Sergio M. Focardi & Petter N. Kolm 
Quantitative Equity Investing 
Techniques and Strategies

A comprehensive look at the tools and techniques used in
quantitative equity management

Some books attempt to extend portfolio theory, but the real
issue today relates to the practical implementation of the theory
introduced by Harry Markowitz and others who followed. The purpose
of this book is to close the implementation gap by presenting
state-of-the art quantitative techniques and strategies for
managing equity portfolios.

Throughout these pages, Frank Fabozzi, Sergio Focardi, and
Petter Kolm address the essential elements of this discipline,
including financial model building, financial engineering, static
and dynamic factor models, asset allocation, portfolio models,
transaction costs, trading strategies, and much more. They also
provide ample illustrations and thorough discussions of
implementation issues facing those in the investment management
business and include the necessary background material in
probability, statistics, and econometrics to make the book
self-contained.

* Written by a solid author team who has extensive financial
experience in this area

* Presents state-of-the art quantitative strategies for managing
equity portfolios

* Focuses on the implementation of quantitative equity asset
management

* Outlines effective analysis, optimization methods, and risk
models

In today’s financial environment, you have to have the skills to
analyze, optimize and manage the risk of your quantitative equity
investments. This guide offers you the best information available
to achieve this goal.

About the author

FRANK J. FABOZZI is Professor in the Practice of Finance and Becton Fellow at the Yale School of Management and Editor of the Journal of Portfolio Management. He is a Chartered Financial Analyst and earned a doctorate in economics from the City University of New York.

SERGIO M. FOCARDI is Professor of Finance at EDHEC Business School in Nice and a founding partner of the Paris-based consulting firm The Intertek Group. He is also a member of the Editorial Board of the Journal of Portfolio Management. Sergio holds a degree in electronic engineering from the University of Genoa and a Ph D in mathematical finance from the University of Karlsruhe as well as a postgraduate degree in communications from the Galileo Ferraris Electrotechnical Institute (Turin).

PETTER N. KOLM is the Deputy Director of the Mathematics in Finance Master’s Program and Clinical Associate Professor of Mathematics at the Courant Institute of Mathematical Sciences, New York University; and a founding Partner of the New York-based financial consulting firm the Heimdall Group, LLC. Previously, Petter worked in the Quantitative Strategies Group at Goldman Sachs Asset Management. He received an MS in mathematics from ETH in Zurich; an MPhil in applied mathematics from the Royal Institute of Technology in Stockholm; and a Ph D in applied mathematics from Yale University.