.

0 (hodnocen0 x )

EB

ONLINE

Amsterdam ; Boston : Academic Press, 2007

1 online resource (x, 286 p.) : ill

ISBN 075068321X (hbk.)

ISBN 9780750683210 (hbk.)

Quantitative finance series

Includes bibliographical references and index

Market efficiency and forecasting -- A step-by-step guide to the Black-Litterman model -- A demystification of the Black-Litterman model : managing quantitative and traditional portfolio construction -- Optimal portfolios from ordering information -- Some choices in forecast construction -- Bayesian analysis of the Black-Scholes option price -- Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information -- Robust optimization for utilizing forecasted returns in institutional investment -- Cross-sectional stock returns in the UK market : the role of liquidity risk -- The information horizon- optimal holding period, strategy aggression and model combination in a multi-horizon framework -- Optimal forecasting horizon for skilled investors -- Investments as bets in the binomial asset pricing model -- The hidden binomial economy and the role of forecasts in determining prices.

Electronic reproduction. Ann Arbor, MI : ProQuest, 2015. Available via World Wide Web. Access may be limited to ProQuest affiliated libraries

001695833

full

(Au-PeEL)EBL311335

(CaONFJC)MIL105765

(CaPaEBR)ebr10190050

(MiAaPQ)EBC311335

(OCoLC)469632784

GBA765265