Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment & Finance)

3.96 avg rating
( 25 ratings by GoodReads )
 
9780071459396: Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment & Finance)

Praise for Quantitative Equity Portfolio Management

“A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.”ERIC ROSENFELD, Principal & Co-founder of JWM Partners

“This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice.”STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology

“The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.”DAVID BLITZER, Managing Director and Chairman, Standard & Poor's Index Committee

“Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.” MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors

“This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.” DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.

Capitalize on Today's Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio

Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.

Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.

Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.

Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:

  • A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks
  • The latest techniques for building optimization into a professionally managed portfolio
  • An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
  • An excellent melding of financial theory with real-world practice
  • A wealth of down-to-earth financial examples and case studies

    Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials.

    An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.

    About the Authors

    Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance at Georgetown University as well as a financial consultant to institutional investors. Previously, he was director of research at Rydex Global Advisors, the index mutual fund company. Prior to that, Dr. Chincarini was director of research at FOLIOfn, a brokerage firm that pioneered basket trading. He also worked at the Bank for International Settlements and holds a Ph.D. in economics from the Massachusetts Institute of Technology.

    Daehwan Kim, Ph.D., is a professor of economics at the American University in Bulgaria. Previously, he was employed as a financial economist for FOLIOfn. Dr. Kim also worked as a financial journalist, writing regular columns on financial markets for business media in Asia. He also holds a Ph.D. in economics from Harvard University.

  • "synopsis" may belong to another edition of this title.

    From the Back Cover:

    [Back Cover Copy]

    Finance and Investing

    Capitalize on Today's Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio!

    Praise for Quantitative Equity Portfolio Management

    “A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.”ERIC ROSENFELD, Principal & Co-founder of JWM Partners

    “This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice.”_STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology

    “The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.” _DAVID BLITZER, Managing Director and Chairman, Standard & Poor's Index Committee

    “Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.”_MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors

    “This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.”_DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.

    [Flap Copy

    Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.

    Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.

    Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.

    Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:

  • A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks
  • The latest techniques for building optimization into a professionally managed portfolio
  • An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
  • An excellent melding of financial theory with real-world practice
  • A wealth of down-to-earth financial examples and case studies

    Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials.

    An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.

    About the Authors

    Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance at Georgetown University as well as a financial consultant to institutional investors. Previously, he was director of research at Rydex Global Advisors, the index mutual fund company. Prior to that, Dr. Chincarini was director of research at FOLIOfn, a brokerage firm that pioneered basket trading. He also worked at the Bank for International Settlements and holds a Ph.D. in economics from the Massachusetts Institute of Technology.

    Daehwan Kim, Ph.D., is a professor of economics at the American University in Bulgaria. Previously, he was employed as a financial economist for FOLIOfn. Dr. Kim also worked as a financial journalist, writing regular columns on financial markets for business media in Asia. He also holds a Ph.D. in economics from Harvard University.

  • About the Author:

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

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

    "About this title" may belong to another edition of this title.

    Top Search Results from the AbeBooks Marketplace

    1.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill (2006)
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Hardcover Quantity Available: 1
    Seller
    Ergodebooks
    (RICHMOND, TX, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill, 2006. Hardcover. Book Condition: New. Bookseller Inventory # SONG0071459391

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    27.82
    Convert Currency

    Add to Basket

    Shipping: 3.17
    Within U.S.A.
    Destination, Rates & Speeds

    2.

    Chincarini, Ludwig B; Kim, Daehwan
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Quantity Available: 5
    Seller
    GreatBookPrices
    (Columbia, MD, U.S.A.)
    Rating
    [?]

    Book Description Book Condition: New. Bookseller Inventory # 4103376-n

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    32.86
    Convert Currency

    Add to Basket

    Shipping: 2.10
    Within U.S.A.
    Destination, Rates & Speeds

    3.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill Professional 2006-08-01 (2006)
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Quantity Available: 3
    Seller
    Chiron Media
    (Wallingford, United Kingdom)
    Rating
    [?]

    Book Description McGraw-Hill Professional 2006-08-01, 2006. Book Condition: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Bookseller Inventory # NU-BER-00010747

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    34.31
    Convert Currency

    Add to Basket

    Shipping: 2.99
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    4.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by Mcgraw Hill Publishers
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Quantity Available: > 20
    Seller
    INDOO
    (Avenel, NJ, U.S.A.)
    Rating
    [?]

    Book Description Mcgraw Hill Publishers. Book Condition: New. Brand New. Bookseller Inventory # 0071459391

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    34.62
    Convert Currency

    Add to Basket

    Shipping: 2.78
    Within U.S.A.
    Destination, Rates & Speeds

    5.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill Education (2006)
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Hardcover Quantity Available: 1
    Seller
    Griffin Books
    (Stamford, CT, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education, 2006. Hardcover. Book Condition: New. Brand new gift quality hardcover in jacket. Please email for photos. Larger books or sets may require additional shipping charges. Books sent via US Postal. Bookseller Inventory # 76299

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    36.26
    Convert Currency

    Add to Basket

    Shipping: 3.18
    Within U.S.A.
    Destination, Rates & Speeds

    6.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill Education - Europe 2006-08-01 (2006)
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Quantity Available: 5
    Seller
    Blackwell's
    (Oxford, OX, United Kingdom)
    Rating
    [?]

    Book Description McGraw-Hill Education - Europe 2006-08-01, 2006. multimedia item. Book Condition: New. Bookseller Inventory # 9780071459396

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    37.50
    Convert Currency

    Add to Basket

    Shipping: 4.50
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    7.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill Education - Europe (2006)
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Hardcover First Edition Quantity Available: 3
    Rating
    [?]

    Book Description McGraw-Hill Education - Europe, 2006. Book Condition: New. 2006. 1st Edition. Hardcover. Offers details for selecting and aggregating factors, building a risk model, and more. Series: McGraw-Hill Library of Investment & Finance. Num Pages: 658 pages, Illustrations. BIC Classification: KF. Category: (P) Professional & Vocational. Dimension: 238 x 167 x 41. Weight in Grams: 1116. . . . . . . Bookseller Inventory # V9780071459396

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    42.40
    Convert Currency

    Add to Basket

    Shipping: FREE
    From Ireland to U.S.A.
    Destination, Rates & Speeds

    8.

    Chincarini, Ludwig B; Kim, Daehwan
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Hardcover Quantity Available: 10
    Seller
    Ria Christie Collections
    (Uxbridge, United Kingdom)
    Rating
    [?]

    Book Description Hardback. Book Condition: New. Not Signed; Praise for Quantitative Equity Portfolio Management A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management. ERIC ROSENFELD, Principal & Co-founder of JWM Partners. book. Bookseller Inventory # ria9780071459396_rkm

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    40.54
    Convert Currency

    Add to Basket

    Shipping: 2.86
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    9.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill Education
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Hardcover Quantity Available: 3
    Seller
    Movie Mars
    (Indian Trail, NC, U.S.A.)
    Rating
    [?]

    Book Description McGraw-Hill Education. Hardcover. Book Condition: New. 0071459391 Brand New Book. Ships from the United States. 30 Day Satisfaction Guarantee!. Bookseller Inventory # 4153515

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    40.30
    Convert Currency

    Add to Basket

    Shipping: 3.17
    Within U.S.A.
    Destination, Rates & Speeds

    10.

    Chincarini, Ludwig B; Kim, Daehwan
    Published by McGraw-Hill Education - Europe, United States (2006)
    ISBN 10: 0071459391 ISBN 13: 9780071459396
    New Quantity Available: 1
    Seller
    The Book Depository
    (London, United Kingdom)
    Rating
    [?]

    Book Description McGraw-Hill Education - Europe, United States, 2006. Mixed media product. Book Condition: New. 228 x 156 mm. Language: English . Brand New Book. Praise for Quantitative Equity Portfolio Management A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management. ERIC ROSENFELD, Principal Co-founder of JWM Partners This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice. STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor. DAVID BLITZER, Managing Director and Chairman, Standard Poor s Index Committee Making the transition from the walls of academia to Wall Street has traditionally been a difficult task!This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting. MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors This text provides an excellent synthesis of a broad range of quantitative portfolio management methods!In addition, there are a number of insightful innovations that extend and improve current techniques. DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc. Capitalize on Today s Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts. Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking!to fundamental factor models, economic factor models, and forecasting factor premiums and exposures. Readers will also find step-by-step coverage of portfolio weights! rebalancing and transaction costs!tax management!leverage! market neutral!Bayesian !performance measurement and attribution!the back testing process!and portfolio performance. Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features: A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks The latest techniques for building optimization into a professionally managed portfolio An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data An excellent melding of financial theory with real-world practice A wealth of down-to-earth financial examples and case studies Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials. An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients. About the Authors Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance at Georgetown University as well as a financial consultant to institutional investor. Bookseller Inventory # AAZ9780071459396

    More Information About This Seller | Ask Bookseller a Question

    Buy New
    44.12
    Convert Currency

    Add to Basket

    Shipping: FREE
    From United Kingdom to U.S.A.
    Destination, Rates & Speeds

    There are more copies of this book

    View all search results for this book