Forecasting Expected Returns in the Financial Markets Book

Forecasting Expected Returns in the Financial Markets


  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Release Date : 2011-04-08
  • Genre: Business & Economics
  • Pages : 304
  • ISBN 10 : 9780080550671

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Forecasting Expected Returns in the Financial Markets Excerpt :

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives

Forecasting Volatility in the Financial Markets Book

Forecasting Volatility in the Financial Markets


  • Author : Stephen Satchell
  • Publisher : Elsevier
  • Release Date : 2011-02-24
  • Genre: Business & Economics
  • Pages : 432
  • ISBN 10 : 9780080471426

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Forecasting Volatility in the Financial Markets Excerpt :

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition: * What good is a volatility model? Engle and Patton * Applications for portfolio variety Dan diBartolomeo * A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish * Volatility modeling and forecasting in finance Xiao and Aydemir * An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey * Leading thinkers present newest research on volatility forecasting *International authors cover a broad array of subjects related to volatility forecasting *Assumes basic knowledge of volatility, financial mathematics, and modelling

Forecasting Volatility in the Financial Markets Book
Score: 4.5
From 2 Ratings

Forecasting Volatility in the Financial Markets


  • Author : John Knight
  • Publisher : Butterworth-Heinemann
  • Release Date : 2002
  • Genre: Business & Economics
  • Pages : 428
  • ISBN 10 : 0750655151

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Forecasting Volatility in the Financial Markets Excerpt :

'Forecasting Volatility in the Financial Markets' assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting edge modelling and forecasting techniques. It then uses a technical survey to explain the different ways to measure risk and define the different models of volatility and return. The editors have brought together a set of contributors that give the reader a firm grounding in relevant theory and research and an insight into the cutting edge techniques applied in this field of the financial markets. This book is of particular relevance to anyone who wants to understand dynamic areas of the financial markets. * Traders will profit by learning to arbitrage opportunities and modify their strategies to account for volatility. * Investment managers will be able to enhance their asset allocation strategies with an improved understanding of likely risks and returns. * Risk managers will understand how to improve their measurement systems and forecasts, enhancing their risk management models and controls. * Derivative specialists will gain an in-depth understanding of volatility that they can use to improve their pricing models. * Students and academics will find the collection of papers an invaluable overview of this field. This book is of particular relevance to those wanting to understand the dynamic areas of volatility modeling and forecasting of the financial marketsProvides the latest research and techniques for Traders, Investment Managers, Risk Managers and Derivative Specialists wishing to manage their downside risk exposure Current research on the key forecasting methods to use in risk management, including two new chapters

Expected Returns Book

Expected Returns


  • Author : Antti Ilmanen
  • Publisher : John Wiley & Sons
  • Release Date : 2011-03-14
  • Genre: Business & Economics
  • Pages : 102
  • ISBN 10 : 9781119990727

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Expected Returns Excerpt :

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

Expected Returns Book
Score: 5
From 1 Ratings

Expected Returns


  • Author : Antti Ilmanen
  • Publisher : John Wiley & Sons
  • Release Date : 2011-04-20
  • Genre: Business & Economics
  • Pages : 352
  • ISBN 10 : 1119990777

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Expected Returns Excerpt :

This comprehensive reference delivers a toolkit for harvesting market rewards from a wide range of investments. Written by a world-renowned industry expert, the reference discusses how to forecast returns under different parameters. Expected returns of major asset classes, investment strategies, and the effects of underlying risk factors such as growth, inflation, liquidity, and different risk perspectives, are also explained. Judging expected returns requires balancing historical returns with both theoretical considerations and current market conditions. Expected Returns provides extensive empirical evidence, surveys of risk-based and behavioral theories, and practical insights.

Machine Learning for Asset Management Book

Machine Learning for Asset Management


  • Author : Emmanuel Jurczenko
  • Publisher : John Wiley & Sons
  • Release Date : 2020-10-06
  • Genre: Business & Economics
  • Pages : 460
  • ISBN 10 : 9781786305442

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Machine Learning for Asset Management Excerpt :

This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.

Financial Risk Forecasting Book

Financial Risk Forecasting


  • Author : Jon Danielsson
  • Publisher : John Wiley & Sons
  • Release Date : 2011-04-20
  • Genre: Business & Economics
  • Pages : 296
  • ISBN 10 : 9781119977117

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Financial Risk Forecasting Excerpt :

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training practitioners in risk management techniques, it brings together the three key disciplines of finance, statistics and modeling (programming), to provide a thorough grounding in risk management techniques. Written by renowned risk expert Jon Danielsson, the book begins with an introduction to financial markets and market prices, volatility clusters, fat tails and nonlinear dependence. It then goes on to present volatility forecasting with both univatiate and multivatiate methods, discussing the various methods used by industry, with a special focus on the GARCH family of models. The evaluation of the quality of forecasts is discussed in detail. Next, the main concepts in risk and models to forecast risk are discussed, especially volatility, value-at-risk and expected shortfall. The focus is both on risk in basic assets such as stocks and foreign exchange, but also calculations of risk in bonds and options, with analytical methods such as delta-normal VaR and duration-normal VaR and Monte Carlo simulation. The book then moves on to the evaluation of risk models with methods like backtesting, followed by a discussion on stress testing. The book concludes by focussing on the forecasting of risk in very large and uncommon events with extreme value theory and considering the underlying assumptions behind almost every risk model in practical use – that risk is exogenous – and what happens when those assumptions are violated. Every method presented brings together theoretical discussion and derivation of key equations and a discussion of issues in practical implementation. Each method is implemented in both MATLAB and R, two of the most commonly used mathematical programming languages for risk forecasting with which the reader can implement the models illustrated in the book. The boo

Empirical Asset Pricing Book

Empirical Asset Pricing


  • Author : Wayne Ferson
  • Publisher : MIT Press
  • Release Date : 2019-03-12
  • Genre: Business & Economics
  • Pages : 497
  • ISBN 10 : 9780262039376

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Empirical Asset Pricing Excerpt :

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.

Portfolio Theory and Management Book

Portfolio Theory and Management


  • Author : H. Kent Baker
  • Publisher : Oxford University Press
  • Release Date : 2013-01-07
  • Genre: Business & Economics
  • Pages : 816
  • ISBN 10 : 9780199311514

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Portfolio Theory and Management Excerpt :

Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) p

Neural Networks and the Financial Markets Book

Neural Networks and the Financial Markets


  • Author : Jimmy Shadbolt
  • Publisher : Springer Science & Business Media
  • Release Date : 2002-08-06
  • Genre: Business & Economics
  • Pages : 292
  • ISBN 10 : 1852335319

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Neural Networks and the Financial Markets Excerpt :

A discussion of financial prediction includes examples that use actual market data showing how to retrieve information from data sets.

A Practical Guide to Forecasting Financial Market Volatility Book

A Practical Guide to Forecasting Financial Market Volatility


  • Author : Ser-Huang Poon
  • Publisher : John Wiley & Sons
  • Release Date : 2005-08-19
  • Genre: Business & Economics
  • Pages : 236
  • ISBN 10 : 9780470856154

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A Practical Guide to Forecasting Financial Market Volatility Excerpt :

Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.

Financial Markets and the Real Economy Book

Financial Markets and the Real Economy


  • Author : John Howland Cochrane
  • Publisher : Now Publishers Inc
  • Release Date : 2005
  • Genre: Business & Economics
  • Pages : 117
  • ISBN 10 : 9781933019154

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Financial Markets and the Real Economy Excerpt :

Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Growth Or Glamour  Book

Growth Or Glamour


  • Author : John Y. Campbell
  • Publisher : Unknown
  • Release Date : 2005
  • Genre: Stocks
  • Pages : 66
  • ISBN 10 : IND:30000095359687

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Growth Or Glamour Excerpt :

The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely quot;glamour stocksquot; whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.

Beyond Diversification  What Every Investor Needs to Know About Asset Allocation Book

Beyond Diversification What Every Investor Needs to Know About Asset Allocation


  • Author : Sebastien Page
  • Publisher : McGraw Hill Professional
  • Release Date : 2020-11-10
  • Genre: Business & Economics
  • Pages : 256
  • ISBN 10 : 9781260474886

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Beyond Diversification What Every Investor Needs to Know About Asset Allocation Excerpt :

Generate solid, long-term profits with a portfolio allocated for your investing needs Asset allocation is the key to investing performance. Unfortunately, no single approach works perfectly—developing the right balance requires a clear-eyed look at the many models available to you, various investing methodologies, and your or your client’s level of risk tolerance. And that’s where this important guide comes in. Written by a leading allocation expert from T. Rowe Price, Beyond Diversification provides the knowledge, insights, and approaches you need to make the best allocation decisions for your goals. This deep dive into the how’s and why’s of asset allocation is organized by the three decisive components of a successfully allocated portfolio: Return Forecasting discusses the desired return investors seek. Risk Forecasting covers the level of risk investors are prepared to assume to achieve that return. Portfolio Construction calibrates the stock-bond mix that balances the risks and returns. With examples from T. Rowe Price’s asset allocation team showing you how the process works in the real world, Beyond Diversification provides everything you need to find the asset combination that will deliver the results you seek. You’ll learn how to choose the right tradeoffs, build the most effective asset allocation combination for your needs, and dramatically increase your odds of success for the long run.