Financial Modeling of the Equity Market: From CAPM to Cointegration
Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N.
Language: English
Published by Wiley, 2006
- First Edition
- Hardcover
- Used

Seller: Book House in Dinkytown, IOBA, Minneapolis, MN, U.S.A.Book House in Dinkytown, IOBA
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Very good hardcover copy, NOT ex-library. Binding tight and sturdy; text also very good. Cover has some rubbing, otherwise shelfwear is very minor. Image on cover different from stock photo. Ships same or next business day from Dinkytown in Minneapolis, Minnesota. Due to the size/weight of this book extra charges may apply for international shipping.
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- Title
- Financial Modeling of the Equity Market: From CAPM to Cointegration
- Author
- Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N.
- Publisher
- Wiley
- Publication year
- 2006
- Condition
- Very Good
- Dust jacket
- No Dust Jacket Issued
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 0471699004
- ISBN 13
- 9780471699002
- Edition
- First Edition.
- Item weight
- 37 ounces
- Dimensions
- 6x1x9
- Seller catalogs
- Business
Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.
Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
"Synopsis" may belong to another edition of this title.
About the Author
Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. He consults on, trains on, and implements quantitative financial models. He is also a member of the editorial board of the Journal of Portfolio Management and author of numerous articles and books on financial modeling.
Petter N. Kolm, PHD, is a doctoral student in finance at Yale University's School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management where he developed quantitative investment models and strategies.
"About the title" may belong to another edition of this title.
Book House in Dinkytown, IOBA
Minneapolis, MN, U.S.A.
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