August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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Elsevier UK Prelims-H8321 jobcode: FEF 28-6-2007 5:09p.m. Page:v Trimsize:165
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Contents
List of contributors ix
Introduction xi
1 Market efficiency and forecasting 1
Wayne Ferson
1.1 Introduction 1
1.2 A modern view of market efficiency and predictability 2
1.3 Weak-form predictability 3
1.4 Semi-strong form predictability 5
1.5 Methodological issues 8
1.6 Perspective 10
1.7 Conclusion 12
References 12
2 A step-by-step guide to the Black–Litterman model 17
Thomas Idzorek
2.1 Introduction 17
2.2 Expected returns 18
2.3 The Black–Litterman model 21
2.4 A new method for incorporating user-specified confidence levels
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