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Forecasting expected returns in the financial markets

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Forecasting expected returns in the financial markets/ edited by Stephen Satchell.
other author:	Satchell, S.
Published:	Amsterdam ;Academic Press, : 2007.,
Description:	x, 286 p. :ill. ; : 25 cm.;
Series:	Quantitative finance series
Subject:	Stock price forecasting - Mathematics. -
Online resource:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780750683210

Forecasting expected returns in the financial markets
Forecasting expected returns in the financial markets[electronic resource] /edited by Stephen Satchell. - Amsterdam ;Academic Press,2007. - x, 286 p. :ill. ;25 cm. - 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.

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives.

Electronic reproduction.
Amsterdam :
Elsevier Science & Technology,
2008.

Mode of access: World Wide Web.

ISBN: 9780750683210

Source: 135533:135668Elsevier Science & Technologyhttp://www.sciencedirect.comSubjects--Topical Terms:

655019
Stock price forecasting
--Mathematics.Index Terms--Genre/Form:

554714
Electronic books.

LC Class. No.: HG4637 / .F66 2007eb

Dewey Class. No.: 332.63/2042

Forecasting expected returns in the financial markets
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245 0 0 $a Forecasting expected returns in the financial markets $h [electronic resource] / $c edited by Stephen Satchell.
260 $a Amsterdam ; $a Boston : $c 2007. $b Academic Press,
300 $a x, 286 p. : $b ill. ; $c 25 cm.
440 0 $a Quantitative finance series
504 $a Includes bibliographical references and index.
505 2 $a 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.
520 $a Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques. *Forecasting expected returns is an essential aspect of finance and highly technical *The first collection of papers to present new and developing techniques *International authors present both academic and practitioner perspectives.
533 $a Electronic reproduction. $b Amsterdam : $c Elsevier Science & Technology, $d 2008. $n Mode of access: World Wide Web. $n System requirements: Web browser. $n Title from title screen (viewed on Mar. 10, 2008). $n Access may be restricted to users at subscribing institutions.
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650 0 $a Investment analysis $x Mathematics. $3 568477
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