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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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From the Back Cover
Finance and Investing
Capitalize on Today's Most Powerful Quantitative Methodsto 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.
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:
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 Director of Quantitative Strategies at United States Commodity Funds. He was previously on the academic board of IndexIQ and Future Advisor, Director of Research at Rydex Global Advisors (now Guggenheim), Director of Research at FOLIOfn, a brokerage firm that pioneered basket trading, and analyst and portfolio manager at the BIS. He 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
Daehwan Kim, Ph.D., is a finance professor at Konkuk University.
Top Customer Reviews
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.
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.
Valuable supplemental material with solutions to end-of-chap exercises.
Most Recent Customer Reviews
Book did not come with CD is there a download to the contents?Published 4 months ago by Amazon Customer
I bougth the book in 2011 and loved it. I heard there has been lot of updates in newer editions. Has anyone bought the book in the last year please? Read morePublished 5 months ago by Al
I highly recommend reading.
I enjoyed reading it!!!!! Trust me, this is not a boring book, I love it!!!!
There is a right balance of fun and detail. Though English is not a my first language, you can still manage to enjoy it. Read morePublished 5 months ago by Amazon Customer
This is a very practical entry-level quant equity portfolio management book. This book goes into a lot of details of Factor models that I have not seen other books do. Read morePublished 5 months ago by Amazon Customer
This book is very helpful for me to study my campus finance course. I do love it so much!Published 5 months ago by Amazon Customer