Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management

by Ludwig B. Chincarini, Daehwan Kim

Overview

Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.

Product Details

ISBN-13:	9780071492386
Publisher:	McGraw Hill LLC
Publication date:	08/18/2010
Series:	McGraw-Hill Library of Investment and Finance
Sold by:	Barnes & Noble
Format:	eBook
Pages:	658
File size:	21 MB
Note:	This product may take a few minutes to download.

About the Author

Ludwig B. Chincarini, CFA, is a finance professor atGeorgetown University.

Daehwan Kim, Ph.D., is a finance professor at American University.

Table of Contents

I An overview of QEPM

1. the Power of QEPM

2. The Fundamentals of QEPM

3. Basic QEPM Models

II Portfolio Construction and Maintenance

4. Factors and Factor Choice

5. Stock Screening and Ranking

6. Fundamentals Factor Models

7. Economic Factor Models

8. Forecasting Factor Premiums and Exposures

9. Portfolio Weights

10. Rebalancing and Transactions Costs

11. Tax Management

III Mojo

12. Leverage

13. Market Neutral

14. Bayesian

IV Performance Analysis

15. Perfomance Measurement and Attribution

V Practical Application

16. The Backtesting Process

17. The Portfilios' Performance

Contents of CD

Glossary

Bibliography

Index