Forecasting expected returns in the financial markets [electronic resource] / edited by Stephen Satchell.
Contributor(s): Satchell, S. (Stephen) | ebrary, Inc.
Material type:
BookSeries: Quantitative finance series: Publisher: Amsterdam ; Boston : Academic Press, 2007Description: x, 286 p. : ill.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 | Item type | Current location | Collection | Call number | URL | Copy number | Status | Date due | Item holds |
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E-book
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IUKL Library | Subscripti | http://site.ebrary.com/lib/kliuc/Doc?id=10190050 | 1 | 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, 2013. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.
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