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Financial Modeling of the Equity Market

Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm · ISBN 9780471699002
Financial Modeling of the Equity Market | Zookal Textbooks | Zookal Textbooks
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Publisher John Wiley & Sons Inc (US)
Author(s) Frank J. Fabozzi / Sergio M. Focardi / Petter N. Kolm
Subtitle From CAPM to Cointegration
Edition 1
Published 9th December 2005
Related course codes

From CAPM to Cointegration

An inside look at modern approaches to modeling equity
portfolios

Financial Modeling of the Equity Market is the
most comprehensive, up-to-date guide to modeling equity portfolios.
The book is intended for a wide range of quantitative analysts,
practitioners, and students of finance. Without sacrificing
mathematical rigor, it presents arguments in a concise and clear
style with a wealth of real-world examples and practical
simulations. This book presents all the major approaches to
single-period return analysis, including modeling, estimation, and
optimization issues. It covers both static and dynamic factor
analysis, regime shifts, long-run modeling, and cointegration.
Estimation issues, including dimensionality reduction, Bayesian
estimates, the Black-Litterman model, and random coefficient
models, are also covered in depth. Important advances in
transaction cost measurement and modeling, robust optimization, and
recent developments in optimization with higher moments are also
discussed.


Sergio M. Focardi (Paris, France) is a founding partner
of the Paris-based consulting firm, The Intertek Group. He is a
member of the editorial board of the Journal of Portfolio
Management. He is also the author of numerous articles and books on
financial modeling. Petter N. Kolm, PhD (New Haven, CT and New
York, NY), is a graduate student in finance at the Yale School of
Management and a financial consultant in New York City. Previously,
he worked in the Quantitative Strategies Group of Goldman Sachs
Asset Management, where he developed quantitative investment models
and strategies.

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