Equity management : the art and science of modern quantitative investing / Bruce I. Jacobs and Kenneth N. Levy ; forewords by Harry M. Markowitz, Nobel Laureate.

"Includes 24 new journal articles plus all the classic originals."--Front cover.

Includes bibliographical references and index.

Introduction: Our approach to quantitative investing -- Part One: Profiting in a multidimensional, dynamic world -- Chapter 1: Ten investment insights that matter -- Chapter 2: The Complexity of the stock market -- Chapter 3: Disentangling equity return regularities: new insights and investment opportunities -- Chapter 4: On the Value of "value" -- Chapter 5: Calendar anomalies : abnormal returns at calendar turning points -- Chapter 6: Forecasting the size effect -- Chapter 7: Earnings estimates, predictor specification, and measurement error -- Part Two: Managing portfolios in a multidimensional, dynamic world -- Chapter 8: Engineering portfolios: a unified approach -- Chapter 9: The Law of one alpha -- Chapter 10: Residual risk: how much is too much? -- Chapter 11: High-definition style rotation -- Chapter 12: Smart beta: too good to be true -- Chapter 14: Is smart beta state of the art? -- Chapter 15: Investing in a multidimensional market -- Part Three: Expanding opportunities with market-neutral long-short portfolios -- Chapter 16: Long-short equity investing -- Chapter 17: 20 myths about long-short -- Chapter 18: The Long and short on long-short -- Chapter 19: Long-short portfolio management: an integrated approach -- Chapter 20: Alpha transport with derivatives -- Part Four: Expanding opportunities with enhanced active 130-30 portfolios -- Chapter 21: Enhanced active equity strategies: relaxing the long-only constraint in the pursuit of active return -- Chapter 22: 20 myths about enhanced active 120-20 strategies -- Chapter 23: Enhanced active equity portfolios are trim equitized long-short portfolios -- Chapter 24: On the optimality of long-short strategies -- Part Five: Optimizing portfolios with short positions -- Chapter 25: Timability and fast optimization of long-short portfolios -- Chapter 26: Portfolio optimization with factors, scenarios, and realistic short ppsitions -- Part Six: Optimizing portfolios for leverage-averse investors -- Chapter 27: Leverage aversion and portfolio optimality -- Chapter 28: Leverage aversion, efficient frontiers, and the efficient region -- Chapter 29: Introducing leverage aversion into portfolio theory and practice -- Chapter 30: A Comparison of the mean-variance-leverage optimization model and the Markowitz general mean-variance portfolio selection model -- Chapter 31: Traditional optimization is not optimal for leverage-averse investors -- Chapter 32: The Unique risks of portfolio leverage: why modern portfolio theory fails and how to fix it -- Part Seven: Shifting risk can lead to financial crises -- Chapter 33: Option pricing theory and its unintended consequences -- Chapter 34: When seemingly infallible arbitrage strategies fail -- Chapter 35: Momentum trading: the new alchemy -- Chapter 36: Risk avoidance and market fragility -- Chapter 37: Tumbling tower of Babel: subprime securitization and the credit crisis -- Chapter 38: Financial market simulation -- Chapter 39: Simulating security markets in dynamic and equilibrium modes.

"A powerful combination of in-depth research and expert insights gained from decades of experience, Equity Management, Second Edition includes 24 new peer-reviewed articles that help leveraged long-short investors and leverage-averse investors navigate today’s complex and unpredictable markets."--Inside pocket.

Equity Management provides the most comprehensive treatment of the subject to date. More than a mere compilation of articles, this collection provides a carefully structured view of modern quantitative investing. You’ll come away with levels of insight and understanding that will give you an edge in increasingly complex and unpredictable markets.

Fund 164 Belview Co., Inc. Purchased 04/25/2019 76911 NEJ PHP 3,980.00 2019-84-299 2019-1-0256