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Forecasting expected returns in the financial markets / edited by Stephen Satchell
(Quantitative finance series)

データ種別 図書
出版者 Amsterdam ; Boston : Elsevier/Academic Press
出版年 2007
本文言語 英語
大きさ x, 286 p. : ill. ; 24 cm

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書庫5階 HG:4637:F66:2007 : hbk 9780750683210 005034486

書誌詳細を非表示

内容注記 Market efficiency and forecasting / Wayne Ferson
A step-by-step guide to the Black-Litterman model / Thomas Idzorek
A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction / Stephen Satchell and Alan Scowcroft
Optimal portfolios from ordering information / Robert Almgren and Neil Chriss
Some choices in forecast construction / Stephen Wright and Stephen Satchell
Bayesian analysis of the Black-Scholes option price / Theo Darsinos and Stephen Satchell
Bayesian forecasting of options prices : a natural framework for pooling historical and implied volatility information / Theo Darsinos and Stephen Satchell
Robust optimization for utilizing forecasted returns in institutional investment / Christos Koutsoyannis and Stephen Satchell
Cross-sectional stock returns in the UK market : the role of liquidity risk / Soosung Hwang and Chensheng Lu
The information horizon : optimal holding period, strategy aggression and model combination in a multi-horizon framework / Edward Fishwick
Optimal forecasting horizon for skilled investors / Stephen Satchell and Oliver Williams
Investments as bets in the binomial asset pricing model / David Johnstone
The hidden binomial economy and the role of forecasts in determining prices / Stephen Satchell and Oliver Williams
一般注記 Includes bibliographical references and index
著者標目 Satchell, S. (Stephen)
件 名 LCSH:Stock price forecasting -- Mathematics  全ての件名で検索
LCSH:Securities -- Prices -- Mathematical models  全ての件名で検索
LCSH:Investment analysis -- Mathematics  全ての件名で検索
分 類 LCC:HG4637
DC22:332.63/2042
巻冊次 : hbk ; ISBN:9780750683210 ; XISBN:075068321X REFWLINK
ISBN 9780750683210
目次/あらすじ

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