Book description
A comprehensive look at the tools and techniques used in quantitative
equity management
Some books attempt to extend portfolio theory, but the real issue
today relates to the practical implementation of the theory introduced
by Harry Markowitz and others who followed. The purpose of this book
is to close the implementation gap by presenting state-of-the art
quantitative techniques and strategies for managing equity portfolios.
Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter
Kolm 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.
- Written by a solid author team who has extensive financial
experience in this area
- Presents state-of-the art quantitative strategies for managing
equity portfolios
- Focuses on the implementation of quantitative equity asset management
- Outlines effective analysis, optimization methods, and risk models
In today's financial environment, you have to have the skills to
analyze, optimize and manage the risk of your quantitative equity
investments. This guide offers you the best information available to
achieve this goal.
Frank J. Fabozzi is Professor in the Practice of
Finance and Becton Fellow at the Yale School of Management and Editor
of the Journal of Portfolio Management. He is a Chartered
Financial Analyst and earned a doctorate in economics from the City
University of New York.
Sergio M. Focardi is Professor of Finance at EDHEC Business
School in Nice and a founding partner of the Paris-based consulting
firm The Intertek Group. He is also a member of the Editorial Board of
the Journal of Portfolio Management. Sergio holds a degree in
electronic engineering from the University of Genoa and a PhD in
mathematical finance from the University of Karlsruhe as well as a
postgraduate degree in communications from the Galileo Ferraris
Electrotechnical Institute (Turin).
Petter N. Kolm is the Deputy Director of the Mathematics in
Finance Master's Program and Clinical Associate Professor of
Mathematics at the Courant Institute of Mathematical Sciences, New
York University; and a founding Partner of the New York-based
financial consulting firm the Heimdall Group, LLC. Previously, Petter
worked in the Quantitative Strategies Group at Goldman Sachs Asset
Management. He received an MS in mathematics from ETH in Zurich; an
MPhil in applied mathematics from the Royal Institute of Technology in
Stockholm; and a PhD in applied mathematics from Yale University.
