公平证券投资建模：从CAPM到共积FINANCIAL MODELING OF THE EQUITY MARKET: FROM CAPM TO COINTEGRATION 2025 chm pdf kindle rb azw3 下载 115盘

Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.

Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.

作者简介：FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management.

Preface

Acknowledgments

About the Authors

Chapter 1 Introduction

PART ONE: PORTFOLIO ALLOCATION: CLASSICAL THEORY AND MODERN EXTENSIONS

Chapter 2 Mean-Variance Analysis and Modern Portfolio Theory

Chapter 3 Transaction and Trading Costs

Chapter 4 Applying the Portfolio Selection Framework in Practice

Chapter 5 Incorporating Higher Moments and Extreme Risk Measures

Chapter 6 Mathematical and Numerical Optimization

PART TWO: MANAGING UNCERTAINTY IN PRACTICE

Chapter 7 Equity Price Models

Chapter 8 Forecasting Expected Return and Risk

Chapter 9 Robust Frameworks for Estimation and Portfolio Allocation

PART THREE: DYNAIC MODELS FOR EQITY PRICES

Chapter 10 Feedback and Predictors in Stock Markets

Chapter 11 Individual Price Processes: Univariate Models

Chapter 12 Multivariate Models

Chapter 13 Model Selection and its Pitfalls

PART FOUR: MODEL ESTIMATION AMD RISK MITIGATION

Chapter 14 Estimation of Regression Models

Chapter 15 Estimation of Linear Dynamic Models

Chapter 16 Estimation of Hidden Variable Models

Chapter 17 Model Risk and its Mitigation

Appendix A: Differences Equations

Appendix B: Correlations, Regressions, and Copulas/

Appendix C: Data Description

Index

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书籍介绍

An inside look at modern approaches to modeling equity portfolios

Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.

Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.