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Forecasting expected returns in the financial markets

紀錄類型:	書目-語言資料,印刷品 : 單行本
其他作者:	SatchellS.,
其他團體作者:	ScienceDirect (Online service)
出版地:	Amsterdam
出版者:	Academic Press;
出版年:	2007.
面頁冊數:	x, 286 p.ill. : 25 cm.;
集叢名:	Quantitative finance series
標題:	Investment analysis - Mathematics. -
標題:	Securities - Prices -
標題:	Stock price forecasting - Mathematics. -
標題:	Electronic books. -
電子資源:	http://www.sciencedirect.com/science/book/9780750683210
附註:	Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008.
摘要註:	Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. Forecasting expected returns is an essential aspect of finance and highly technical The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives.
ISBN:	075068321X
內容註:	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.

Forecasting expected returns in the financial markets
Forecasting expected returns in the financial markets / edited by Stephen Satchell. - Amsterdam : Academic Press, 2007.. - x, 286 p. ; ill. ; 25 cm.. - (Quantitative finance series).
Market efficiency and forecasting.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008..
Includes bibliographical references and index..
ISBN 075068321XISBN 9780750683210
Investment analysis Securities Stock price forecasting Electronic books. -- Mathematics. -- Prices -- Mathematics.

Satchell, S.

Forecasting expected returns in the financial markets
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