Forecasting expected returns in the financial markets [electronic resource] / edited by Stephen Satchell
- Published
- Amsterdam ; Boston : Academic Press, 2007.
- Physical Description
- x, 286 p. : ill. ; 24 cm.
- Additional Creators
- Satchell, Stephen, 1949-
Access Online
- Series
- Restrictions on Access
- License restrictions may limit access.
- 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.
- Subject(s)
- Genre(s)
- ISBN
- 9780750683210 (hbk.)
075068321X (hbk.) - Bibliography Note
- Includes bibliographical references and index.
View MARC record | catkey: 19794978