Qian E.E., Hua R.H., Sorensen E.H. Quantitative Equity Portfolio Management: Modern Techniques and Applications

Chapman and Hall/CRC – 2007, 464 p.
ISBN10: 1584885580Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for quantitative investment students. Providing a solid foundation in the subject, Quantitative Equity Portfolio Management: Modern Techniques and Applications presents a self-contained overview and a detailed mathematical treatment of various topics.
From the theoretical basis of behavior finance to recently developed techniques, the authors review quantitative investment strategies and factors that are commonly used in practice, including value, momentum, and quality, accompanied by their academic origins. They present advanced techniques and applications in return forecasting models, risk management, portfolio construction, and portfolio implementation that include examples such as optimal multi-factor models, contextual and nonlinear models, factor timing techniques, portfolio turnover control, Monte Carlo valuation of firm values, and optimal trading. In many cases, the text frames related problems in mathematical terms and illustrates the mathematical concepts and solutions with numerical and empirical examples.
Ideal for students in computational and quantitative finance programs, Quantitative Equity Portfolio Management serves as a guide to combat many common modeling issues and provides a rich understanding of portfolio management using mathematical analysis.Introduction: Beliefs, Risk, Process
Beliefs
Risks
Quantitative Investment Process
Portfolio Theory
Distributions of Investment Returns
Optimal Portfolios
Capital Asset Pricing Model (CAPM)
Characteristic Portfolios
Risk Models and Risk Analysis
Arbitrage Pricing Theory and APT models
Risk Analysis
Contribution to Value at Risk
Evaluation of Alpha Factors
Alpha Performance Benchmarks-The Ratios
Single Period Skill: Information Coefficient
Multi-Period Ex Ante Information Rati
Empirical Examples
Quantitative Factors
Value Factors
Quality Factors
Momentum Factors
Valuation Techniques and Value Creation Valuation Framework
Free Cash Flow
Modeling Business Economics of a Firm
Cost of Capital
Explicit Period, Fade Period, and Terminal Value
Multi-Path Discounted Cash Flow Analysis
Multi-Factor Alpha Models
Single-Period Composite IC of a Multi-Factor Model
Optimal Alpha Model-An Analytical Derivation
Factor Correlation versus IC Correlation
Composite Alpha Model with Orthogonalized Factors
Fama-Macbeth Regression and Optimal Alpha Model
Portfolio Turnover and Optimal Alpha Model
Turnover of Fixed-Weight Portfolios
Turnover Due to Forecast Change
Turnover of Composite Forecasts
Information Horizon and Lagged Forecasts
Optimal Alpha Model under Turnover Constraint
Small Trades and Turnover
Advanced Alpha Modeling Techniques
Contextual Modeling
Mathematical Analysis of Contextual Modeling
Empirical Examination of Contextual Approach
Sector versus Contextual Modeling
Modeling Nonlinear Effects
Factor Timing Models
Calendar Effect-Behavioral Reasons
Calendar Effect-Empirical Results
The Earning Season Effect
Macro Timing Models
Portfolio Constraints and Information Ratio
Sector Neutral Constraint
Long-Short Ration of Unconstrained Portfoli
Long-Only Portfolios
The IR of Long-Only and Long-Short Portfolios
Transaction Costs & Portfolio Implementation
Components of Transaction Costs
Optimal Portfolios with Transaction Costs-Single Asset
Optimal Portfolios with Transaction Costs-Multi Asset
Portfolio Trading Strategies
Optimal Trading Horizon
Optimal Trading Strategies-Portfolios of StocksThe quality of the scan leaves much to be desired, but as they say, for lack of a stamp…