Forecasting expected returns in the financial markets / edited by Stephen Satchell.
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| Superior document: | Quantitative finance series |
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| TeilnehmendeR: | |
| Year of Publication: | 2007 |
| Language: | English |
| Series: | Quantitative finance series.
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| Online Access: | |
| Physical Description: | x, 286 p. :; ill. |
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Table of 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.