Author: Stephen Satchell
Publisher: Academic Press
Keywords: quantitative, finance, markets, financial, expected, returns, forecasting
Number of Pages: 296
Published: 2007-08-27
List price: $89.95
ISBN-10: 075068321X
ISBN-13: 9780750683210

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both acad

Author: Stephen Satchell
Publisher: Academic Press
Keywords: optimization, quantitative, finance, theory, applications, generation, optimizing
Number of Pages: 328
Published: 2009-10-22
List price: $139.00
ISBN-10: 0123749522
ISBN-13: 9780123749529

Editor Stephen Satchell brings us a book that truly lives up to its title: optimizing optimization by taking the lessons learned about the failures of portfolio optimization from the credit crisis and collecting them into one book, providing a variety of perspectives from the leaders in both industry and academia on how to solve these problems both in theory and in practice. Industry leaders are invited to present chapters that explain how their new breed of optimization software addresses the faults of previous versions. Software vendors present their best of breed optimization software, demo

Authors:John Knight, Stephen Satchell,
Publisher: Butterworth-Heinema
Keywords: finance, quantitative, models, factor, linear
Number of Pages: 304
Published: 2005-02-11
List price: $108.00
ISBN-10: 0750660066
ISBN-13: 9780750660068

The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investment processes th

Authors:Frank A. Sortino, Stephen Satchell,
Publisher: Butterworth-Heinema
Keywords: quantitative, finance, markets, financial, downside, risk, managing
Number of Pages: 272
Published: 2001-10-16
List price: unknow
ISBN-10: 0750648635
ISBN-13: 9780750648639

Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor’s goal.’Downside Risk in Financial Markets’ demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as wel

Authors:Alan Scowcroft, Stephen Satchell,
Publisher: Butterworth-Heinema
Keywords: quantitative, finance, implementation, construction, portfolio, advances
Number of Pages: 384
Published: 2003-08-18
List price: unknow
ISBN-10: 0750654481
ISBN-13: 9780750654487

Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidanc

Authors:Emmanual Acar, Stephen Satchell,
Publisher: Butterworth-Heinema
Keywords: quantitative, finance, second, rules, trading, advanced
Number of Pages: 449
Published: 2002-06-19
List price: $155.00
ISBN-10: 075065516X
ISBN-13: 9780750655163

Advanced Trading Rules is the essential guide to state of the art techniques currently used by the very best financial traders, analysts and fund managers. The editors have brought together the world’s leading professional and academic experts to explain how to understand, develop and apply cutting edge trading rules and systems. It is indispensable reading if you are involved in the derivatives, fixed income, foreign exchange and equities markets. ’Advanced Trading Rules’ demonstrates how to apply econometrics, computer modelling, technical and quantitative analysis to gener

Authors:Stephen Satchell, John Knight,
Publisher: Butterworth-Heinemann
Keywords: finance, quantitative, distributions, return
Number of Pages: 224
Published: 2001-01-17
List price: $131.00
ISBN-10: 0750647515
ISBN-13: 9780750647519

Quantitative methods have revolutionised the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking. One of the original contributions in this area is the classic by Cootner entitled ’The Random Nature of Stock Market Prices’. This work investigated the statistical properties of asset prices and was one of the first works to investigate this area in a rigorous manner.Much has happened in this field in the last 35 years and ’Return Distributions in Finance’ contains