Forecasting expected returns in the financial markets / edited by Stephen Satchell.
Material type: TextSeries: Quantitative finance seriesPublication details: Amsterdam ; Boston : Academic Press, 2007.Description: x, 286 p. : ill. ; 25 cmISBN:- 9780750683210 (hbk.)
- 075068321X (hbk.)
- 332.632042 22 FOR
- HG4637 .F66 2007
Item type | Current library | Collection | Call number | Vol info | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|---|
Book - Borrowing | Central Library First floor | Baccah | 332.632042 FOR (Browse shelf(Opens below)) | 6993 | Available | 000015780 |
Includes bibliographical references and index.
Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices.
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