Publications

Quantitative Equity Portfolio Management

Type
Link
Cost
Paid
Published
2007
Full Name
Quantitative Equity Portfolio Management: Modern Techniques and Applications

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. 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.

Praise for Quantitative Equity Portfolio Management


"Quantitative Equity Portfolio Management sets a new standard for comprehensive assessments of quantitative techniques. The authors' experience as practitioners brings to light critical issues of implementation, such as transaction costs and turnover, which have not previously achieved sufficient attention. Overall, the depth, rigor, and elegance of the authors' approach to the topic make it a valuable resource for investment professionals everywhere."

Bruce MacDonald, Director, Asset Allocation and Risk Analysis, University of Virginia Investment Management Company


"A superb book for the sophisticated investment practitioner. It brings together rigorous derivation and practical insight across the complete spectrum of topics needed for an intelligent investment process. Most importantly, it brings forward detailed methodologies for dealing with subtle, but critical subjects such as alpha decay and optimal trading strategies that are beyond the scope of other texts. For many of us in the field, our only regret about the book will be that we did not write it."

Dan DiBartolomeo, President, Northfield Information Services