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Forecasting expected returns in the financial markets / edited by Stephen Satchell.

Contributor(s): Material type: TextSeries: Quantitative finance seriesPublication details: Amsterdam ; Boston : Academic Press, 2007.Description: x, 286 p. : ill. ; 25 cmISBN:
  • 9780750683210 (hbk.)
  • 075068321X (hbk.)
Subject(s): DDC classification:
  • 332.632042 22 FOR
LOC classification:
  • HG4637 .F66 2007
Online resources:
Partial contents:
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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Holdings
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
Book - Borrowing Central Library First floor Baccah 332.632042 FOR (Browse shelf(Opens below)) 6993 Available 000015780
Total holds: 0

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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