Quantitative Equity Portfolio Management: Modern Techniques and Applications

Edward E. Qian, Ronald H. Hua, Eric H. Sorensen

May 11, 2007 by Chapman and Hall/CRC
Textbook - 464 Pages - 81 B/W Illustrations
ISBN 9781584885580 - CAT# C5580
Series: Chapman and Hall/CRC Financial Mathematics Series


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  • Presents the analytical insights of quantitative model building and provides a consistent framework that associates quantitative methods to equity portfolios
  • Employs theoretical, numerical, and empirical approaches to various examples and problems
  • Provides empirical back-test results to connect investment theory with historical investment performance
  • Describes the mathematical approach for model construction, particularly multi-factor models
  • Allows students to construct factors from raw data with the inclusion of quantitative factor definitions
  • Summary

    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.


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