UID:
almafu_9959327596302883
Format:
1 online resource (352)
ISBN:
1283026422
,
9781283026420
Content:
Innovative insights on creating models that will help you become a disciplined intelligent investorThe pioneer of value investing, Benjamin Graham, believed in a philosophy that continues to be followed by some of today's most successful investors, such as Warren Buffett. Part of this philosophy includes adhering to your stock selection process come "hell or high water" which, in his view, was one of the most important aspects of investing. So, if a quant designs and implements mathematical models for predicting stock or market movements, what better way to remain objective, then to invest usin.
Note:
Cover -- Contents -- Preface -- Introduction: The Birth of the Quant -- Characterizing the Quant -- Active Versus Passive Investing -- Chapter 1 Desperately Seeking Alpha -- The Beginnings of the Modern Alpha Era -- Important History of Investment Management -- Methods of Alpha Searching -- Chapter 2 Risky Business -- Experienced Versus Exposed Risk -- The Black Swan: A Minor Ele Event8212;Are Quants to Blame? -- Active Versus Passive Risk -- Other Risk Measures: Var, C-Var, and Etl -- Summary -- Chapter 3 Beta Is Not 8220;Sharpe8221; Enough -- Back to Beta -- Beta and Volatility -- The Way to a Better Beta: Introducing the G-Factor -- Tracking Error: The Deviant Differential Measurer -- Summary -- Chapter 4 Mr. Graham, I Give You Intelligence -- Fama-French Equation -- The Graham Formula -- Factors for Use in Quant Models -- Momentum: Increasing Investor Interest -- Volatility As a Factor in Alpha Models -- Chapter 5 Modeling Pitfalls and Perils -- Data Availability, Look-Ahead, and Survivorship Biases -- Building Models You Can Trust -- Scenario, Out-of-Sample, and Shock Testing -- Data Snooping and Mining -- Statistical Significance and Other Fascinations -- Choosing An Investment Philosophy -- Growth, Value, Quality -- Investment Consultant As Dutch Uncle -- Where Are the Relative Growth Managers? -- Chapter 6 Testing the Graham Crackers ... Er, Factors -- The First Tests: Sorting -- Time-Series Plots -- The Next Tests: Scenario Analysis -- Chapter 7 Building Models From Factors -- Surviving Factors -- Weighting the Factors -- The Art Versus Science of Modeling -- Time Series of Returns -- Other Conditional Information -- The Final Model -- Other Methods of Measuring Performance: Attribution Analysis Via Brinson and Risk Decomposition -- Regression of the Graham Factors With Forward Returns -- Chapter 8 Building Portfolios From Models -- The Deming Way: Benchmarking Your Portfolio -- Portfolio Construction Issues -- Using An Online Broker: Fidelity, E*Trade, Td Ameritrade, Schwab, Interactive Brokers, and Tradestation -- Working With a Professional Investment Management System: Bloomberg, Clarifi, and Factset -- Chapter 9 Barguments: The Antidementia Bacterium -- The Colossal Nonfailure of Asset Allocation -- The Stock Market As a Class of Systems -- Stochastic Portfolio Theory: An Introduction -- Portfolio Optimization: The Laymans Perspective -- Tax-Efficient Optimization -- Summary -- Chapter 10 Past and Future View -- Why Did Global Contagion and Meltdown Occur? -- Fallout of Crises -- The Rise of the Multinational State-Owned Enterprises -- The Emerged Markets -- The Future Quant -- Notes -- Acknowledgments -- About the Author -- Index.
Language:
English
Keywords:
Electronic resource.
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Electronic books.
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Electronic resource.
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Electronic books.
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Electronic resource.
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Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118267042
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118267042
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/9781118267042
