New Book Recommendation

[alain]

Could we try to get the following books for the Quantnet library?

Financial Modeling of the Equity Market: From CAPM to Cointegration

Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Hardcover)


I got some inside info. Dan will buy the first 10 books in this thread.

[bigbadwolf]

Could we try to get the following books for the Quantnet library?

Financial Modeling of the Equity Market: From CAPM to Cointegration

Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading (Hardcover)


Isn't the first book by Frank Fabozzi? If so, I have it. I'd give it 3 stars out of 5. And I think the second is by Grinold and Kahn(?) -- if so, 4 stars out of 5. I'm quoting from memory as I don't have access to my collection from where I'm typing these lines.

[alain]

Isn't the first book by Frank Fabozzi? If so, I have it. I'd give it 3 stars out of 5. And I think the second is by Grinold and Kahn(?) -- if so, 4 stars out of 5. I'm quoting from memory as I don't have access to my collection from where I'm typing these lines.
Yes, you are correct.

[Yuriy]

I think I used the 2nd book at CMU. It has some material related to personal research of the authors (if I'm not mistaken). I would also give it 4 stars :) For me, it was the least useful course at CMU.

[alain]

Funny thing is that second book is the heart of BARRA as a company. We use it all the time in my group at work since the head and the Sr Quants came from BARRA.