公平证券投资建模：从CAPM到共积FINANCIAL MODELING OF THE EQUITY MARKET: FROM CAPM TO COINTEGRATION

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.
Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm, The Intertek Group. He is a member of the editorial board of the Journal of Portfolio Management. He is also the author of numerous articles and books on financial modeling. Petter N. Kolm, PhD (New Haven, CT and New York, NY), is a graduate student in finance at the Yale School of Management and a financial consultant in New York City. Previously, he worked in the Quantitative Strategies Group of Goldman Sachs Asset Management, where he developed quantitative investment models and strategies.
　　作者简介：FRANK J. FABOZZI, PHD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management and a Fellow of the International Center for Finance. 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.

Preface
Acknowledgments
About the Authors
Chapter 1 Introduction
PART ONE: PORTFOLIO ALLOCATION: CLASSICAL THEORY AND MODERN EXTENSIONS
Chapter 2 Mean-Variance Analysis and Modern Portfolio Theory
Chapter 3 Transaction and Trading Costs
Chapter 4 Applying the Portfolio Selection Framework in Practice
Chapter 5 Incorporating Higher Moments and Extreme Risk Measures
Chapter 6 Mathematical and Numerical Optimization
PART TWO: MANAGING UNCERTAINTY IN PRACTICE
Chapter 7 Equity Price Models
Chapter 8 Forecasting Expected Return and Risk
Chapter 9 Robust Frameworks for Estimation and Portfolio Allocation
PART THREE: DYNAIC MODELS FOR EQITY PRICES
Chapter 10 Feedback and Predictors in Stock Markets
Chapter 11 Individual Price Processes: Univariate Models
Chapter 12 Multivariate Models
Chapter 13 Model Selection and its Pitfalls
PART FOUR: MODEL ESTIMATION AMD RISK MITIGATION
Chapter 14 Estimation of Regression Models
Chapter 15 Estimation of Linear Dynamic Models
Chapter 16 Estimation of Hidden Variable Models
Chapter 17 Model Risk and its Mitigation
Appendix A: Differences Equations
Appendix B: Correlations, Regressions, and Copulas/
Appendix C: Data Description
Index