Forecasting Expected Returns in the Financial Markets

Author： Satchell   Stephen  

Publisher： Elsevier Science‎

Publication year： 2011

E-ISBN: 9780080550671

P-ISBN(Paperback): 9780750683210

P-ISBN(Hardback):  9780750683210

Subject： F2 Economic Planning and Management;F8 Finances

Language： ENG

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Description

Forecasting returns is as important as forecasting volatility in multiple areas of finance. This topic, essential to practitioners, is also studied by academics. In this new book, Dr Stephen Satchell brings together a collection of leading thinkers and practitioners from around the world who address this complex problem using the latest quantitative techniques.

*Forecasting expected returns is an essential aspect of finance and highly technical
*The first collection of papers to present new and developing techniques
*International authors present both academic and practitioner perspectives

Chapter

Front Cover

pp.：  1 – 4

Forecasting Expected Returns in the Financial Markets

pp.：  4 – 5

Copyright Page

pp.：  5 – 6

Table of Contents

pp.：  6 – 10

List of contributors

pp.：  10 – 12

Introduction

pp.：  12 – 14

Chapter 1 Market efficiency and forecasting

pp.：  14 – 30

Chapter 2 A step-by-step guide to the Black–Litterman model

pp.：  30 – 52

Chapter 3 A demystification of the Black–Litterman model: managing quantitative and traditional portfolio construction

pp.：  52 – 68

Chapter 4 Optimal portfolios from ordering information

pp.：  68 – 114

Chapter 5 Some choices in forecast construction

pp.：  114 – 130

Chapter 6 Bayesian analysis of the Black–Scholes option price

pp.：  130 – 164

Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information

pp.：  164 – 190

Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment

pp.：  190 – 204

Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk

pp.：  204 – 228

Chapter 10 The information horizon – optimal holding period, strategy aggression and model combination in a multi-horizon framework

pp.：  228 – 240

Chapter 11 Optimal forecasting horizon for skilled investors

pp.：  240 – 264

Chapter 12 Investments as bets in the binomial asset pricing model

pp.：  264 – 278

Chapter 13 The hidden binomial economy and the role of forecasts in determining prices

pp.：  278 – 294

Index

pp.：  294 – 300

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