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Quantitative 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.
- Sales Rank: #575830 in Books
- Published on: 2007-05-11
- Original language: English
- Number of items: 1
- Dimensions: 1.14" h x 6.33" w x 9.48" l, 1.71 pounds
- Binding: Hardcover
- 464 pages
Review
This book is a must have for quantitative equity managers and it provides a step-by-step illustration of how to build a superior, repeatable investment process. By combining academic research with practical implementation considerations, the book outlines the theoretical foundation of various market anomalies such as value, momentum, quality, calendar effect, and analyzes their actual performance with real world portfolios under institutional setting. The book can also serve as a valuable text and reference for students and academic researchers in the field. With rigorous mathematical analytics, the book goes beyond the traditional efficient frontier paradigm. For example, the objective of maximizing information ratio as a performance measure extends traditional academic research settings to make it more practically relevant. This results in some subtle yet critical analytical insights regarding quantitative factors and strategies. In addition, the mathematical treatment of the nonlinear factor effect and contextual factor model is intuitive and based on fundamental understanding of the market dynamics.
-Li Jin, Assistant Professor of Finance, Harvard Business School, Boston, Massachusetts, USA
Quantitative Equity Portfolio Management sets a new standard for comprehensive assessments of quantitative techniques. The authors' experience as practitioners brings to light critical issues of implementation, such as transaction costs and turnover, which have not previously achieved sufficient attention. Overall, the depth, rigor, and elegance of the authors' approach to the topic make it a valuable resource for investment professionals everywhere.
-Bruce MacDonald, Director, Asset Allocation and Risk Analysis, University of Virginia Investment Management Company, Charlottesville, USA
Fans of Grinold and Kahn's standard text Active Portfolio Management will love the new book Quantitative Equity Portfolio Management by Qian, Hua, and Sorensen. It reflects the latest, most up-to-date thinking on portfolio theory, risk and alpha modeling, transaction costs, and multiperiod strategies. The authors are expert, proven practitioners of the art and active researchers in the field, and have provided an essential handbook covering both theory and many practical implementation issues not available in existing books. This is a must-have addition to the bookshelf of professional portfolio managers and students of portfolio management alike. I also expect this book will inspire faculty in quantitative finance and financial engineering to add more quantitative portfolio management to the usual option pricing material that students learn on their way to careers in the investments industry.
-Alec N. Kercheval, Associate Professor, Director of Financial Mathematics, Florida State University, Tallahassee, USA
… a superb book for the sophisticated investment practitioner. It brings together rigorous derivation and practical insight across the complete spectrum of topics needed for an intelligent investment process. Most importantly, it brings forward detailed methodologies for dealing with subtle, but critical subjects such as alpha decay and optimal trading strategies that are beyond the scope of other texts. For many of us in the field, our only regret about the book will be that we did not write it.
-Dan diBartolomeo, President, Northfield Information Services, Inc., Boston, Massachusetts, USA
About the Author
PanAgora Asset Management, Boston, Massachusetts, USA PanAgora Asset Management, Boston, Massachusetts, USA PanAgora Asset Management, Boston, Massachusetts, USA
Most helpful customer reviews
9 of 9 people found the following review helpful.
Printing issues
By Ian McDonald
The book itself is a clear explanation of the cross sectional approach to forecasting and portfolio construction, primarily applied to equities. The overall level of the book is both informative and mathematically straightforward, a good guide to a research framework. It covers somewhat similar ground as Grinold and Kahn, but from more of a cross-sectional as opposed to time series perspective. Both viewpoints have value, but this text feels more fleshed out and clear than GK. It is hard to argue against getting this book if you are interested in the field.
My gripe is that the book itself has numerous typographical issues, largely around leaving out various math symbols. I contacted the publisher and they verified the issue and are in process of fixing (older versions of the book do not have the problem) but I would be aware that "fixed" versions of the book may not be available yet. The errors are things that are more annoying than anything, one can piece together the idea and see what is missing. But for an expensive book aimed at potential practitioners, this should be fixed.
8 of 9 people found the following review helpful.
The best book on quantitative equity research and portfolio management
By Yin Luo
This is the best book on the market on quantitative equity research and portfolio management. This book is written by three highly respected quant managers at one of the best buy-side quant firms, Panagora. It's a great book for both students who want to learn quant equity research and practitioners in this business. In addition to entry-level materials on how to build factor models, the authors also include a few more advanced topics about dynamic factor weighting, contextual modeling, portfolio construction with transaction costs, etc. It's very well written, rigorous yet still highly readable. This book was published in 2007, just before the quant crisis; therefore, it didn't cover those areas like how to deal with market crisis, macroeconomic regime shift, and the latest new databases/factors. It's much more practical than Grinold and Kahn's [1999] book and roughly at the same level as Chincarini and Kim [2006], which is another book I'd recommend.
0 of 0 people found the following review helpful.
Five Stars
By Jun
nice book
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