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Informationen zum Autor FRANK J. FABOZZI, PHD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at the Yale School of Management from 1994 to 2011 and was a visiting professor of finance and accounting at the MIT Sloan School of Management from 1986 to 1992. He is also Editor of the Journal of Portfolio Management. HARRY M. MARKOWITZ, PHD, is a consultant in the area of finance. In 1990, he was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his groundbreaking work in portfolio theory. In 1989, he received the John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciences for his work in portfolio theory and other applications of mathematics and computers to business practice. Klappentext Understanding the intricacies of equity valuation and portfolio management is essential for both practicing financial professionals as well as those aspiring to enter this field. But finding truly helpful information on these issues can be difficult. That's why you need Equity Valuation and Portfolio Management. Led by financial experts Frank Fabozzi and Harry Markowitz, the contributors to this ?successful practitioners with experience as equity portfolio managers and/or equity strategists?discuss state-of-the-art methods for implementing equity valuation models, trading models, and portfolio management strategies. And with key points and questions found at the end of each chapter, you???ll quickly discover how well you know each topic covered before moving on to the next one. Written to reflect the challenges you'll most likely face in 's dynamic market environment, Equity Valuation and Portfolio Management contains insights on the most essential aspects of this discipline as well as the tools you'll need to make more informed financial decisions. Along the way, you'll become familiar with: The fundamentals of quantitative equity investing and the most common techniques used by quantitative equity managers Relative valuation methods for equity analysis A framework for equity portfolio management that includes an outline of the relationships between stocks and investment approaches as well as the potential rewards and risks How to build and test factor-based models that can be used as the basis for trading strategies The use of equity risk factor models in various applications, namely the analysis of portfolio risk, portfolio construction, scenario analysis, and performance attribution Quantitative formulations of portfolio allocation problems used in equity portfolio management And much more While many of the chapters of this book cover the motivation for quantitative equity investing and actual quantitative equity models, an informative chapter reviewing three ?based on surveys and interviews of market participants regarding their experience with quantitative equity techniques?is also included to help put things in perspective and address the challenges that lie ahead. Accessible and engaging, Equity Valuation and Portfolio Management is the guide you need to excel at this difficult endeavor. Zusammenfassung A detailed look at equity valuation and portfolio management Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities. In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Inhaltsverzeichnis Preface xiii About the Editors xxiii Contributing Authors xxv Chapter 1 An Introduction to Quantitative Equity Investing 1 Paul Bukowski Equity Investing 1 Fundamental vs. Quantitative Investor 2 The Quantitative Stock Selection Model 7 ...
Sommario
Preface xiii
About the Editors xxiii
Contributing Authors xxv
CHAPTER 1: An Introduction to Quantitative Equity Investing 1
Paul Bukowski
CHAPTER 2: Equity Analysis Using Traditional and Value-Based Metrics 25
James L. Grant and Frank J. Fabozzi
CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits 71
Stanley Kogelman and Martin L. Leibowitz
CHAPTER 4: Relative Valuation Methods for Equity Analysis 105
Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland
CHAPTER 5: Valuation over the Cycle and the Distribution of Returns 125
Anders Ersbak Bang Nielsen and Peter C. Oppenheimer
CHAPTER 6: An Architecture for Equity Portfolio Management 147
Bruce I. Jacobs and Kenneth N. Levy
CHAPTER 7: Equity Analysis in a Complex Market 171
Bruce I. Jacobs and Kenneth N. Levy
CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management 189
Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas
CHAPTER 9: Implementable Quantitative Equity Research 231
Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma
CHAPTER 10: Tracking Error and Common Stock Portfolio Management 251
Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones
CHAPTER 11: Factor-Based Equity Portfolio Construction and Analysis 265
Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi
CHAPTER 12: Cross-Sectional Factor-Based Models and Trading Strategies 291
Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi
CHAPTER 13: Multifactor Equity Risk Models and Their Applications 339
Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural
CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management 373
Dorsey D. Farr
CHAPTER 15: A Factor Competition Approach to Stock Selection 397
Joseph Mezrich and Junbo Feng
CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios 413
Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen
CHAPTER 17: Modeling Market Impact Costs 425
Petter N. Kolm and Frank J. Fabozzi
CHAPTER 18: Equity Portfolio Selection in Practice 441
Dessislava A. Pachamanova and Frank J. Fabozzi
CHAPTER 19: Portfolio Construction and Extreme Risk 483
Jennifer Bender, Jyh-Huei Lee, and Dan Stefek
CHAPTER 20: Working with High-Frequency Data 497
Irene Aldridge
CHAPTER 21: Statistical Arbitrage 521
Brian J. Jacobsen
About the Website 535
Index 537
