Quantitative Equity Portfolio Management, Second Edition: An Active Approach to Portfolio Construction and Management - Hardcover

Chincarini, Ludwig B.; Kim, Daehwan

Hardcover

ISBN 10: 1264268920 ISBN 13: 9781264268924

Verlag: McGraw Hill, 2022

Inhaltsangabe

Construct and manage a high-performance equity portfolio using today's most powerful quantitative methods

The classic guide that taught a generation of investors how to build high-yield quant portfolios, Quantitative Equity Portfolio Management has been fully updated with new data, research, information, and insights, along with the latest, most powerful quantitative tools and methods.

Renowned quant experts Ludwig Chincarini and Daehwan Kim walk you through the foundational principles of quantitative active management and explain how to build an equity portfolio using those powerful concepts. They provide clear explanations of all the topics you need to know―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. Inside, you’ll find:

• Proven methodology for creating an equity portfolio that maximizes returns and minimizes risks
• Techniques for to create a professionally managed portfolio
• Practical melding of financial theory with real-world practice
• Illustrative financial examples and case studies

Every chapter has accompanying practical problems with solutions and labs using real data available online.  In addition, the book as a whole has online 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.

Quantitative Equity Portfolio Management delivers everything you need to build a solid equity portfolio for your clients.

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McGraw-Hill authors represent the leading experts in their fields and are dedicated to improving the lives, careers, and interests of readers worldwide

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"There are far too few good books spanning the realm of quantitative finance. Dr. Chincarini has once again addressed this important need, with this welcome new edition of his excellent book with Dr. Kim, Quantitative Equity Portfolio Management. This will serve as a valuable text in academic Financial Engineering programs, and a go-to reference for any practitioner in this field."
—Rob Arnott, Founder and Chairman of the Board at Research Affiliates, Inc.

"Very few good practitioners’ cookbooks are available on quantitative equity portfolio management (QEPM). Ludwig Chincarini and Daehwan Kim’s book reduces this dearth. No previous volume has combined depth and breadth on the subject in a unified framework by a single set of authors.  Practitioners who are serious about quantitative investing and want to focus on the details of running the numbers should have this book on their shelves."
—Mark Rzepcznski, Founding Partner, CEO at AMPHI Research and Trading

"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, Holowesko Partners

"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 complex and important field. This book transforms a newbie into a pro by guiding the reader in a complete and smooth manner such that even non-researchers can understand the basics. When the book first came out, it was ahead of its time and influenced the field. The new edition brings new ideas and new techniques to an ever-growing field. A great book to give to new entrants in the field or to teach at university."
—Frank Fabozzi, Professor at EDHEC University, Prolific Finance Author, and Editor of Journal of Portfolio Management

"The book, Quantitative Equity Portfolio Management, and Professor Chincarini's discussions of it were part of a solid bedrock of knowledge that I proceeded to use in my trading and investing career. Transaction costs, liquidity constraints, correlations, finding mispriced securities, and portfolio theory are all highlighted in this great introduction to quantitative investment management."
—Danny Scinto, CFA, Senior Portfolio Manager and Partner at BFAM Partners 

"In what has become a quant industry must-read, this book offers a wealth of knowledge for both the seasoned practitioner and aspiring quant alike. Chincarini's style manages to keep the reader engaged while also serving as a reference resource to occupy your bookshelf for years to come."
—Matthew J. Walkup, Portfolio Manager, Putnam Investments 

"Systematic factor investing and factor models have emerged as key components in the investment process. Early in my own career, I found QEPM a helpful guide in how these models can bridge the gap between fundamental and quantitative stock investing. Recent MFE and MBA graduates, and new hires in portfolio construction, risk management or asset allocation will find this book valuable."
—Anil Rao, CFA, Executive Director at MSCI

"This impressive book provides a comprehensive overview of modern quantitative equity portfolio management. The authors do an excellent job explaining difficult concepts in a lucid and rigorous manner. The book will no doubt serve as a valuable resource for any investor seeking to apply state-of-the-art techniques to maximize their investment performance."
—Jose Menchero, Head of Portfolio Analytics Research at Bloomberg 

"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, Former Principal & Co-founder of JWM Partners and Long-Term Capital Management

"The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor."
—David Blitzer, Former Managing Director and Chairman, Standard & Poor’s Index Committee

"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."
—The Late Stephen A. Ross, Former Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology, Inventor of the APT, the Binomial Option Pricing Model, and Agency Theory

"This book provides the quantitative foundations for a quantitative fund manager. It is one of the main texts that I have used in the past 15 years for my investment classes for quantitative master students and selected undergraduates. The key feature of the book is its accessibility, particularly attractive for intuition-seeking readers."
—Guofu Zhou, Bierman and Spears Professor of Finance, Olin Business School, Washington University

"I used the first edition of QEPM to teach my Investments and Portfolio Management class at the University of Hong Kong. This one-of-a-kind book, together with the accompanying programming codes, provided almost everything a quant-oriented student needed to become a master. I cannot think of a better alternative for teaching portfolio management except for this new edition!"
—Chun Xia, Managing Director and Chief Economist, the Noah Holdings Group, Shanghai and Former Professor of Finance at the University of Hong Kong

Details zur Ausgabe

• Verlag: McGraw Hill
• Erscheinungsdatum: 2022
• ISBN 10: 1264268920
• ISBN 13: 9781264268924
• Einband: Tapa dura
• Sprache: Englisch
• Auflage: 2
• Anzahl der Seiten: 800
• Kontakt zum Hersteller: Nicht verfügbar