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.
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.
Introduction: Beliefs, Risk, Process. Portfolio Theory. Risk Models and Risk Analysis. Evaluation of Alpha Factors. Quantitative Factors. Valuation Techniques and Value Creation. Multi-Factor Alpha Models. Portfolio Turnover and Optimal Alpha Model. Advanced Alpha Modeling Techniques. Factor Timing Models. Portfolio Constraints and Information Ratio. Transaction Costs and Portfolio Implementation.
Edward E. Qian, Ronald H. Hua, Eric H. Sorensen
"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
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