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Linear factor models in finance / John Knight and Stephen Satchell.

By: Contributor(s): Material type: TextTextSeries: Quantitative finance seriesPublisher: Oxford ; Boston : Elsevier/Butterworth-Heinemann, 2005Description: xiv, 282 pages ; 24 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 0750660066
  • 9780750660068
Subject(s): DDC classification:
  • 332.015118 22
LOC classification:
  • HG106 .K55 2005
Contents:
1. Review of literature on multifactor asset pricing models / Mario Pitsillis -- 2. Estimating UK factor models using the multivariate skew normal distribution / C. J. Adcock -- 3. Misspecification in the linear pricing model / Ka-Man Lo -- 4. Bayesian estimation of risk premia in an APT context / Theofanis Darsinos and Stephen E. Satchell -- 5. Sharpe style analysis in the MSCI sector portfolios : a Monte Carlo integration approach / George A. Christodoulakis -- 6. Implication of the method of portfolio formation on asset pricing tests / Ka-Man Lo -- 7. The small noise arbitrage price theory and its welfare implications / Stephen E. Satchell -- 8. Risk attribution in a global country-sector model / Alan Scowcroft and James Sefton -- 9. Predictability of fund of hedge fund returns using DynaPorte / Greg N. Gregoriou and Fabrice Rouah -- 10. Estimating a combined linear factor model / Alvin L. Stroyny -- 11. Attributing investment risk with a factor analytic model / T. Wilding -- 12. Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information / Dan diBartolomeo and Sandy Warrick -- 13. Decomposing factor exposure for equity portfolios / David Tien, Paul Pfleiderer, Robert Maxim and Terry Marsh.
Review: "The determination of the values of stocks, bonds, options, futures and derivatives is ascertained through the process of asset pricing. Due to advances in financial theory and econometrics asset pricing has developed dramatically in the last few years. This book covers new advances in asset pricing by concentrating on the most widely used and important modelling technique, Linear Factor Modelling." "As a minimum, the reader of this book must have a working knowledge of basic calculus, simple optimization and elementary statistics. In particular the reader must be comfortable with algebraic manipulation of means and variances of linear combinations of random variables. Some topics presented may require a greater mathematical sophistication, however, a survey chapter should help the reader to master this valuable material."--BOOK JACKET.
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Holdings
Item type Current library Call number Copy number Status Date due Barcode
Book City Campus City Campus Main Collection 332.015118 KNI (Browse shelf(Opens below)) 1 Available A414444B

Includes bibliographical references and index.

1. Review of literature on multifactor asset pricing models / Mario Pitsillis -- 2. Estimating UK factor models using the multivariate skew normal distribution / C. J. Adcock -- 3. Misspecification in the linear pricing model / Ka-Man Lo -- 4. Bayesian estimation of risk premia in an APT context / Theofanis Darsinos and Stephen E. Satchell -- 5. Sharpe style analysis in the MSCI sector portfolios : a Monte Carlo integration approach / George A. Christodoulakis -- 6. Implication of the method of portfolio formation on asset pricing tests / Ka-Man Lo -- 7. The small noise arbitrage price theory and its welfare implications / Stephen E. Satchell -- 8. Risk attribution in a global country-sector model / Alan Scowcroft and James Sefton -- 9. Predictability of fund of hedge fund returns using DynaPorte / Greg N. Gregoriou and Fabrice Rouah -- 10. Estimating a combined linear factor model / Alvin L. Stroyny -- 11. Attributing investment risk with a factor analytic model / T. Wilding -- 12. Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information / Dan diBartolomeo and Sandy Warrick -- 13. Decomposing factor exposure for equity portfolios / David Tien, Paul Pfleiderer, Robert Maxim and Terry Marsh.

"The determination of the values of stocks, bonds, options, futures and derivatives is ascertained through the process of asset pricing. Due to advances in financial theory and econometrics asset pricing has developed dramatically in the last few years. This book covers new advances in asset pricing by concentrating on the most widely used and important modelling technique, Linear Factor Modelling." "As a minimum, the reader of this book must have a working knowledge of basic calculus, simple optimization and elementary statistics. In particular the reader must be comfortable with algebraic manipulation of means and variances of linear combinations of random variables. Some topics presented may require a greater mathematical sophistication, however, a survey chapter should help the reader to master this valuable material."--BOOK JACKET.

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