| Description |
1 online resource (xxviii, 501 pages) : illustrations |
| Series |
Oxford handbooks in finance |
|
Oxford handbooks in finance.
|
| Contents |
Part I. Portfolio Optimization -- Part II. Portfolio Construction Processes -- Part III. Investment Management Behavior -- Part IV. Parameter Estimation -- Part V. Risk Management -- Part VI. Market Structure and Trading -- Part VII. Investment Solutions |
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1. Introduction -- Part I. Portfolio Optimization -- 2. Recent Advances in Portfolio Optimization / Reha Tütüncü -- 3. Practical Optimization of Enhanced Active Equity Portfolios / Bruce I. Jacobs, Kenneth N. Levy, and David Starer -- 4. To Optimize or Not to Optimize: Is that the Question? / Sebastián Ceria -- Part II. Portfolio Construction Processes -- 5. Adding the Time Dimension: Optimal Rebalancing / Mark Kritzman, Simon Myrgren, and Sébastien Page -- 6. Bayesian Methods in Investing / Colm O'Cinneide -- 7. Fund-of-Funds Construction by Statistical Multiple Testing Methods / Michael Wolf and Dan Wunderli -- 8. Hedge Fund Clones / Nils Tuchschmid, Eric Wallerstein, and Sassan Zaker -- Part III. Investment Management Behavior -- 9. Decentralized Decision Making in Investment Management / Jules H. van Binsbergen, Michael W. Brandt, and Ralph S.J. Koijen -- 10. Performance Based Fees, Incentives and Dynamic Tracking Error Choice / Bernhard Scherer and Xiaodong Xu -- Part IV. Parameter Estimation -- 11. Robust Betas in Asset Management / Heiko M. Bailer, Tatiana A. Maravina, and R. Douglas Martin -- 12. Extracting Asset Allocation Inputs from Option Prices / Daniel Giamouridis and George Skiadopolous -- 13. Parameter Uncertainty in Asset Allocation / Campbell R. Harvey, John C. Liechty, and Merrill W. Liechty -- Part V. Risk Management -- 14. 12. Equity Factor Models: Estimation and Extensions / Dan diBartolomeo -- 15. Fixed Income Investment Risk / Kenneth Winston -- 16. Risk Management for Long-short Portfolios / Thomas Hewett and Kenneth Winston -- Part VI. Market Structure and Trading -- 17. Algorithmic Trading, Optimal Execution, and Dynamic Portfolios / Petter N. Kolm and Lee Maclin -- 18. Transaction Costs and Equity Portfolio Capacity Analysis / Yossi Brandes, Ian Domowitz, and Vitaly Serbin -- Part VII. Investment Solutions -- 19. Pension Funds and Corporate Enterprise Risk Management / Michael Peskin -- 20. Pricing Embedded Options in Value Based Asset Liability Management / Roy P.M.M. Hoevenaars -- 21. Asset Liability Management for Sovereign Wealth Funds / Francis Breedon and Robert Kosowski |
| Summary |
This text explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field |
| Bibliography |
Includes bibliographical references and index |
| Notes |
English |
|
Print version record |
| Subject |
Portfolio management.
|
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Portfolio management.
|
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Finance.
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Business & Economics.
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Investment & Speculation.
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| Form |
Electronic book
|
| Author |
Scherer, Bernd, 1964- editor.
|
|
Winston, Kenneth James, editor.
|
| ISBN |
9780191744082 |
|
0191744085 |
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9780199553433 |
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0199553432 |
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