Books
Quantitative Equity Investing Techniques And Strategies

quinvest

Throughout these pages, we address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained.

 

 
Robust Portfolio Optimization and Management

 

robust_-_large.jpgFrank J. Fabozzi, Petter N. Kolm, Dessislava A. Pachamanova and Sergio M. Focardi
John Wiley, 2007

It is well known that classical mean-variance optimization does not work very well in practice. Specifically, it is very sensitive to changes in inputs such as expected returns of the assets and their covariances. While it may be difficult to make accurate estimates of these inputs, estimation errors in the forecasts significantly impact the resulting portfolio weights from the optimization.  It is not without reason that many refer to optimizers as "error maximizers". The main focus of book is to describe the state-of-the-art techniques used in the financial industry today to mitigate these problems.

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Excerpted with permission of the publisher John Wiley & Sons, Inc. from Robust Portfolio Optimization and Management.  Copyright (c) 2007 by John Wiley & Sons, Inc.  This book is available at all bookstores, online booksellers and from the Wiley web site at www.wiley.com, or call 1-800-225-5945.
 
Financial Modeling of the Equity Markets: From CAPM to Cointegration
financial_modeling_-_large.jpgFrank J. Fabozzi, Sergio M. Focardi and Petter N. Kolm
John Wiley, 2006


In this book we describe the major quantitative techniques used today in the management of large equity portfolios.  We cover a range of topics from classical mean-variance optimization and its many extensions, forecast and risk estimation, and the Black-Litterman model - to static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration.  We provide an introduction to transaction cost modeling and to the field of robust optimization.
 
 
Excerpted with permission of the publisher John Wiley & Sons, Inc. from Financial Modeling of the Equity Market: From CAPM to Cointegration.  Copyright (c) 2006 by John Wiley & Sons, Inc.  This book is available at all bookstores, online booksellers and from the Wiley web site at www.wiley.com, or call 1-800-225-5945.
 
Trends in Quantitative Finance

robust_-_large.jpg

Frank J. Fabozzi, Sergio M. Focardi, and Petter N. Kolm
CFA Research Foundation Publications, May 2006
 
This introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of quantitative methods—in particular, the trade-offs that must be made among model complexity, risk, and performance. The monograph also includes the results of a 2005 survey of the modeling practiced at 21 large asset management firms.

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Excerpted with permission of the publisher CFA Research Foundation Publications from Trends in Quantitative Finance.  Copyright (c) 2006 by CFA Research Foundation Publications.  This book is now available from the publisher for free download.
 
Chapters In Books

Chapters in Books
• "Model Selection and its Pitfalls," (with Frank J. Fabozzi and Sergio M. Focardi) in The Handbook of Financial Models, Frank Fabozzi (ed.), (John Wiley, to appear).
• "Forecasting Stock Returns," (with Frank J. Fabozzi and Sergio M. Focardi) in Institutional Investment Management, Frank Fabozzi (ed.), (John Wiley, 2009).
• "Issues in the Theory of Portfolio Selection," (with Frank J. Fabozzi, Sergio M. Focardi, Christian Menn, and Svetlozar T. Rachev.) in Institutional Investment Management, Frank Fabozzi (ed.), (John Wiley, 2009).
• "Transaction Costs and Trade Execution in Common Stock Portfolio Management," (with Frank J. Fabozzi and Sergio M. Focardi) in Institutional Investment Management, Frank Fabozzi (ed.), (John Wiley, 2009).
• "Algorithmic Trading, Optimal Execution, and Dynamic Portfolios: A Buy-Side Perspective", with Lee Maclin. To appear in The Handbook of Quantitative Asset Management, Bernd Scherer and Kenneth Winston (eds.), 2010.
• “Algorithmic Trading,” with Lee Maclin. To appear in Encyclopedia of Quantitative Finance, Rama Cont (ed.), John Wiley, 2009.
• "Robust Portfolio Optimization," (with Frank J. Fabozzi, Sergio M. Focardi, and Dessislava A. Pachamanova), in Handbook of Finance, Frank Fabozzi (ed.), (John Wiley, 2008).
• "Quantitative Investment Management Today and Tomorrow," (with Frank J. Fabozzi, Sergio M. Focardi, and Dessislava A. Pachamanova), in Handbook of Finance, Frank Fabozzi (ed.), (John Wiley, 2008) 
• "Overview of Active Common Stock Portfolio Strategies," (with Frank J. Fabozzi and Sergio M. Focardi), in Handbook of Finance, Frank Fabozzi (ed.), (John Wiley, 2008) 
• "Incorporating Trading Strategies in the Black-Litterman Framework," (with Frank J. Fabozzi and Sergio M. Focardi), in Handbook of Finance, Frank Fabozzi (ed.), (John Wiley, 2008) 
• "Quantitative Modeling of Transaction and Trading Costs," (with Frank J. Fabozzi and Sergio M. Focardi), in Handbook of Finance, Frank Fabozzi (ed.), (John Wiley, 2008) 
• “Modellansatz und Algorithmus zur Berechnung von Ökobilanzen im Rahmen der Datenbank ECOINVENT”, (with Rolf Frischknecht), in Stoffstromanalysen in Ökobilanzen und Öko-Audits, M. Schmidt and A. Schorb, eds., pp. 79-95, (Springer-Verlag Berlin, Heidelberg, 1995).