Quantitative equity portfolio management : an active approach to portfolio construction and management / Ludwig B. Chincarini, Daehwan Kim

Author : Chincarini, Ludwig B
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Quantitative equity portfolio management : an acti...

Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts. Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging 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. Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance

Publisher : New York : The McGraw-Hill Companies
Publish Year : 2006
Page : 658 p
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