| Developments in Forecast Combination and Portfolio Choice Contributor(s): Dunis, Christian L. (Editor), Timmermann, Allan (Editor), Moody, John E. (Editor) |
|
 |
ISBN: 0471521655 ISBN-13: 9780471521655 Publisher: Wiley OUR PRICE: $161.50 Product Type: Hardcover Published: October 2001 Annotation: "Dunis, Timmermann and Moody have assembled a fascinating and insightful collection of articles that address the latest developments in forecast combination, long memory, and portfolio choice. These papers present state-of-the-art estimation techniques along with relevant empirical applications. Both academics and practitioners will find this anthology to be a worthy addition to their libraries." -- Joshua Rosenberg, NYU - Stern School of Business "A modern book on financial econometrics has to consider interesting and relevant topics from the viewpoint of recently developed techniques that have been shown to actually work. This book delivers in all aspects&The many new techniques displayed include the use of loss functions based on economic rather than statistical criteria, the benefits of combining forecasts, dimension reduction, structural changes, and long memory fractional cointegration, neural networks, and high frequency data techniques applied to exchange rates. The authors provide plenty to think about." -- Professor Clive W J Granger, University of California, San Diego "This book is a welcome addition to the literature on forecasting in financial markets." -- Professor Ken Holden, Liverpool Business School "Developments in Forecast Combination and Portfolio Choice" brings together papers that address current frontier research within the field of quantitative finance. Focusing on three core themes of model and forecast combinations; structural change and long memory; and controlling downside risk and investment strategies, the book provides an authoritative collection of readings that are relevant to academics and practitioners alike. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Investments & Securities - General |
| Dewey: 332.6 |
| LCCN: 2001024348 |
| Series: Financial Economics and Quantitative Analysis |
| Physical Information: 0.97" H x 6.7" W x 9.86" (1.57 lbs) 344 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Dieses Buch basiert auf der 'Forecasting Financial Markets and Computational Finance Conference 2000'. Im wesentlichen konzentriert es sich auf die folgenden drei Themenschwerpunkte: Modell- und Prognosekombinationen, Strukturwandel sowie Steuerung von Kursverlustpotential und Anlagestrategien. Die Autoren sind führende internationale Forscher und Experten aus der Praxis. Hier beantworten sie ausführlich die drei Kernfragen, die für Portfolio Manager von grö tem Interesse sind: Wie erreicht man eine grö ere Prognosegenauigkeit? Wie begegnet man dem Strukturwandel bei Portfolio-Strukturierungsmodellen? Wie steuert man das Kursrisiko nach unten, d.h. wie wirkt man dem Kursverlust im Portfolio Management entgegen? |