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

Contributor(s): Series: Quantitative finance seriesPublication details: Amsterdam ; Boston : Academic Press, 2007.Description: x, 286 p. : ill. ; 25 cmSubject(s): Genre/Form: DDC classification:
  • 332.63/2042 22
LOC classification:
  • HG4637 .F66 2007eb
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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E-Book Taylor's Library-TU 332.63/2042 (Browse shelf(Opens below)) e-book

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.