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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 complete information to the complete means of setting up and managing a high-yield quantitative fairness portfolio. This detailed handbook begins with the fundamental rules of quantitative lively administration after which clearly outlines the way to construct an fairness portfolio utilizing these highly effective ideas.

Financial specialists Ludwig Chincarini and Daehwan Kim present clear explanations of matters starting from primary fashions, elements and issue alternative, and inventory screening and rating…to basic issue fashions, financial issue fashions, and forecasting issue premiums and exposures.

Readers will even discover step-by-step protection of portfolio weights… rebalancing and transaction prices…tax administration…leverage…market impartial…Bayesian _…efficiency measurement and attribution…the again testing course of…and portfolio efficiency.

Filled with confirmed funding methods and instruments for creating new ones, Quantitative Equity Portfolio Management options:

  • An entire, easy-to-apply methodology for creating an fairness portfolio that maximizes returns and minimizes dangers
  • The newest methods for constructing optimization right into a professionally managed portfolio
  • An accompanying CD with a variety of sensible workouts and options utilizing precise historic inventory information
  • An wonderful melding of economic idea with real-world observe
  • A wealth of down-to-earth monetary examples and case research

    Each chapter of this all-in-one portfolio administration useful resource comprises an appendix with priceless figures, tables, equations, mathematical options, and formulation. In addition, the e book as an entire has appendices protecting a quick historical past of economic idea, basic fashions of inventory returns, a primary assessment of mathematical and statistical ideas, an entertaining clarification and quantitative method to the on line casino sport of craps, and different on-target supplemental supplies.

    An important reference for skilled cash managers and college students taking superior funding programs, Quantitative Equity Portfolio Management affords a full array of strategies for successfully creating high-performance fairness portfolios that ship profitable returns for shoppers.

    About the Authors

    Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance on the University of San Francisco and on the tutorial board of IndexIQ. Previously, he was director of analysis at Rydex Global Advisors, the index mutual fund firm. Prior to that, Dr. Chincarini was director of analysis at FOLIOfn, a brokerage agency that pioneered basket buying and selling. He additionally labored on 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 on the American University in Bulgaria. Previously, he was employed as a monetary economist for FOLIOfn. Dr. Kim additionally labored as a monetary journalist, writing common columns on monetary markets for enterprise media in Asia. He additionally holds a Ph.D. in economics from Harvard University.

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