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Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance), by Ludwig B. Chincarini Daehwan Kim
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From the Back Cover
[Back Cover Copy]Finance and InvestingCapitalize on Today's Most Powerful Quantitative Methodsto Construct and Manage a High-Performance Equity Portfolio!Praise for Quantitative Equity Portfolio Management"A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management."ERIC ROSENFELD, Principal & Co-founder of JWM Partners"This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice."_STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology"The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor."_DAVID BLITZER, Managing Director and Chairman, Standard & Poor's Index Committee"Making the transition from the walls of academia to Wall Street has traditionally been a difficult task...This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting."_MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors"This text provides an excellent synthesis of a broad range of quantitative portfolio management methods...In addition, there are a number of insightful innovations that extend and improve current techniques."_DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.[Flap Copy Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts. Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking...to fundamental factor models, economic factor models, and forecasting factor premiums and exposures. Readers will also find step-by-step coverage of portfolio weights... rebalancing and transaction costs...tax management...leverage...market neutral...Bayesian _...performance measurement and attribution...the back testing process...and portfolio performance. Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risksThe latest techniques for building optimization into a professionally managed portfolioAn accompanying CD with a wide range of practical exercises and solutions using actual historical stock dataAn excellent melding of financial theory with real-world practiceA wealth of down-to-earth financial examples and case studies Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials. An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.About the AuthorsLudwig B. Chincarini, Ph.D., CFA, is a professor of finance at the University of San Francisco and Director of Quantitative Strategies at United States Commodity Funds. He was previously on the academic board of IndexIQ and Future Advisor, Director of Research at Rydex Global Advisors (now Guggenheim), Director of Research at FOLIOfn, a brokerage firm that pioneered basket trading, and analyst and portfolio manager at the BIS. He holds a Ph.D. in economics from the Massachusetts Institute of Technology. Daehwan Kim, Ph.D., is a professor of economics at the American University in Bulgaria. Previously, he was employed as a financial economist for FOLIOfn. Dr. Kim also worked as a financial journalist, writing regular columns on financial markets for business media in Asia. He also holds a Ph.D. in economics from Harvard University.
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About the Author
Ludwig B. Chincarini, CFA, is a professor of finance at the University of San Francisco and Director of Quantitative Strategies at United States Commodity Funds.Daehwan Kim, Ph.D., is a finance professor at Konkuk University.
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Product details
Series: McGraw-Hill Library of Investment and Finance
Hardcover: 658 pages
Publisher: McGraw-Hill Education; 1 edition (August 17, 2006)
Language: English
ISBN-10: 9780071459396
ISBN-13: 978-0071459396
ASIN: 0071459391
Product Dimensions:
6.2 x 1.5 x 9.2 inches
Shipping Weight: 2.5 pounds (View shipping rates and policies)
Average Customer Review:
4.4 out of 5 stars
38 customer reviews
Amazon Best Sellers Rank:
#99,227 in Books (See Top 100 in Books)
This book is a great introduction to portfolio management. One can learn how to create factor models and the level of math used is accessable for a typical economics/government graduate working in financial services. The inclusion of tax and leverage considerations as well as a section on backtesting make the book especially useful for real world applications.I would recommend that the book include more on simulation in the backtesting section along with a detailed section/apenddix on fitting distributions. This is an area where I and everyone I know required another individual to train because there were no other easily accessable resources available.
This book illustrates clearly the principles and structures for building a quantitative equity portfolio while explaining useful financial concepts which are closely related to the topic. The authors managed to describe most key factors without using complicated mathematical models. There are also many practical examples and analysis which help readers apply the theoretical knowledge into real-world scenarios. Complicated ideas are explained thoroughly by well-managed tables or charts and the text itself is totally readable and easy to follow. As a reader who has a finance background, this book helped me get the picture of quantitative equity portfolio and helped me learn critical concepts and strategies that are used by quant managers. This is a fantastic book for those who are interested in QEPM and/or who want to broaden their financial knowledge out side of pure-fundamental-analizing world.Strongly recommended.
Very good book but prefer the value and quality dynamic strategies from Alpha Vee Solutions
Goes through all the steps required to build a factor model in a clear and accessible manner. The kindle formatting messes up two things though. Firstly, the equations have been rendered as images which look a mess when a variable is mentioned inline with the text. Secondly all text including footnotes are presented in the same order on the page as they are in the print version. This results in footnotes randomly appearing in a confusing manner. When viewed on the the desktop the Kindle window can be resized to a view matching the print version which eliminates the problems, but on a Kindle device it can be a bit difficult to read.
I purchased this book to focus on two broad areas: portfolio construction and backtesting. I was not disappointed--both sections were excellently presented. Written in clear, precise prose (no theory obfuscation) and then illustrated with rigorous formulas and copious examples. I found the treatment of factors especially well done from identifying their suitablity to their use in screening and modeling. The book is well organized; individual chapters can be read on a stand alone basis or a group of chapters taken together for a more comprehensive view. It's a volume that's exceptionally well suited for individuals with a solid grasp of fundamental analysis and a strong command of basic statistics.
One of the geatest books for finance. Not a texbook but not a novel either, staright to the point, great labs that are coming with the book.
Yet another Chincarini hit. I strongly suggest this book for quants. Not so good if you're looking for something less math heavy.
There is a right balance of fun and detail. Though English is not a my first language, you can still manage to enjoy it. You will definitely understand the different aspects of financial crisis better after reading it. How different parties participated in this crisis.
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Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance), by Ludwig B. Chincarini Daehwan Kim PDF
