by Edward E. Qian, Ronald H. Hua, Eric H. Sorensen
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Product Description
Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics. From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples. Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.
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Average Customer Review:
3 of 3 people found the following review helpful:
advance "quant" book - update: 5 stars, 2008-06-17
Update after 1 month of reading:
(1) intially rated 4 stars, should be 5 stars (Good books are hard to find, language factor is minor)
(2) A serious Quant reader can gain a lot of insights from this book.
(3) Some of the discussions are way better than the other QEPM book(by Chincarini & Kim ). Although, this is half of the thickness.
(4) you need to be good with Linear Algebra. It is so much fun to see the authors use Linear equations to solve almost everything.
Short summary:
(1) Some advanced math background is needed (Linear Algebra mostly)
(2) Modern investment ideas are presented clearly.
(3) "Quant" book
(4) The Full 9 yards coverage from basic CAPM, alpha model, portfolio construction, trading and turnover, to attribution.
(5) the non-native author(s) should get some help on the writing.
This is an advanced book for quantitative analyst. On the surface, it does not require special math skills to read, which is nice. But to fully appreciate the ideas, you still need a lot of math background.
Most explanations are clean and easy to understand, even with the sometimes annoying writing skills.
Coverage of the modern investment ideas are quite comprehensive and to the right depth. Going deeper could risk more than 1000 pages, less will risk being superficial. There are certain areas in the investment industry that is not covered in this book, including automatic trading, pattern recognition, Bayesian based analysis, macro investing strategies, and alternative investment strategies. Lightly mentioned behavior finance.
Overall, still a good book to have.
8 of 9 people found the following review helpful:
Very practical book on quant portfolios, 2008-02-27
I never liked Grinold/kahn's super-dry book, admittedly a classic, so I was really glad to have found this book, which provides a practical in-depth look at the various techniques one could use in constructing and managing portfolios. One of the authors, Sorenson, is well-known in the field but all three authors did a good job putting together a coherent and highly usable volume. I'm halfway through and I can't wait to finish the second half. If you're interested in or practice quantitative portfolio managemetn I highly recommend this book as a practical reference.
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