Forecasting expected returns in the financial markets [electronic resource] /
edited by Stephen Satchell.
- Amsterdam ; Boston : Academic Press, 2007.
- x, 286 p. : ill.
- Quantitative finance series .
- 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.
Electronic reproduction.
Palo Alto, Calif. :
ebrary,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
GBA765265 bnb
Uk
Stock price forecasting--Mathematics.
Securities--Prices--Mathematical models.
Investment analysis--Mathematics.
Electronic books.
HG4637 / .F66 2007eb
332.63/2042
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,
2013.
Available via World Wide Web.
Access may be limited to ebrary affiliated libraries.
GBA765265 bnb
Uk
Stock price forecasting--Mathematics.
Securities--Prices--Mathematical models.
Investment analysis--Mathematics.
Electronic books.
HG4637 / .F66 2007eb
332.63/2042