Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management
Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.
Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.
Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.
Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:
- A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks
- The latest techniques for building optimization into a professionally managed portfolio
- An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
- An excellent melding of financial theory with real-world practice
- A wealth of down-to-earth financial examples and case studies
Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials.
An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.