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Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance) Hardcover – August 17, 2006


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Frequently Bought Together

Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance) + Quantitative Equity Portfolio Management: Modern Techniques and Applications (Chapman and Hall/CRC Financial Mathematics Series) + Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
Price for all three: $204.76

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Product Details

  • Series: McGraw-Hill Library of Investment and Finance
  • Hardcover: 658 pages
  • Publisher: McGraw-Hill; 1 edition (August 17, 2006)
  • Language: English
  • ISBN-10: 0071459391
  • ISBN-13: 978-0071459396
  • Product Dimensions: 9.5 x 6.3 x 1.6 inches
  • Shipping Weight: 2.5 pounds (View shipping rates and policies)
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (21 customer reviews)
  • Amazon Best Sellers Rank: #33,311 in Books (See Top 100 in Books)

Editorial Reviews

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 the University of San Francisco and on the academic board of IndexIQ. 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 professor of finance at the University of San Francisco and on the academic board of IndexIQ.

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


    More About the Author

    Ludwig B. Chincarini, CFA, PhD, is an Associate Professor of Finance in the School of Management at the University of San Francisco and a member of the academic council of IndexIQ, with over fifteen years of experience in the financial industry specializing in portfolio management, quantitative equity management, and derivatives. He was Director of Research at Rydex Global Advisors, where he co-developed the S&P 500 equal-weight index and helped launch the Rydex ETF program. He helped build an internet brokerage firm, FOLIOfn, designing its innovative basket trading and portfolio management platform. He also worked at the Bank for International Settlements (BIS) and Schroders. He is the coauthor of Quantitative Equity Portfolio Management. He received a PhD from the Massachusetts Institute of Technology and a BA from the University of California at Berkeley.

    Customer Reviews

    4.2 out of 5 stars
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    The authors managed to describe most key factors without using complicated mathematical models.
    James K.
    I am not the most sophisticated mathematically, but this book is so well written and explains all the concepts of this field in such a great way.
    Mark Twain
    It is one of the few books I still keep paper copies of while others were donated or kept in digital form.
    Paul J. Laveroni

    Most Helpful Customer Reviews

    17 of 18 people found the following review helpful By Dimitri Shvorob on August 22, 2007
    Format: Hardcover
    Should you buy this book if you already have Grinold and Kahn? Yes, if you are interested in factor models of equity returns: about 200 pages of CK are devoted to them, compared to a few in GK. If you are not, I would still recommend the purchase, but expect CK's stay on your bookshelf to be brief - enough time to read through, and spot things not found in GK, such as discussion of leverage and tax management. Finally, if you do not have Grinold and Kahn, read this book as as a warm-up, but do graduate to the GK tome. Alas, this, too, is a book for MBAs: it does not reflect state-of-the-art, and shies away from math or statistics.
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    23 of 26 people found the following review helpful By Yin Luo on November 30, 2006
    Format: Hardcover Verified Purchase
    This is a very practical entry-level quant equity portfolio management book (more practical and easier than Grinold & Kahn's book). It's a good place to start if you are interested in building quant models to manage equity portfolios. The book started from the beginning (e.g., how to pick factors), to how to build models to forecast returns, risk, and how to run optimization. This book didn't get into enough details about econometrics, database management, optimization, and programming, which are all essential to build a robust quant model. The authors mentioned pooled time-series cross-sectional econometric models, but didn't go beyond the surface. Overall, it's a good introduction book, but could be better.
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    17 of 19 people found the following review helpful By a quant on September 7, 2006
    Format: Hardcover
    In my opinion, this book should be on the bookshelf of every quantitative equity portfolio manager right next to his Grinold & Kahn. In addition to the basics, it covers a lot of the more practical aspects of quantitative euqity portfolio management compared to the Grinold & Kahn, but is not lacking any academic rigour. It is very readable and accessible for anyone with a professional finance background or interest.
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    6 of 6 people found the following review helpful By R. Perez on January 20, 2008
    Format: Hardcover Verified Purchase
    I purchased this book to focus on two broad areas: portfolio construction and backtesting. I was not disappointed--both sections were excellently presented. Written in clear, precise prose (no theory obfuscation) and then illustrated with rigorous formulas and copious examples. I found the treatment of factors especially well done from identifying their suitablity to their use in screening and modeling. The book is well organized; individual chapters can be read on a stand alone basis or a group of chapters taken together for a more comprehensive view. It's a volume that's exceptionally well suited for individuals with a solid grasp of fundamental analysis and a strong command of basic statistics.
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    4 of 4 people found the following review helpful By Lijun Shi on May 14, 2008
    Format: Hardcover
    This book goes into a lot of details of Factor models that I have not seen other books do. Even though a lot of the arguments could be found in other places and internet, but the value lies in actually have a book collect and cover such a wide range of ideas (well, within Factor model anyway) in one book. So a great value.

    Really, factor model is not difficult to create, it is difficult to be useful. A lot of the related ideas and the tested to be wrong experiences are extremely valuable to practitioners. So I would recommand this to anyone who actually want to create or use factor models.

    For the casual readers or who do not work on factor models, there are other books that can summarize the key ideas in a more concise and elegant way. The truth is, the real world is just not elegant or pretty at all, at least not most of the time. So we do have to live with the somewhat "ugly" details in the real Quant world. I guess that is one reason some reader could be bored to death by this book.

    Also there maybe readers who think the math is too easy (MBA level). Well, if you can explain it in plain language, please spare the more advanced (and complex) math. So that actually serves to its purpose well.
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    4 of 4 people found the following review helpful By Ryan A. Steele on January 24, 2007
    Format: Hardcover
    This is a strong learning guide as well as a useful reference. The book takes the subject of portfolio management the next logical step after a fourth year finance course. The classic topics of undergrad finance are taken to a new level. For example, the book assumes the reader previously understands Mean variance optimization, the topics are Mean variance optimization with constraints and/or transaction costs. Also an excellent introduction to Factor models in context of forecasting security pricing. Highly recommend.
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    3 of 3 people found the following review helpful By G. Perkins on January 3, 2009
    Format: Hardcover Verified Purchase
    This book is a great introduction to portfolio management. One can learn how to create factor models and the level of math used is accessable for a typical economics/government graduate working in financial services. The inclusion of tax and leverage considerations as well as a section on backtesting make the book especially useful for real world applications.

    I would recommend that the book include more on simulation in the backtesting section along with a detailed section/apenddix on fitting distributions. This is an area where I and everyone I know required another individual to train because there were no other easily accessable resources available.
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    2 of 2 people found the following review helpful By tensor on January 23, 2010
    Format: Hardcover
    A comprehensive introduction to quantitative equity portofolio management (QEPM). Readers with limited math backgrounds may find the book challenging, but even they will benefit from the initial chapters where the basics of QEPM are laid out. Highly recommended.
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