the role of forecasts in determining prices
- index.
