Book Description
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.
Capitalize on Today's Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio
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 Georgetown University as well as a financial consultant to institutional investors. 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.
Customer Reviews:
The book on factor models.......2007-08-22
Should you buy this book if you already have Grinold and Kahn? Emphatically 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 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. (E.g., discussion of leverage and tax management).
If you have not read Grinold and Kahn, start with this one - it is more accessible, and Chincarini and Kim offer a steady flow of worked-out examples, plus a nice collection of end-of-chapter questions - but do graduate to the GK tome.
Alas, just as GK, CK is a book for MBAs: neither reflects state-of-the-art (state-of-the-art in late 1980s, perhaps?), and each one gets sloppy when more math is called for: GK sags in the part on information analysis, and CK in Chapter 14, 'Bayesian alpha'. Statistics? Just use OLS.
Finding good up-to-date reading on QEPM thus remains a challenge, but CK (as well as GK) is a worthwhile book to read in the beginning.
Excellent Book - Highly Recommend.......2007-01-25
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.
A practical entry-level quant equity portfolio management book.......2006-12-01
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.
A very readable primer on quantiative equity portfolio management.......2006-09-07
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.
Book Description
The first in-depth analysis of pairs trading
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly.
Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Download Description
The first in-depth analysis of pairs trading
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly.
Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Customer Reviews:
Very interesting material.......2007-05-25
It's a good read even with the somewhat unorthodox mathematical notation. The overall concept of pairs trading is introduced well, with just enough detail to tempt the more adventurous gambler. The author appears well versed in the subject and writes well but assumes a relatively high level of mathematical maturity on the part of the reader.
the only good introduction to pairs trades and high frequency finance.......2007-04-15
When people talk about "quant" stuff, they are generally talking about two fairly distinct kinds of quant. There are the derivatives guys (options sell side & risk hedgers), and the 'statistical arbitrage' guys. This is one of the best books for a larval 'statistical arbitrage' guy. 'Statistical arbitrage' is a term referring to the techniques used by sophisticated hedge funds and trading desks to provide 'risk free' returns. I stick in the scare quotes around these phrases, because they're not really arbitrage, though they can be pretty decoupled from market returns. The techniques go well beyond just trading pairs, so the phrase, 'stat arb' is probably with us for good, even though it is often neither stat nor arb. The mean reverting versions of these techniques were largely invented by Nunzio Tartaglia and company (primarily Gerry Bamberger according to Thorp) at Morgan Stanley in the 1980s. Many of his underlings went on to found their own hedge funds, and the secret eventually became relatively common knowledge. Boesky was one of the more famous practitioners of merger arbitrage, which is an older, related technique.
This book is a fun introduction to 'statistical arbitrage,' concentrating on the standard "mean reverting pairs" variety, and a decent explanation of merger arbitrage which he unifies with mean reverting stat arb in an interesting way. These two strategies still form the basis of a large number of high frequency techniques in one form or another. In fact, the book provides enough background material to be useful for all kinds of techniques for finding alpha; it has a very clear treatment of factor models, time series analysis (best low level one I have ever read, anywhere) and what market neutrality is and isn't. He provides a decent amount of discussion of the complexities surrounding tradeability and other practical issues that get swept under the rug in most books.
Sure, there are a lot of specific 'stat arb' techniques he doesn't mention explicitly. He doesn't talk about basket trading plays, index arbitrage, volatility arbitrage or any of the other myriad clever (and often over my head) techniques used by sophisticated fund managers to vacuum up loose change that dumb people leave on the street. So what? Vidyamurthy gives you enough material you can go out and learn the practical details of real strategies on your own. If you're gifted enough, you can go figure them out (and more) for yourself once you understand the material in the book: they're mostly variations on these themes. Why should Vidyamurthy give away the keys to the kingdom for $100? Be happy he wrote the book at all. Presumably, he makes a living actually doing 'stat arb' type things, and his motivation was to have a book to give to his underlings so he didn't have to explain GARCH and cointegration to someone who breathes out of his mouth for the 9,000th time.
Anyone who can't read this book simply doesn't have the intellectual horsepower or attention span to do this kind of trading. The book is almost excruciatingly clear, it is very short, and even does the MBA's the favor of tucking the scary mathematics involving matrices and standard deviations safely away in chapter appendices. I mean, it even has cartoons and funny anecdotes (which are actually very funny: I detect a Wodehouse fan in Vidyamurthy). You have to actually pay attention while you read, and some sections, you may have to read twice. The concepts will not leap off the page and embed themselves into your frontal lobes, but it really isn't that difficult for any intelligent person to understand. I can think of no better introduction to pairs trading, or general alpha quant type stuff than this book. It should probably be on every wannabe quant or trader's desk if it isn't already etched into the fiber of their being.
Covers the right stuff but poorly written.......2007-03-08
I was looking for books on stat arb and risk arb and was surprised that not many titles showed up for my search on Amazon. I eventually bought this book (a used copy) and although the book covers exactly the kind of stuff you want to learn about pairs trading, the writing is very poor and there are way too many places where the sentences don't make any sense, regardless of your math/stat background. This book is not a how-to book. It's a general treatise and not a good one at that. I cannot recommend this book. You may want to check out Tsay's financial time series analysis book which, although not specifically for pairs trading, has all the essential materials.
Good overview, but only just.......2007-01-19
I have mixed feelings about this book: on the one hand it's a good overview of statistical and risk (merger) arbitrage. On the other, it is pretty shallow in terms of both practice and theory.
It is certainly not possible to use it directly for trading (like any other published book, I guess). An example of a theoretical flaw is the dodgy usage of bootstrap methodology which is a lot more assumption-sensitive tool than it is generally believed. One more example when the idea itself is nice but the implementation is not: the author shows how to assess VaR for a pair of assets and doesn't seem to notice that the estimated probability of deal-break is risk-neutral, not physical probability and thus can not be directly used to estimate VaR which is tied to the physical probability distribution.
There's a possibility, however, that these and other discrepancies are a result of the author's unwillingless to disclose too much. Indeed, I have yet to see a book that properly covers the gap between the original cointegration results (obtained around 1985) and their real industrial implementation. If anyone can suggest a deeper book on Statistical Arbitrage, please let me know (click on my name above).
Nice read!! .......2006-10-20
Totally agree with Dr. Bruhn. The book keeps mathematics to a minimum, simply reviewing a collection of time series analysis techniques and putting those into a trading context. I can understand however that this might be a rather tedious read for someone who hasn't been exposed to statistics or time series analysis before.
For someone who has the ambition to get on top of the material, I would recommend reading Chris Brooks's "Introductory econometrics for finance" first or as accompanying text. A quite easy and enjoyable read into time series analysis.
I haven't looked into pairs trading before, but since I have taken a postgrad course in econometrics, all the concepts were familiar to me and partially covered in my course. I found the book to be a nice summary of what I had learned which might serve me well as a reference for the future.
My conclusion is that this book is a nice, enjoyable read for someone with an econometric/ statistical background, but may be challenging (but certainly managable with good accompanying texts) for newbies.
Book Description
This practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory.
Customer Reviews:
Comprehensive and Lucid.......2005-11-15
It is seldom that a book of this nature covers the terrain in such a lucid and erudite fashion, which can be appreciated by a broader audience. There are weaknesses though. I have a Ph.D on the topic, namely portfolio optimisation and this book, although published just prior to my final thesis, seemed to miss my radar, which is unfortunate. There is a wealth of information contained in the book, although referencing is a little thin, for example the monte carlo technique used to resample data inputs has been patented by Michaud, of which there is substantial referral. This makes the implementation of such a technique impossible without paying the ridiculous royalties for a fairly straightforward mathematical process. Furthermore, more could have been said about investment time horisons and mean reversion characteristics. The shorter the investment time horison the more volatile the returns, which tends to push the monte carlo portfolio towards a naive portfolio. This technique is more stable the longer the investment horison, and is recommended by me. Furthermore the technique is computationally laborious, and perhaps the number of iterations could be increased, to reduce computational tediousness, thereby reducing the number of outliers which may not have as large an impact on resultant portfolios. In other words there could be an inverse relationship between assets and iterations. Anyway let me not get ahead of myself. The book is expensive, perhaps not a good buy for a layperson. Anybody seriously considering quantitative investment management should add the book to their collection. The other would be "Efficient Asset Management" by Richard Michaud.
Highly recommended.......2003-06-29
If you are looking for a comprehensive book that explains and analyses quantitative portfolio optimisation and asset allocation, then this is probably the one for you. The author has clearly taken a lot of time to lay out the subject in a logical and easily understandable way, despite the fact that the subject matter is very complex. Having read this book, you'll be able to apply quantitative portfolio analysis and optimisation techniques yourself, and the book's final part on risk management - which includes chapters on active risk management, monte carlo simulations and extreme value thery - is a must for anyone in need of more adcanced risk management skills. Only draw back is its somewhat technical nature, but since the most technical stuff is in the appendices, the reader can skip it without major problems. An excellent and very accesible book.
Great practical guide.......2003-06-29
Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management.
Book Description
Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal.
'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show the superiority of downside risk models to variance models in terms of risk measurement and decision making. Variance considers all uncertainty to be risky. Downside-risk only considers returns below that needed to accomplish the investor's goal, to be risky.
Risk is one of the biggest issues facing the financial markets today. 'Downside Risk in Financial Markets' outlines the major issues for Investment Managers and focuses on "downside-risk" as a key activity in managing risk in investment/portfolio management. Managing risk is now THE paramount topic within the financial sector and recurring losses through the 1990s has shocked financial institutions into placing much greater emphasis on risk management and control.
Free Software Enclosed
To help you implement the knowledge you will gain from reading this book, a CD is enclosed that contains free software programs that were previously only available to institutional investors under special licensing agreement to The pension Research Institute. This is our contribution to the advancement of professionalism in portfolio management.
The Forsey-Sortino model is an executable program that:
1. Runs on any PC without the need of any additional software.
2. Uses the bootstrap procedure developed by Dr. Bradley Effron at Stanford University to uncover what could have happened, instead of relying only on what did happen in the past. This is the best procedure we know of for describing the nature of uncertainty in financial markets.
3. Fits a three parameter lognormal distribution to the bootstrapped data to allow downside risk to be calculated from a continuous distribution. This improves the efficacy of the downside risk estimates.
4. Calculates upside potential and downside risk from monthly returns on any portfolio manager.
5. Calculates upside potential and downside risk from any user defined distribution.
Forsey-Sortino Source Code:
1. The source code, written in Visual Basic 5.0, is provided for institutional investors who want to add these calculations to their existing financial services.
2. No royalties are required for this source code, providing institutions inform clients of the source of these calculations. A growing number of services are now calculating downside risk in a manner that we are not comfortable with. Therefore, we want investors to know when downside risk and upside potential are calculated in accordance with the methodology described in this book.
Riddles Spreadsheet:
1. Neil Riddles, former Senior Vice President and Director of Performance Analysis at Templeton Global Advisors, now COO at Hansberger Global Advisors Inc., offers a free spreadsheet in excel format.
2. The spreadsheet calculates downside risk and upside potential relative to the returns on an index
Brings together a range of relevant material, not currently available in a single volume source
Provides practical information on how financial organisations can use downside risk techniques and technological developments to effectively manage risk in their portfolio management
Provides a rigorous theoretical underpinning for the use of downside risk techniques. This is important for the long-run acceptance of the methodology, since such arguments justify consultant's recommendations to pension funds and other plan sponsors
Customer Reviews:
Good book but software demo needs improvement........2007-09-04
This book does a good job of describing the flaws with Modern Portfolio Theory (MPT) as well as the proposed solution resulting in Post-MPT (Ch 1 and 4). The Visual Basic software demonstrates Post-MPT risk analysis of a single asset. I would have rated it a 5 if the software had demonstrated Post-MPT asset allocation among multiple assets. As it stands I have a choice of EITHER reverse engineering the software/spreadsheet and adding multiple assets OR purchasing third party software.
Not a book for the average Consumer .......2007-07-07
As a financial planner here in the midwest, I'm always looking to improve my business and the way I manage portfolios. For years I've always adhered to the capital asset pricing methods and Bill Sharpe's work in designing investment portfolios. So after looking for a better mousetrap, I found the Sortino Ratio. I was thinking this book -like many others in the investment realm- would be "dumbed-down" and written for a large scale audience----just the opposite. You better brush up on your math skills. It doesn't take you down a road of how to create/manage the risk in portfolios; it's really for large scale management. The formulas are on every other page. (I'm being facetious, but not too far fetched.) If you're a CFA or maybe a CIMA, you might want to have this on your shelf of reference materials; if you're the average planner dealing with mom and pop day-to-day issues, stick with Sharpe. (If you're a consumer looking to manage your portfolio using this book- you've got either way too much time on your hands or some real OCD issues.)(The CD included is somewhat worthless.) *I'm still going to try and develop portfolios using this method, but need a company like Morningstar to wrap it up in a software package.)
Doesnt Help Individual Investors.......2006-06-18
Like 99% of all books written on the stock market, this one does very little to help the efforts of individual investors. Rather, it is more applicable to funds and money managers, who have much different investment needs and styles. Individual investors need to understand how to determine business risk rather than liquidity risk or beta, which is usually the only kind of risk fund managers look at. Individual investors need to learn technical analysis (which fund managers do not look at typically) and they need to understand market sentiment. Finally, individual investors need to learn how to determine relative valuation--no not valuation methods that analysts go by--most of those are useless and they never consider downside risk. These are the keys to managing risk. I gave the book an average rating only because teaching risk management (and I mean practical risk management) is a very difficult task that I am not sure can be accomplished in a single book. It most certainly cannot be taught in a 270 page book. Most likely, the high price is a reflection of the audience---fund managers who pay for these expensive books with funds made by fund companies for doing nothing more than buy-and-hold.
Excellent Treatment of Risk/Return - A Must Read.......2002-12-05
Though the book is quite pricey, it delivers a wealth of information regarding various treatments of risk and return. This is not the stuff you find in most financial texts, such as outdated modern portfolio theory. In fact, the material is far beyond the old risk/return traditions of yore. Various authors each contribute a chapter including Sortino so one gets a wide range of views (I only found a few chapters irrelevant to my needs). However, the common theme throughout is, "It is high time to view risk/return in a more meaningful and practical light."
This text is not just for portfolio managers. Anyone involved in risk/return assessment will benefit from the material; though much of the book is intended for those with a mathematical slant. The material can easily be applied to discounted cash flow (DCF) financial modeling though this is not discussed in the text. In my opinion, it blows away VAR, Real Options, etc.
If you ever thought T-Bills were riskless assts, you need to read this book or be forever wrong. I also found a wealth of information on Sortino's website that complimented the text. Lastly, each chapter is chocked full of nice reference articles for those desiring to delve deeper into the multitude of ideas presented.
Average customer rating:
- I recommend undergraduate student
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Quantitative Analysis for Investment Management
Jr. Robert A. Taggart
Manufacturer: Prentice Hall
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ASIN: 0133196909 |
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I recommend undergraduate student.......2000-08-12
I'm graduate student now.I looked for the book to read more mathmatically ones.This book is very cleary, plain. You can read without knowledge of math and probability.So he explain wide area.
But is not suitable for me. Because of too easy! For finance with mathematics, I recommend [An introduction to the mathematics of financial derivatives:S.N.Neftci ].
Then if you haven't ever read the book of this field,this book is good for you!
Book Description
Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.
Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.
Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers, and Consultants worldwide. Issues are covered from a global perspective and all the recent developments of financial risk management are presented. Although not designed as an academic text, it should be useful to graduate students in finance.
*Provides practical guidance on financial risk management
*Covers the latest developments in investment portfolio construction
*Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)
Average customer rating:
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Forecasting Financial Markets: Exchange Rates, Interest Rates and Asset Management (Financial Economics and Quantitative Analysis Series)
Manufacturer: Wiley
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Binding: Paperback
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ASIN: 0471966533 |
Book Description
Today s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news. The mathematical techniques and models used in the forecasting of financial markets have therefore grown ever more sophisticated as traders, analysts and investors seek to gain an edge on their competitors. Written by leading international researchers and practitioners, this book focuses on three major themes of today s state of the art financial research: modelling with high frequency data, the information content of volatility markets, and applications of neural networks and genetic algorithms to financial time series. Forecasting Financial Markets includes empirical applications to present the very latest thinking on these complex techniques, including:
- High frequency exchange rates
- Intraday volatility
- Autocorrelation and variance ratio tests
- Conditional volatility
- GARCH processes
- Chaotic systems
- Nonlinearity
- Stochastic and EXPAR models
- Artificial neural networks
- Genetic algorithms
Product Description
Careers in Financial Markets gives you the competitive edge with: 1) Sector profiles that feature descriptive overviews and trends for 21 different career paths. 2) Career profiles of professionals working in various sectors with valuable advice. 3) Tips for finding a job that is tailored to life on The Street and how to get in. 4) Industry trends to allow you to gauge who are the big players and who's hiring and who's firing. 5) Glossary and resource guides to keep you on top of the latest lingo, and highlight key publications to read and organizations to join. 6) Employer profiles which provide a snapshot of who's hiring in what areas. Gaining an edge to secure that coveted position is crucial for developing a successful career in investment banking and related fields. The decisions you make before you even go on your first interview will shape your career path and determine your chances for success.
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Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information (International Series in Operations Research and Management Science, Volume 47)
Nikolai Dokuchaev
Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover
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| Qualifying Textbooks - Fall 2007
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ASIN: 079237648X |
Book Description
Dynamic Portfolio Strategies: Quantitative Methods and Empirical Rules for Incomplete Information investigates optimal investment problems for stochastic financial market models. It is addressed to academics and students who are interested in the mathematics of finance, stochastic processes, and optimal control, and also to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis.
While there are many works devoted to the solution of optimal investment problems for various models, the focus of this book is on analytical strategies based on "technical analysis" which are model-free. The technical analysis of these strategies has a number of characteristics. Two of the more important characteristics are: (1) they require only historical data, and (2) typically they are more widely used by traders than analysis based on stochastic models. Hence it is the objective of this book to reduce the gap between model-free strategies and strategies that are "optimal" for stochastic models. We hope that researchers, students and practitioners will be interested in some of the new empirically based methods of "technical analysis" strategies suggested in this book and evaluated via stochastic market models.
Book Description
Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy. More than just a collection of classic review pieces, however, Equity Management provides new material to introduce, interpret, and integrate the pieces, with an introduction that provides an authoritative overview of the chapters. Important and innovative, it is destined to become the "Graham and Dodd" of quantitative equity investing.
Download Description
Two pioneers and innovators in the money management field present their choice of groundbreaking, peer-reviewed articles on subjects including portfolio engineering and long-short investment strategy.
Customer Reviews:
One good chapter, but slightly repetitive & not much new.......2003-10-10
Jacobs and Levy have assembled a body of work here centering on their stock picking techniques as well as their long-short portfolio construction techniques. Most of the chapters have their origins in various finance journals, though the articles themselves are not very heavy on mathematics. Overall, the book was interesting, though somewhat repititious. In retrospect I'd suggest that those familiar with long-short portfolios and the various market anomolies should just read chapter 2 about "Disentangling Equity Return Regularities" since that is where Jacobs & Levy's original work is outlined.
Chapter 2 focuses on the use of regression analysis to "disentangle" various stock market anomalies. The authors claim that simple rules such as "Buy low-P/E stocks" are appealing, but oversimplify the true source of stock returns. For example, low P/E stocks tend to have higher rates of return, as do small-capitalization stocks. But if a small capitalization stocks also tend to have low P/E's, then how much of their return is due to the low-P/E effect by itself, and how much is due to the small-capitalization effect by itself? Jacobs & Levy have done the analyses, and show which effects are genuine, and which effects are merely proxies for other effects. The effects that turn out to be the strongest when "disentangled" include low P/E, Earnings trend, Earnings Surprise, Residual Reversal, and Relative Strength.
The introductory chapters in the book make some interesting points. They argue that the stock market is not random, but then again it is also not simple. Although simple rules are appealing to humans, they oversimplify the complexity of the market. To gain an edge, one must use sophisticated, objective, multi-factor statistical computer models that capture the complex interactions in the market. Of course the authors are saying this to advocate the techniques they use, but nevertheless, they have some good points.
Finally, the second half of the book focuses on the construction of long-short portfolios, though there is not much fresh material here. They point out some of the logistical details of running a long-short portfolio, and give some examples. Also, they introduce the concept of "alpha-transport." That is, one can construct a long-short market neutral portfolio, then by buying buy an index (using SP500 futures, for example) one "transports" the gains from the long-short portfolio onto the gains/losses of the index position. Thus, if the stock picking for the long-short portfolio is done correctly, the total portfolio will beat the index picked. To me, this seemed like an obvious technique; I'm surprised they decided to focus on it and give it a fancy name ("alpha transport")
Overall, I found the book interesting, though somewhat repetitious. I was familiar with much of what was covered, however I did find that Chapter 2 was worth reading, since I wasn't familiar with Jacobs & Levy's work in detail.
Ultimately disappointing.......2001-04-23
As a critic once said of Henry James, Jacobs and Levy have chewed more than they bit off. There is (as another reviewer points out) no follow-up on how their factors have behaved in the decade or more since they did some of the pioneering work on factor models. Overall, the book has about 10% as much information useful to a practitioner as appears in Grinold & Kahn's authoritative text.
A collection of articles aimed at practitioners.......2000-06-23
This book is great for people who want an overview of the opportunities available in numerical evaluation of stocks. However to say that this is a book on quantitative techniques is probably not the mest description. There is extensive use of regression analysis but more hard-core 'quant' people will probabliy be disappointed. It is clear that the book is written by investment professionals focusing a lot on traditional evaluations parameters such as P/E, P/B etc. Interesting points include purification of return signals, and an extensive discussion of long-short techniques.
A Potent, Authoritative Guide to Successful Stock Selection.......2000-05-22
The most important thing that I (an individual mutual fund investor) came away with was an understanding of the reasons why actively managed mutual funds cannot consistently beat their underlying benchmarks if they take a "stock picking" approach. Since this is the approach taken by most mutual fund managers, it is not surprising that more than 50% (often much more than 50%) do not beat their benchmarks. I also found it interesting how with sufficient breath and depth, engineered portfolios offer higher return and lower risk than the S&P 500.
It is easy to see how "alpha transport", when properly used, can also help maximize returns while minimizing risk. However, I imagine there have been, more often than not, improper use of alpha transport which did just the opposite (minimize return and maximize risk). Obviously not included in the text is the "proper usage" or algorithms for "disentangling equity return regularities". I imagine the authors keep such information close to their chest and constantly update them as old algorithms become part of the efficient market.
The work provides a guide to modern methods of equity management, and for those interested in the state-of-the-art, I highly recommend this book.
Still Just a Collection of Journal Articles.......2000-04-26
The Good: It is a collection of some of the great papers by the authors over the years that have appeared in Journal of Portfolio Mgt., Journal of Investing and the Financial Analysts Journal. If you do any work in quant equity management you should know and have these papers. Buy the book and save time hunting down the papers.
The Bad: It is a collection of some of the great papers by the authors over the years that have appeared in Journal of Portfolio Mgt., Journal of Investing and the Financial Analysts Journal. If you do any work in quant equity management you know and have these papers. The introductions and "new" material that ties it all together is not worth the expense. What sort of got under my skin is that none of the work has been updated or brought current, even by using appendicies. Since some of their most interesting quant work was published 12 years ago we have no updates as to how the factors are doing. This would have been a great value to this reader.
Overall its a great body of work but nothing new.
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