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Fabozzi, Frank J.

Quantitative equity investing : techniques and strategies / Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm ; with the assistance of Joseph A. Cerniglia and Dessislava Pachamanova. - Hoboken, N.J. : John Wiley, c2010. - xvi, 511 p. : ill. ; 24 cm. - The Frank J. Fabozzi series . - Frank J. Fabozzi series. .

Includes bibliographical references and index.

Financial econometrics. 1, Linear regressions -- Financial econometrics. 2, Time series -- Common pitfalls in financial modeling -- Factor models and their estimation -- Factor-based trading strategies. 1, Factor construction and analysis -- Factor-based trading strategies. 2, Cross-sectional models and trading strategies -- Portfolio optimization : basic theory and practice -- Portfolio optimization : Bayesian techniques and the Black-Litterman model -- Robust portfolio optimization [with Joseph A. Cerniglia] -- Transaction costs and trade execution [with Dessislava Pachamanova] -- Investment management and algorithmic trading.

ISBN: 9780470262474 (cloth) 0470262478 (cloth)

LCCN: 2009050962

Nat. Bib. No.: GBA9A8534 bnb

Nat. Bib. Agency Control No.: 015414952 Uk

Subjects--Topical Terms:
Portfolio management.
Investments.

LC Class. No.: HG4529.5 / .F3346 2010

Dewey Class. No.: 332.63/2042