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Quantitative Equity Portfolio Management: An Active Approach to Portfolio Construction and Management (McGraw-Hill Library of Investment and Finance) 1st Edition
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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.
Capitalize on Today's Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio
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 risks
- The latest techniques for building optimization into a professionally managed portfolio
- An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
- An excellent melding of financial theory with real-world practice
- A 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 Authors
Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance at the University of San Francisco and on the academic board of IndexIQ. Previously, he was director of research at Rydex Global Advisors, the index mutual fund company. Prior to that, Dr. Chincarini was director of research at FOLIOfn, a brokerage firm that pioneered basket trading. He also worked at the Bank for International Settlements and 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.
- ISBN-109780071459396
- ISBN-13978-0071459396
- Edition1st
- PublisherMcGraw-Hill Education
- Publication dateAugust 17, 2006
- LanguageEnglish
- Dimensions6.2 x 1.5 x 9.2 inches
- Print length658 pages
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Editorial Reviews
From the Publisher
Ludwig B. Chincarini, CFA, is a professor of finance at the University of San Francisco and on the academic board of IndexIQ.
Daehwan Kim, Ph.D., is a finance professor at American University.
From the Back Cover
Finance and Investing
Capitalize 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 risks
- The latest techniques for building optimization into a professionally managed portfolio
- An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
- An excellent melding of financial theory with real-world practice
- A 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 Authors
Ludwig 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.
About the Author
Daehwan Kim, Ph.D., is a finance professor at Konkuk University.
Product details
- ASIN : 0071459391
- Publisher : McGraw-Hill Education; 1st edition (August 17, 2006)
- Language : English
- Hardcover : 658 pages
- ISBN-10 : 9780071459396
- ISBN-13 : 978-0071459396
- Item Weight : 2.45 pounds
- Dimensions : 6.2 x 1.5 x 9.2 inches
- Best Sellers Rank: #1,072,244 in Books (See Top 100 in Books)
- #240 in Library Management
- #335 in Financial Services Industry
- #9,325 in Business Management (Books)
- Customer Reviews:
About the authors
Ludwig B. Chincarini, CFA, PhD, is Professor of Finance in the School of Management at the University of San Francisco as well as Director of Quantitative Strategies for United States Commodity Fund Investments with over fifteen years of experience in the financial industry specializing in portfolio management, quantitative equity management, and derivatives. He also works with an angel group to help start-up companies. Prior to that he was a member of the academic council of Index IQ which was bought by NY Life in 2015, where he was instrumental in creating and developing some of the newest alternative ETFs, like QAI (the first hedge fund replicator), CPI (the first real return-inflation hedged vehicle), and MNA (the first risk-arbitrage ETF), as well as others. He was on academic council of Future Advisor, one of the early Robo-Advisor firms, which was bought by Blackrock in 2015. He wrote one of the first robo-adviser business plans in 2003 and a plan for Robo Advisor 2.0 in 2018.
He was Director of Research at Rydex Global Advisors (now Invesco), where he co-developed the S&P 500 equal-weight index, designed the successful ETF, RSP and helped launch the Rydex ETF program.
He helped build an internet brokerage firm, FOLIO Investing, designing its innovative basket trading and portfolio management platform. He also worked at the Bank for International Settlements (BIS) and Schroders.
He is the author of one of the classic books in the field of portfolio management entitled Quantitative Equity Portfolio Management and the book which introduced formally the idea of crowding as an alternative view of causes of the financial crisis with the appropriate title The Crisis of Crowding.
He received a PhD from the Massachusetts Institute of Technology and an BA from the University of California at Berkeley.
MORE INFO: www.ludwigbc.com
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Learn more how customers reviews work on AmazonCustomers say
Customers find the book useful and practical for quant equity portfolio management. They appreciate the good explanations and accessible explanations of the general ideas. The text is readable and well-organized, with tables and charts that make it easy to follow.
AI-generated from the text of customer reviews
Customers find the book useful and practical for quant equity portfolio management. They appreciate the good explanations and illustrations of the principles and structures for building a quantitative model. The slides included on a CD are helpful for digesting important topics. Overall, customers find the book informative and worth reading.
"...book illustrates clearly the principles and structures for building a quantitative equity portfolio while explaining useful financial concepts which..." Read more
"Unbelievable information. Gives a great well rounded, practical, and understandable review of topics that can be complex...." Read more
"...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..." Read more
"...Prof. Chincarini is a knowledgeable teacher and sincere buddy. I am glad to have taken his courses and owned a couple of his books." Read more
Customers find the book easy to use. The factor model is described in a clear and accessible manner.
"...tables or charts and the text itself is totally readable and easy to follow...." Read more
"...all the steps required to build a factor model in a clear and accessible manner. The kindle formatting messes up two things though...." Read more
"...(more practical and easier than Grinold & Kahn's book)...." Read more
"Very straight forward and descriptive" Read more
Customers find the book easy to read and follow. They describe the text as well-organized and articulated, with tables and charts.
"...thoroughly by well-managed tables or charts and the text itself is totally readable and easy to follow...." Read more
"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...." Read more
"...Yes, I like it very much and it reads well - especially if you have some textbook / knowledge from academia and just started working in the industry...." Read more
"...Well organized and articulated." Read more
Top reviews from the United States
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- Reviewed in the United States on September 6, 2013This 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.
- Reviewed in the United States on February 22, 2020Unbelievable information. Gives a great well rounded, practical, and understandable review of topics that can be complex. Understanding these topics are essential as fund management moves toward machine learning automation in the portfolio construction and trade execution space.
- Reviewed in the United States on January 4, 2009This 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.
- Reviewed in the United States on December 27, 2013I took finance courses with Prof. Chincarini in a graduate program in University of San Francisco. "Quantitative Equity Portfolio Management: An Active Approach to Portfolio" is a wonderful book. It is one of the few books I still keep paper copies of while others were donated or kept in digital form. Prof. Chincarini is a knowledgeable teacher and sincere buddy. I am glad to have taken his courses and owned a couple of his books.
- Reviewed in the United States on March 3, 2016There 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.
- Reviewed in the United States on April 13, 2016Book did not come with CD is there a download to the contents?
- Reviewed in the United States on March 23, 2016I bougth the book in 2011 and loved it. I heard there has been lot of updates in newer editions. Has anyone bought the book in the last year please? Does the CD have labs in MATLAB and R? The 2011 version did not have labs in R. Thanks
- Reviewed in the United States on March 12, 2014Goes 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.
Top reviews from other countries
- KingsleyReviewed in Canada on February 2, 2020
5.0 out of 5 stars An excellent book that touches all aspect of formulating quantitative strategies.
Best quantitative finance book out there.
- Carlo DigrandiReviewed in the United Kingdom on September 2, 2018
5.0 out of 5 stars Five Stars
good book, but missing some elements especially of the risk management
- V. IsozReviewed in France on April 21, 2014
2.0 out of 5 stars Old
There are very good QEPM return on experience tips in this book but the maths are poorly written and detailed proofs with step by step detailed examples are missing even in the PDF appendice. The stuff with Matlab and Stata are not described. This will be something unacceptabe for a 21th century book in my (very personnal) point of view.
-
CorMagReviewed in Germany on January 8, 2016
4.0 out of 5 stars Guter Einstieg...aber mit Vorischt zu geniessen
Den Disclaimer zuerst: meine persönlicher Eindruck und Erfahrung sind, daß Factor Modelle häufig ziemlicher overfitted-ter Mist sind und/oder das Problem mit der Instationarität von Finanzmarktdatensätzen nur am Rande oder gar nicht behandeln. Einfach richtig schlechte Empirie. Es gibt ein paar Ansätze aus dem Machine Learning Umfeld, die versuchen mit sowas umzugehen. Aber auch dieses Buch geht wie so häufig darauf nicht ein. Und Factor Modelle sind wesentlicher Bestandteil des Buches. Insofern würde ich die im Buch vorgestellten Ansätze mit Vorsicht genießen.
Auch sind die Methoden zur Optimierung an recht strenge Annahmen gekoppelt. Das Problem wird halt so formuliert, daß man es mit quadratic programming lösen kann. Ich finde da weniger "streng formale" Meta-Heuristische Ansätze und Simulation ineteressanter. Interessierte können mal die Seite von Dr. Christian Donninger googlen. Da gibts ein paar erfrischend unakademische Paper zu verwandten Themen.
Was das Buch aber bietet ist IMO ein guter Einstieg in einen kleinen Ausschnitt der Welt der Quantitative Finance: die Welt des "quantitative Portfolio Managements". Im Prinzip versucht man hier "plausible funadementale Annahmen" in ein quantitatives Modell zu pressen und daraus ein Portfolio zu selektieren. Wie erwähnt kommen die interessanten und IMO kriegsentscheienden Probleme in den Kapitel zum Forecasting und Back Test da etwas zu kurz.
Ansonsten aber leicht zugänglich und solide "State of the Art" bzgl. dieses Investment Ansatzes, wie er meiner Meinung nach auch von vielen in der Industrie verstanden wird.
Bestimmt auch interessant für viele am klassischen "Value Investment" orientierte Anleger, die mal in einer anderen Ecke wildern wollen:).
Wie gesagt, IMO an ist der gesamte Ansatz an vielen Stellen zu formal und an anderen Stellen gerade zu Pseudo-Wissenschaft, aber das ist meine Meinung zum Ansatz und nicht Problem des Buches. Ich hab es gern gelesen. Guter Einstieg und gute Quellen Angaben mit interessanten Papers zum weiteren Studium.
- Daniela NicolaReviewed in the United Kingdom on May 24, 2015
5.0 out of 5 stars Great service
I am very happy with the speed of delivery and the quality of the product