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Forecasting expected returns in the financial markets [electronic resource] / edited by Stephen Satchell.

Contributor(s): Satchell, S. (Stephen) | ebrary, Inc.
Series: Quantitative finance series: Publisher: Amsterdam ; Boston : Academic Press, 2007Description: x, 286 p. : ill. ; 25 cm.Subject(s): Stock price forecasting -- Mathematics | Securities -- Prices -- Mathematical models | Investment analysis -- MathematicsGenre/Form: Electronic books. DDC classification: 332.63/2042 Online resources: An electronic book accessible through the World Wide Web; click to view
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.
Item type Current location Call number Status Date due Barcode
332.63/2042 (Browse shelf) Available

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.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2011. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.