Sunday, March 23, 2008
QEPM (Start Here)
This is going to be a website based on the content of Quantitative Equity Portfolio Management by Ludwig Chincarini and Daehwan Kim. Their book discusses the conceptual and methodological issues related to creating equity portfolio factor models. I think it's a terrific book, and I plan to use it as the basis for a lot of research in factor models and related topics. I will use this website to show the results of my efforts and to elicit discussion about issues that come up for me as I work on factor models, portfolio optimization, and other topics in the book. I'm going to tell the authors about my project, and hopefully, they will approve, and maybe even post from time to time.
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3 comments:
This is a great idea. I am looking forward to reading your blog.
It is nice to know there is a resource that has information geared towards those at a beginner's level (as a scientist, I also appreciate George's need to continuously experiment!)
I recently purchased the QEPM book by Chincarini and Kim; initially, I am most interested in learning the following methods for calculating alpha and beta for individual stocks: A) to calculate alpha and beta for individual stocks over a trailing 52 week period using weekly returns (as I understand Louis Navellier's recent book, this is how they calculate stock alpha and beta) AND B) to calculate stock alpha and beta using the same methods as Value Line. With method B, I can of course see how my calculations compare to what Value Line reports. Of course, there are a number of methods to calculate alpha & beta for individual stocks; however, I am hoping by using method A and method B it will aid my understanding of how to carry out various methods and the pros/cons of each method.
Problem 15.13 and problem 15.14 in Chincarini and Kim's book seemed to be a good place to start in terms of calculating alpha and beta (although these are alpha & beta calculations for an entire portfolio). Using EXCEL, I had no problem with problem 15.14 in the book but had difficulty with problem 15.13. I was wondering if someone who has worked through problem 15.13 already might be able to help with intermediate steps/calculations leading to the solution provided in the book (regardless of the statistical software used)? I am also interested in problems and detailed solutions (so I can find my errors) related to calculating individual stock alpha/beta. The source and problem number would be appreciated (I will of course keep an eye for postings on this blog).
In closing, I would like to thank George for the blog.
Nathan Provo
jnprovo@gmail.com
Dear Everyone-
This is one of the authors of QEPM, Ludwig.
I would like to thank George for creating this blog. We will mention it in the new printing of the book as well as on my website.
I look forward to a sharing of information that helps advance our own knowledge and inspire us all to greater things.
Thanks for your participation. If there is a 2nd edition of the book, we will consider all developments on this website.
Have a great weekend.
Ludwig
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