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The determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.
List of contents
Review of the literature on multifactor asset pricing, M.Pitsillis . Estimating UK factor models using multivariate skew normal distribution, C. Adcock . Misspecification in the Linear Pricing Model, I. Lo . Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell . Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis . Implication of the method of portfolio formation on asset pricing tests, I. Lo . The Small Noise Arbitrage Pricing Theory, S.Satchell . Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton . Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah . Estimating a Combined Linear Model, A. Stroyny . Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick . Decomposing Factor Exposure for Equity Portfolios, D. Tien et al .
