Modern Equity Investing Strategies

Anatoly B Schmidt
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Anatoly B Schmidt: New York University Tandon School of Engineering, USA

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book will satisfy the demand among college majors in Finance and Financial Engineering, and mathematically-versed practitioners for description of both the classical approaches to equity investing and new investment strategies scattered in the periodic literature. Besides the major portfolio management theories (mean variance theory, CAPM, and APT), the book addresses several important topics: portfolio diversification, optimal ESG portfolios, factor models (smart betas), robust portfolio optimization, risk-based asset allocation, statistical arbitrage, alternative data based investing, back-testing of trading strategies, modern market microstructure, algorithmic trading, and agent-based modeling of financial markets. The book also includes the basic elements of time series analysis in the Appendix for self-contained presentation of the material. While the book covers technical concepts and models, it will not overburden the reader with math beyond the Finance undergraduates' curriculum.

Keywords: Portfolio Management; Mean-variance Theory; Portfolio Diversification; Efficient Market Hypothesis; Random Walk; Trading Strategies; Technical Analysis; Statistical Arbitrage; Hedging; Momentum Arbitrage; Alternative Data; Market Sentiment; Opinion Mining; Factor Models; CAPM; APT; Smart Betas; Optimal ESG Portfolio; US Equity Markets; Market Microstructure; Risk Aversion; Optimal Execution; Taker's Dilemma; Back-Testing of Trading Strategies; Price Volatility; Shrinkage Estimator; Black-Litterman Model; Risk Parity; Robust Optimization; Time Series Analysis; Arma Model; Garch Model; Agent-Based Modeling; Fractals (search for similar items in EconPapers)
JEL-codes: C02 C6 G11 (search for similar items in EconPapers)
Date: 2021
ISBN: 9789811239496
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https://www.worldscientific.com/worldscibooks/10.1142/12347 (text/html)
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Chapters in this book:

Ch 1 Equity Markets: Traders, Orders, and Structures , pp 3-24

Anatoly B. Schmidt

Ch 2 Models of Dealer Markets , pp 25-42

Anatoly B. Schmidt

Ch 3 Models of the Limit-Order Markets , pp 43-64

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Ch 4 Dynamics of Returns , pp 67-86

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Ch 5 Price Volatility , pp 87-99

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Ch 6 Agent-Based Modeling of Financial Markets , pp 101-117

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Ch 7 Mean–Variance Portfolio Theory , pp 121-148

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Ch 8 Portfolio Optimization , pp 149-155

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Ch 9 Risk-Based Asset Allocation , pp 157-163

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Ch 10 Factor Models , pp 165-176

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Ch 11 Technical Analysis-Based Strategies , pp 179-196

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Ch 12 Arbitrage Strategies , pp 197-216

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Ch 13 News and Sentiment-Based Strategies , pp 217-236

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Ch 14 Back-Testing of Trading Strategies , pp 237-252

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Ch 15 Execution Strategies , pp 253-269

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Ch 16 Appendices , pp 271-291

Anatoly B. Schmidt

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