Key Features
*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
Description
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.
Readership
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 in the Financial Markets, 1st Edition
1 Market Efficiency and Forecasting, W. Ferson; 2 A Step-by-step Guide to the Black-Litterman Model, T. Idzorek; 3 A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction, A. Scowcroft & S. Satchell; 4 Optimal Portfolios, N. Chriss & R. Almgren; 5 Some Choices in Forecast Construction, S. Wright; 6 Bayesian Analysis of the Black-Scholes Option Price, T. Darsinos & S. Satchell; 7 Bayesian Forecasting, T. Darsinos & S. Satchell; 8 Robust Optimisation for Utilising Forecasted Returns in Institutional Investment, C. Koutsoyannis & S. Satchell; 9 Cross-Sectional Stock Returns in the UK Market: The Role of Liquidity Risk, S. Hwang; 10 Information Horizons, E. Fishwick; 11 Optimal Forecasting Horizon for Skilled Investors, O. Williams & S. Satchell; (12) Investment as Bets in the Binomial Asset Pricing Model, D. Johnstone; 13 The Hidden Binomial Economy and The Role of Forecasts in Determining Prices, O. Williams & S. Satchell
Quotes and reviews
"Stephen Satchell's Forecasting Expected Returns in the Financial Markets is a long-awaited contribution to portfolio engineering. It blends very neat summaries of existing methods ranging from Bayesian techniques to robust or rank sorted optimizations with highly original cutting edge techniques. All contributions are written by outstanding and well-known individuals. I highly recommend this book. Reading it will come at no risk but with great return."
Dr Bernd Scherer, Managing Director, Global Head of Quantitative Structured Products, Morgan Stanley / IM-Alternative Investments
