书目详细信息
： Forecasting expected returns in the financial markets /
书目信息 机读格式(MARC)
| ISBN： | 9780750683210 (hbk.) |
|---|---|
| ISBN： | 075068321X (hbk.) |
| 编目源： | UKM UKM BAKER YDXCP PIT IAC IQU DLC |
| 题名： | Forecasting expected returns in the financial markets / edited by Stephen Satchell. |
| 索书号： | F830.9-32/S253E |
| 出版发行项： | Amsterdam ; Boston : Academic Press, 2007. |
| 载体形态： | x, 286 p. : ill. ; 25 cm. |
| 丛编说明： | Quantitative finance series |
| 书目附注： | Includes bibliographical references and index. |
| 格式化内容附注： | 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. |