A01=Anatoly B Schmidt
Agent-Based Modeling
Alternative Data
APT
Arma Model
Author_Anatoly B Schmidt
Back-Testing of Trading Strategies
Black-Litterman Model
CAPM
Category=KFFM
Efficient Market Hypothesis
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Factor Models
Fractals
Garch Model
Hedging
Market Microstructure
Market Sentiment
Mean-variance Theory
Momentum Arbitrage
Opinion Mining
Optimal ESG Portfolio
Optimal Execution
Portfolio Diversification
Portfolio Management
Price Volatility
Random Walk
Risk Aversion
Risk Parity
Robust Optimization
Shrinkage Estimator
Smart Betas
Statistical Arbitrage
Taker's Dilemma
Technical Analysis
Time Series Analysis
Trading Strategies
US Equity Markets
Product details
- ISBN 9789811239496
- Publication Date: 22 Oct 2021
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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This book will satisfy the demand among college majors in Finance and Financial Engineering, and mathematically-versed practitioners for description of both the classical approaches to equity investing and new investment strategies scattered in the periodic literature. Besides the major portfolio management theories (mean variance theory, CAPM, and APT), the book addresses several important topics: portfolio diversification, optimal ESG portfolios, factor models (smart betas), robust portfolio optimization, risk-based asset allocation, statistical arbitrage, alternative data based investing, back-testing of trading strategies, modern market microstructure, algorithmic trading, and agent-based modeling of financial markets. The book also includes the basic elements of time series analysis in the Appendix for self-contained presentation of the material. While the book covers technical concepts and models, it will not overburden the reader with math beyond the Finance undergraduates' curriculum.
