Forecasting Expected Returns in the Financial Markets

299 p.

Description based upon print version of record

Front Cover; Forecasting Expected Returns in the Financial Markets; Copyright Page; Table of Contents; List of contributors; Introduction; Chapter 1 Market efficiency and forecasting; 1.1 Introduction; 1.2 A modern view of market efficiency and predictability; 1.3 Weak-form predictability; 1.4 Semi-strong form predictability; 1.5 Methodological issues; 1.6 Perspective; 1.7 Conclusion; References; Chapter 2 A step-by-step guide to the Black-Litterman model; 2.1 Introduction; 2.2 Expected returns; 2.3 The Black-Litterman model; 2.4 A new method for incorporating user-specified confidence levels

2.5 ConclusionReferences; Chapter 3 A demystification of the Black-Litterman model: managing quantitative and traditional portfolio construction; 3.1 Introduction; 3.2 Workings of the model; 3.3 Examples; 3.4 Alternative formulations; 3.5 Conclusion; Appendix; References; Chapter 4 Optimal portfolios from ordering information; 4.1 Introduction; 4.2 Efficient portfolios; 4.3 Optimal portfolios; 4.4 A variety of sorts; 4.5 Empirical tests; 4.6 Conclusion; Appendix A; Appendix B; References; Chapter 5 Some choices in forecast construction; 5.1 Introduction; 5.2 Linear factor models

5.3 Approximating risk with a mixture of normals5.4 Practical problems in the model-building process; 5.5 Optimization with non-normal return expectations; 5.6 Conclusion; References; Chapter 6 Bayesian analysis of the Black-Scholes option price; 6.1 Introduction; 6.2 Derivation of the prior and posterior densities; 6.3 Numerical evaluation; 6.4 Results; 6.5 Concluding remarks and issues for further research; Appendix; References; Chapter 7 Bayesian forecasting of options prices: a natural framework for pooling historical and implied volatility information; 7.1 Introduction

7.2 A classical framework for option pricing7.3 A Bayesian framework for option pricing; 7.4 Empirical implementation; 7.5 Conclusion; Appendix; References; Chapter 8 Robust optimization for utilizing forecasted returns in institutional investment; 8.1 Introduction; 8.2 Notions of robustness; 8.3 Case study: an implementation of robustness via forecast errors and quadratic constraints; 8.4 Extensions to the theory; 8.5 Conclusion; References; Chapter 9 Cross-sectional stock returns in the UK market: the role of liquidity risk; 9.1 Introduction; 9.2 Hypotheses and calculating factors

9.3 Empirical results9.4 Conclusions; References; Chapter 10 The information horizon - optimal holding period, strategy aggression and model combination in a multi-horizon framework; 10.1 The information coefficient and information decay; 10.2 Returns and information decay in the single model case; 10.3 Model combination; 10.4 Information decay in models; 10.5 Models - optimal horizon, aggression and model combination; Reference; Chapter 11 Optimal forecasting horizon for skilled investors; 11.1 Introduction; 11.2 Analysis of the single model problem; 11.3 Closed-form solutions

11.4 Multi-model horizon framework

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