Ben Graham was a quant : raising the IQ of the intelligent investor / Steven P. Greiner

Von:

Greiner, Steven P [aut]

Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Reihen: [Wiley finance]Verlag: Hoboken, N.J : Wiley, c2011Auflage: Online-AusgBeschreibung: Online-Ressource (1 online resource (xiv, 338 p.)) : illISBN:

9781283026420
1283026422
9781118013380

Schlagwörter:

Andere physische Formen: 9780470642078 | 0470642076 | 1282074083 | Erscheint auch als: 1282074083 Druck-AusgabeDDC-Klassifikation:

332.63/2042
332.632042

LOC-Klassifikation:

HG4521

Online-Ressourcen:

Zugang im Netz des KIT

Zusammenfassung: Intro -- Ben Graham Was a Quant -- Contents -- Preface -- Introduction: The Birth of the Quant -- Characterizing the Quant -- Active versus Passive Investing -- CHAPTER 1 Desperately Seeking Alpha -- The Beginnings of the Modern Alpha Era -- Important History of Investment Management -- Methods of Alpha Searching -- CHAPTER 2 Risky Business -- Experienced versus Exposed Risk -- The Black Swan: A Minor ELE Event-Are Quants to Blame? -- Active versus Passive Risk -- Other Risk Measures: VAR, C-VAR, and ETL -- Summary -- CHAPTER 3 Beta Is Not "Sharpe" Enough -- Back to Beta -- Beta and Volatility -- The Way to a Better Beta: Introducing the g-Factor -- Tracking Error: The Deviant Differential Measurer -- Summary -- CHAPTER 4 Mr. Graham, I Give You Intelligence -- Fama-French Equation -- The Graham Formula -- Factors for Use in Quant Models -- Momentum: Increasing Investor Interest -- Volatility as a Factor in Alpha Models -- CHAPTER 5 Modeling Pitfalls and Perils -- Data Availability, Look-Ahead, and Survivorship Biases -- Building Models You Can Trust -- Scenario, Out-of-Sample, and Shock Testing -- Data Snooping and Mining -- Statistical Significance and Other Fascinations -- Choosing an Investment Philosophy -- Growth, Value, Quality -- Investment Consultant as Dutch Uncle -- Where Are the Relative Growth Managers? -- CHAPTER 6 Testing the Graham Crackers . . . er, Factors -- The First Tests: Sorting -- Time-Series Plots -- The Next Tests: Scenario Analysis -- CHAPTER 7 Building Models from Factors -- Surviving Factors -- Weighting the Factors -- The Art versus Science of Modeling -- Time Series of Returns -- Other Conditional Information -- The Final Model -- Other Methods of Measuring Performance: Attribution Analysis via Brinson and Risk Decomposition -- Regression of the Graham Factors with Forward Returns.PPN: PPN: 809242583Package identifier: Produktsigel: ZDB-26-MYL | ZDB-30-PQE

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