Table of Contents

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.

About the Author

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.

Sergio M. Focardi is a founding partner of the Paris-based consulting firm, The Intertek Group. He 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.

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.