Equity Valuation and Portfolio Management
1. Edition October 2011
576 Pages, Hardcover
Wiley & Sons Ltd
A detailed look at equity valuation and portfolio management
Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities.
In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities.
* Discusses both fundamental and new techniques for valuation and strategies
* Fabozzi and Markowitz are experts in the fields of investment management and economics
* Includes end of chapter bullet point summaries, key chapter take-aways, and study questions
Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.
About the Editors xxiii
Contributing Authors xxv
CHAPTER 1: An Introduction to Quantitative Equity Investing 1
Paul Bukowski
CHAPTER 2: Equity Analysis Using Traditional and Value-Based Metrics 25
James L. Grant and Frank J. Fabozzi
CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits 71
Stanley Kogelman and Martin L. Leibowitz
CHAPTER 4: Relative Valuation Methods for Equity Analysis 105
Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland
CHAPTER 5: Valuation over the Cycle and the Distribution of Returns 125
Anders Ersbak Bang Nielsen and Peter C. Oppenheimer
CHAPTER 6: An Architecture for Equity Portfolio Management 147
Bruce I. Jacobs and Kenneth N. Levy
CHAPTER 7: Equity Analysis in a Complex Market 171
Bruce I. Jacobs and Kenneth N. Levy
CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management 189
Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas
CHAPTER 9: Implementable Quantitative Equity Research 231
Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma
CHAPTER 10: Tracking Error and Common Stock Portfolio Management 251
Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones
CHAPTER 11: Factor-Based Equity Portfolio Construction and Analysis 265
Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi
CHAPTER 12: Cross-Sectional Factor-Based Models and Trading Strategies 291
Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi
CHAPTER 13: Multifactor Equity Risk Models and Their Applications 339
Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural
CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management 373
Dorsey D. Farr
CHAPTER 15: A Factor Competition Approach to Stock Selection 397
Joseph Mezrich and Junbo Feng
CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios 413
Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen
CHAPTER 17: Modeling Market Impact Costs 425
Petter N. Kolm and Frank J. Fabozzi
CHAPTER 18: Equity Portfolio Selection in Practice 441
Dessislava A. Pachamanova and Frank J. Fabozzi
CHAPTER 19: Portfolio Construction and Extreme Risk 483
Jennifer Bender, Jyh-Huei Lee, and Dan Stefek
CHAPTER 20: Working with High-Frequency Data 497
Irene Aldridge
CHAPTER 21: Statistical Arbitrage 521
Brian J. Jacobsen
About the Website 535
Index 537
Harry M. Markowitz, PhD, is a consultant in the area of finance. In 1990, he was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his groundbreaking work in portfolio theory. In 1989, he received the John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciences for his work in portfolio theory and other applications of mathematics and computers to business practice.
