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Linear factor models in finance

Linear factor models in finance (Loan 2 times)

Material type
Personal Author
Knight, John L. Satchell, S. (Stephen)
Title Statement
Linear factor models in finance / John Knight and Stephen Satchell.
Publication, Distribution, etc
Oxford ;   Boston :   Elsevier/Butterworth-Heinemann ,   2005.  
Physical Medium
xiv, 282 p. ; 24 cm.
Series Statement
Quantitative finance series
0750660066 : 9780750660068
Subject Added Entry-Topical Term
Finance -- Mathematical models.
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245 1 0 ▼a Linear factor models in finance / ▼c John Knight and Stephen Satchell.
260 ▼a Oxford ; ▼a Boston : ▼b Elsevier/Butterworth-Heinemann , ▼c 2005.
300 ▼a xiv, 282 p. ; ▼c 24 cm.
440 0 ▼a Quantitative finance series
650 0 ▼a Finance ▼x Mathematical models.
700 1 ▼a Satchell, S. ▼q (Stephen)
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994 ▼a C0 ▼b KUB

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Science & Engineering Library/Sci-Info(Stacks2)/ Call Number 332.015118 K69L Accession No. 121145322 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Review of the literature on multifactor asset pricing, M.Pitsillis. Estimating UK factor models using multivariate skew normal distribution, C. Adcock. Misspecification in the Linear Pricing Model, I. Lo. Bayesian estimation of Risk-Premia in an APT context, T. Darsinos and S. Satchell. Sharpe Style Analysis in the MSCI Sector Portfolios, G. Christodoulakis. Implication of the method of portfolio formation on asset pricing tests, I. Lo. The Small Noise Arbitrage Pricing Theory, S.Satchell. Risk Attribution in a Global Country Sector, A. Scowcroft and J. Sefton. Predictability of Fund of Hedge Fund Returns Using Dynaporte, G. Gregoriou and F. Rouah. Estimating a Combined Linear Model, A. Stroyny. Attributing Equity Risk with a Statistical Factor Model, T. Wilding Making Covariance-based Portfolio Risk Models Sensitive to the rate at which markets reflect new information, D. Di Bartolomeo and S. Warrick. Decomposing Factor Exposure for Equity Portfolios, D. Tien et al.

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