Portfolio Management
Financial Modeling of the Equity Market: From CAPM to Cointegration

Authors: Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Editions: Wiley Finance
Pages: 651 pages
Date: January 2006
Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, including dimensionality reduction, Bayesian estimates, the Black-Litterman model, and random coefficient models, are also covered in depth. Important advances in transaction cost measurement and modeling, robust optimization, and recent developments in optimization with higher moments are also discussed.

About the Authors:

Frank J. Fabozzi, PHD, CFA, CPA, was the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance at the time of writing. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi is the Editor of the Journal of Portfolio Management. He is currently Professor of Finance at EDHEC Business School.

Sergio M. Focardi was a founding partner of the Paris-based consulting firm, The Intertek Group at the time of writing, which consults on, trains on, and implements quantitative financial models. He is also a member of the editorial board of the Journal of Portfolio Management and author of numerous articles and books on financial modeling.
Sergio Focardi is currently Professor of Finance at EDHEC Business School.

Petter N. Kolm, PHD, is a doctoral student in finance at Yale University's School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies group at Goldman Sachs Asset Management where he developed quantitative investment models and strategies.

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