- Hardcover: 651 pages
- Publisher: Wiley (January 3, 2006)
- Language: English
- ISBN-10: 0471699004
- ISBN-13: 978-0471699002
- Product Dimensions: 6.3 x 1.4 x 9.2 inches
- Shipping Weight: 2.2 pounds (View shipping rates and policies)
- Average Customer Review: 7 customer reviews
- Amazon Best Sellers Rank: #1,912,489 in Books (See Top 100 in Books)
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Financial Modeling of the Equity Market: From CAPM to Cointegration Hardcover – January 3, 2006
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From the Back Cover
Financial Modeling of the Equity Market
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.
This book presents complex concepts in a concise and clear manner and includes a wealth of real-world examples and practical simulations. Filled with in-depth insight and expert advice, Financial Modeling of the Equity Market covers a wide range of important topics including:
- The major approaches to single-period portfolio analysis, including modeling, estimation, and optimization issues
- Static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration
- Estimation issues such as dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models
- Advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments
Financial Modeling of the Equity Market contains the latest techniques for modeling equity portfolios, and offers both financial professionals and students of finance a chance to improve their skills within this important area.
About the Author
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.
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Top customer reviews
This breadth turns into a bit of a weakness as the depth and detail of coverage is often inconsistent and uneven across the topics; technical details required to understand and implement some of the more interesting models are omitted on many occasions. However, the authors usually do give references to original work, so if needed the details can be recovered at the cost of extra time reading through academic papers.
My biggest gripe (and the reason why I give this book four stars and not five) is insufficient coordination between the authors. Some of the topics appear multiple times in different chapters of the book and are discussed twice from a different perspective. E.g. VAR models are introduced in chapter 12, where authors discuss their closed-form solutions. Then in chapter 15 VAR models are introduced again; this time the book discusses estimation of regression coefficients. ARDL and dynamic factor models are not only introduced twice in different chapters, but are in fact defined materially differently - apparently as a result of respective chapters having been written by different authors without sufficient coordination.
Finally, the book unfortunately has many typos, some more obvious and some less so, meaning that before model estimation formulas appearing in the book can be used for practical purposes they may need to be cross-verified from an independent source or by retracing their derivation.
Despite the drawbacks, I believe this is a timely, quite valuable book. Highly recommended.
A quality publisher like Wiley surely could have done a better job of editing. The book weaves in and out through a series of mathematical and econometric topics which don't hold together very well. (In general the mathematical chapters are better than the econometric ones.) There are too many typos and grammatical mistakes and at least one error (in the derivation of the Black-Litterman model) though I suspect there are many more. Nevertheless, I've probably spent more time with this book than any other on my shelf and I know a lot more because of it.
The financial modeling has a lot of different methods and directions, this book definitly did not cover all those new developments. But it is almost impossible to do that, instead, it does covers a lot interesting ground. And I find almost few other books overlap with this one so far, so even on cost per coverage basis, it is a good buy.
Also check out the other book written by this trio, "Robust Portfolio Optimization and Management".