Forecasting expected returns in the financial markets / edited by Stephen Satchell
(Quantitative finance series)
データ種別 | 図書 |
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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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配架場所 | 請求記号 | 巻 次 | ISBN | 資料番号 | 資料状態 | 利用注記 | コメント | 予約・取寄 | 申込書 | 仮想書架 |
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書庫5階 | HG:4637:F66:2007 | : hbk | 9780750683210 | 005034486 |
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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 |
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一般注記 | Includes bibliographical references and index |
著者標目 | Satchell, S. (Stephen) |
件 名 | LCSH:Stock price forecasting -- Mathematics
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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 |
ISBN | 9780750683210 |
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