Financial Modeling of the Equity Market From CAPM to Cointegration
, by Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N.
- ISBN: 9780471699002 | 0471699004
- Cover: Hardcover
- Copyright: 1/3/2006
In Financial Modeling of the Equity Market, Frank Fabozzi, Sergio Focardi, and Petter Kolm provide you with the tools you need to succeed in managing equity portfolios.
FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management.
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.
| Preface | xiii | ||||
| Acknowledgments | xvii | ||||
| About the Authors | xix | ||||
| CHAPTER 1 Introduction | 1 | (12) | |||
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1 | (7) | |||
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8 | (1) | |||
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9 | (4) | |||
| PART ONE Portfolio Allocation: Classical Theory and Modern Extensions | 13 | (176) | |||
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15 | (36) | |||
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17 | (2) | |||
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19 | (3) | |||
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22 | (12) | |||
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34 | (6) | |||
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40 | (2) | |||
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42 | (6) | |||
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48 | (3) | |||
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51 | (36) | |||
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52 | (8) | |||
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60 | (3) | |||
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63 | (5) | |||
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68 | (6) | |||
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74 | (6) | |||
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80 | (2) | |||
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82 | (3) | |||
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85 | (2) | |||
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87 | (28) | |||
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88 | (12) | |||
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100 | (13) | |||
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113 | (2) | |||
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115 | (34) | |||
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116 | (15) | |||
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131 | (8) | |||
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139 | (2) | |||
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141 | (1) | |||
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142 | (5) | |||
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147 | (2) | |||
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149 | (40) | |||
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150 | (8) | |||
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158 | (1) | |||
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159 | (17) | |||
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176 | (4) | |||
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180 | (7) | |||
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187 | (2) | |||
| PART TWO Managing Uncertainty in Practice | 189 | (132) | |||
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191 | (24) | |||
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191 | (2) | |||
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193 | (1) | |||
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194 | (13) | |||
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207 | (1) | |||
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208 | (4) | |||
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212 | (1) | |||
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213 | (2) | |||
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215 | (52) | |||
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217 | (5) | |||
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222 | (9) | |||
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231 | (3) | |||
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234 | (7) | |||
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241 | (4) | |||
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245 | (14) | |||
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259 | (5) | |||
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264 | (1) | |||
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265 | (2) | |||
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267 | (54) | |||
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267 | (2) | |||
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269 | (6) | |||
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275 | (6) | |||
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281 | (23) | |||
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304 | (14) | |||
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318 | (3) | |||
| PART THREE Dynamic Models for Equity Prices | 321 | (116) | |||
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323 | (24) | |||
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323 | (10) | |||
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333 | (6) | |||
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339 | (4) | |||
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343 | (2) | |||
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345 | (1) | |||
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345 | (2) | |||
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347 | (20) | |||
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348 | (2) | |||
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350 | (3) | |||
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353 | (1) | |||
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353 | (1) | |||
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354 | (3) | |||
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357 | (1) | |||
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358 | (4) | |||
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362 | (1) | |||
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363 | (1) | |||
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364 | (1) | |||
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365 | (2) | |||
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367 | (40) | |||
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368 | (2) | |||
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370 | (15) | |||
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385 | (1) | |||
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386 | (1) | |||
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386 | (6) | |||
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392 | (1) | |||
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393 | (2) | |||
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395 | (1) | |||
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396 | (1) | |||
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397 | (2) | |||
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399 | (3) | |||
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402 | (1) | |||
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402 | (2) | |||
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404 | (1) | |||
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405 | (2) | |||
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407 | (30) | |||
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407 | (3) | |||
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410 | (5) | |||
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415 | (4) | |||
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419 | (5) | |||
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424 | (2) | |||
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426 | (2) | |||
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428 | (2) | |||
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430 | (1) | |||
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431 | (2) | |||
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433 | (4) | |||
| PART FOUR Model Estimation and Model Risk Mitigation | 437 | (140) | |||
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439 | (38) | |||
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439 | (3) | |||
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442 | (2) | |||
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444 | (1) | |||
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445 | (1) | |||
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446 | (4) | |||
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450 | (1) | |||
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450 | (3) | |||
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453 | (1) | |||
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454 | (2) | |||
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456 | (8) | |||
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464 | (4) | |||
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468 | (1) | |||
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469 | (2) | |||
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471 | (4) | |||
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475 | (2) | |||
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477 | (52) | |||
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477 | (1) | |||
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478 | (1) | |||
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479 | (3) | |||
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482 | (17) | |||
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499 | (2) | |||
|
501 | (1) | |||
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502 | (1) | |||
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503 | (3) | |||
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506 | (3) | |||
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509 | (11) | |||
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520 | (1) | |||
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521 | (2) | |||
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523 | (1) | |||
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524 | (1) | |||
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524 | (1) | |||
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525 | (4) | |||
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529 | (26) | |||
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530 | (13) | |||
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543 | (3) | |||
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546 | (2) | |||
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548 | (4) | |||
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552 | (3) | |||
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555 | (22) | |||
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555 | (3) | |||
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558 | (5) | |||
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563 | (10) | |||
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573 | (1) | |||
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574 | (1) | |||
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575 | (2) | |||
| APPENDICES | 577 | (52) | |||
|
579 | (24) | |||
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579 | (9) | |||
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588 | (6) | |||
|
594 | (1) | |||
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595 | (8) | |||
|
603 | (16) | |||
|
603 | (1) | |||
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604 | (2) | |||
|
606 | (2) | |||
|
608 | (2) | |||
|
610 | (2) | |||
|
612 | (1) | |||
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613 | (2) | |||
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615 | (1) | |||
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616 | (3) | |||
|
619 | (10) | |||
| INDEX | 629 |
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