"Quantitative Equity Portfolio Management" combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, "Quantitative Equity Portfolio Management: Modern Techniques and Applications" presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, "Quantitative Equity Portfolio Management" serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.
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2012年錢博士所贈。量化投資不錯的書。
评分看瞭前言，大概就是迴顧基本麵分析、技術分析、學院派有效市場假說、無效異象與因子；對金融市場的認識與信念、風險；不認同EMH、緻敬FLAM、追尋Alpha；用行為學給量化寬客壯膽……
评分A thorough book - 看完整本書再迴頭看前麵的章節, 溫故而知新. I finally understand why people make unrealistically simplified assumptions (like normal) and run simulations based on them. At least they provide us some insightful guidance when we have no clue how the world truly looks like and behaves. No one has and will have a clue.
评分2012年錢博士所贈。量化投資不錯的書。
评分還不如看CO的書。
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