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Portfolio Management - March 17, 2010

EDHEC Professor Sergio Focardi co-authors new book on Quantitative Equity Investing

Dr. Sergio Focardi, Professor of Finance at EDHEC Business School, and Programme Director of the EDHEC-Risk Institute Executive MSc in Risk and Investment Management for Europe, has released a new book entitled “Quantitative Equity Investing: Techniques and Strategies”, co-authored with Frank J. Fabozzi and Petter N. Kolm.

Published by Wiley, the book takes a comprehensive look at the tools and techniques used in quantitative equity management.

Although some publications attempt to extend portfolio theory, the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. This book aims to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios.

The authors address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained.

Dr. Focardi is a specialist in quantitative equity management, portfolio optimisation, financial modelling and econometrics, and risk management. He holds an MSc in Electronic Engineering from the Swiss Federal Institute of Technology and a PhD in mathematical finance from the University of Karlsruhe.

He was previously a partner at the Intertek Group, a firm specialised in research, training and consulting in quantitative portfolio management and mathematical finance. Prior to founding the Intertek Group in 1993, he was the Managing Director of the Italian subsidiary of Control Data Corporation. Dr. Focardi’s research interests include the econometrics of large equity portfolios and the modelling of interactions between multiple heterogeneous agents. He has developed proprietary models for equity management. His work on quantitative equity management, trading, investment management, portfolio optimisation, credit risk contagion, and financial econometrics has appeared in leading academic and practitioner journals. He sits on the editorial board of the Journal of Portfolio Management and has authored and co-authored award-winning books on financial modelling and investment management, together with CFA Institute monographs on equity management and quantitative finance.

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