书名:Linear Factor Models in Finance (Quantitative Finance Series)
作者:John Knight (Editor), Stephen Satchell
版次:1 edition (January 28, 2005)
格式:精美pdf非扫描版
页数:299 pages
出版者:Butterworth-Heinemann
简介:http://www.amazon.com/gp/reader/0750660066/ref=sib_dp_pt/105-0534350-4110008#reader-link
Table of Contents
1 Review of literature on multifactor asset pricing models 1
2 Estimating UK factor models using the multivariate skew normal distribution 12
3 Misspecification in the linear pricing model 30
4 Bayesian estimation of risk premia in an APT context 61
5 Sharpe style analysis in the MSCI sector portfolios : a Monte Carlo integration approach 83
6 Implication of the method of portfolio formation on asset pricing tests 95
7 The small noise arbitrage price theory and its welfare implications 150
8 Risk attribution in a global country-sector model 159
9 Predictability of fund of hedge fund returns using DynaPorte 202
10 Estimating a combined linear factor model 210
11 Attributing investment risk with a factor analytic model 226
12 Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information 249
13 Decomposing factor exposure for equity portfolios 262
[此贴子已经被作者于2007-12-1 7:17:27编辑过]