大葉大學圖書館 |

Forecasting expected returns in the financial markets[electronic resource] /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
杜威分類號:	332.63/2042
書名/作者:	Forecasting expected returns in the financial markets/ edited by Stephen Satchell.
其他作者:	Satchell, S.
出版者:	Amsterdam ; : Academic Press,, 2007.
面頁冊數:	x, 286 p. : : ill. ;; 25 cm.
叢書名:	Quantitative finance series
標題:	Stock price forecasting - Mathematics.
標題:	Securities - Prices
標題:	Investment analysis - Mathematics.
ISBN:	9780750683210
ISBN:	075068321X
書目註:	Includes bibliographical references and index.
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.
摘要、提要註:	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.
電子資源:	An electronic book accessible through the World Wide Web; click for information

Forecasting expected returns in the financial markets[electronic resource] /
Forecasting expected returns in the financial markets[electronic resource] /edited by Stephen Satchell. - Amsterdam ;Academic Press,2007. - x, 286 p. :ill. ;25 cm. - Quantitative finance series.

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.

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.

Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.

Mode of access: World Wide Web.

ISBN: 9780750683210

Source: 135533:135668Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

416647
Stock price forecasting
--Mathematics.Index Terms--Genre/Form:

336502
Electronic books.

LC Class. No.: HG4637 / .F66 2007eb

Dewey Class. No.: 332.63/2042

Forecasting expected returns in the financial markets[electronic resource] /
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504 $a Includes bibliographical references and index.
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520 $a 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.
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