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Financial Modeling of the Equity Market: From Capm to Cointegration

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Financial Modeling of the Equity Market: From Capm to Cointegration - Fabozzi, Frank J, and Focardi, Sergio M, and Kolm, Petter N
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An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, ...

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Financial Modeling of the Equity Market: From Capm to Cointegration 2005, Wiley, Hoboken, NJ

ISBN-13: 9780471699002

Hardcover