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Trends in Quantitative Finance

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This introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of quantitative methods—in particular, the trade-offs that must be made among model complexity, risk, and performance. The monograph also includes the results of a 2005 survey of the modeling practiced at 21 large asset management firms.

About the Author(s)

Frank Fabozzi
Frank J. Fabozzi CFA
Sergio M. Focardi

Sergio Focardi is a professor at EDHEC Business School and a founding partner of The Intertek Group. He is on the editorial board of the Journal of Portfolio Management and has co-authored numerous articles and books, including the Research Foundation of CFA Institute monograph Trends in Quantitative Finance and the award-winning books Financial Modeling of the Equity Market: CAPM to Cointegration and The Mathematics of Financial Modeling and Investment Management. Dr. Focardi is also co-author of Financial Econometrics: From Basics to Advanced Modeling Techniques and Robust Portfolio Optimization and Management. He holds a degree in electronic engineering from the University of Genoa and a PhD in mathematical finance from the University of Karlsruhe.

Petter N. Kolm