The Oxford Handbook of Quantitative Asset Management
Published on 15. December 2011
978-0-19-162404-9 (ISBN)
Description
Quantitative portfolio management has become a highly specialized discipline. Computing power and software improvements have advanced the field to a level that would not have been thinkable when Harry Markowitz began the modern era of quantitative portfolio management in 1952. In addition to raw computing power, major advances in financial economics and econometrics have shaped academia and the financial industry over the last 60 years. While the idea of a general theory of finance is still only a distant hope, asset managers now have tools in the financial engineering kit that address specific problems in their industry. The Oxford Handbook of Quantitative Asset Management consists of seven sections that explore major themes in current theoretical and practical use. These themes span all aspects of a modern quantitative investment organization. Contributions from academics and practitioners working in leading investment management organizations bring together the key theoretical and practical aspects of the field to provide a comprehensive overview of the major developments in the area.
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Bernd Scherer | Kenneth Winston
The Oxford Handbook of Quantitative Asset Management
Book
12/2011
Oxford University Press
€155.01
Shipment within 15-20 days
Persons
Prior to joining EDHEC-Risk, Bernd Scherer was Managing Director and Global Head of Quantitative Asset Allocation at Morgan Stanley in London. Previously, he was with Deutsche Asset Management where he successively headed the Investment Solutions and Overlay Management Group in Frankfurt, and Global Quantitative Research and Portfolio Engineering from New York. Bernd has 16 years of investment experience within top financial institutions. He has published over 50 articles in leading academic and practitioner journals and is a board member of the London Quant Group.
Kenneth Winston is Chief Risk Officer at Western Asset Management and a Lecturer in Economics at the California Institute of Technology in Pasadena. Previously Dr. Winston was Chief Risk Officer at Morgan Stanley Investment Management in New York and an Adjunct Professor of financial mathematics at the Courant Institute of Mathematical Sciences at New York University. He began his financial career as a quantitative portfolio manager after having taught mathematics at Rutgers University. Dr. Winston, who obtained his PhD in pure mathematics from the Massachusetts Institute of Technology, is the author of numerous articles and papers in mathematics and finance.
Content
- 1: Introduction
- Part I: Portfolio Optimization
- 2: Reha Tütüncü: Recent Advances in Portfolio Optimization
- 3: Bruce I. Jacobs, Kenneth N. Levy, and David Starer: Practical Optimization of Enhanced Active Equity Portfolios
- 4: Sebastián Ceria: To Optimize or Not to Optimize: Is that the Question?
- Part II: Portfolio Construction Processes
- 5: Mark Kritzman, Simon Myrgren, and Sébastien Page: Adding the Time Dimension: Optimal Rebalancing
- 6: Colm O'Cinneide: Bayesian Methods in Investing
- 7: Michael Wolf and Dan Wunderli: Fund-of-Funds Construction by Statistical Multiple Testing Methods
- 8: Nils Tuchschmid, Eric Wallerstein, and Sassan Zaker: Hedge Fund Clones
- Part III: Investment Management Behavior
- 9: Jules H. van Binsbergen, Michael W. Brandt, and Ralph S.J. Koijen: Decentralized Decision Making in Investment Management
- 10: Bernhard Scherer and Xiaodong Xu: Performance Based Fees, Incentives and Dynamic Tracking Error Choice
- Part IV: Parameter Estimation
- 11: Heiko M. Bailer, Tatiana A. Maravina, and R. Douglas Martin: Robust Betas in Asset Management
- 12: Daniel Giamouridis and George Skiadopolous: Extracting Asset Allocation Inputs from Option Prices
- 13: Campbell R. Harvey, John C. Liechty, and Merrill W. Liechty: Parameter Uncertainty in Asset Allocation
- Part V: Risk Management
- 14: Dan diBartolomeo: 12. Equity Factor Models: Estimation and Extensions
- 15: Kenneth Winston: Fixed Income Investment Risk
- 16: Thomas Hewett and Kenneth Winston: Risk Management for Long-short Portfolios
- Part VI: Market Structure and Trading
- 17: Petter N. Kolm and Lee Maclin: Algorithmic Trading, Optimal Execution, and Dynamic Portfolios
- 18: Yossi Brandes, Ian Domowitz, and Vitaly Serbin: Transaction Costs and Equity Portfolio Capacity Analysis
- Part VII: Investment Solutions
- 19: Michael Peskin: Pension Funds and Corporate Enterprise Risk Management
- 20: Roy P.M.M. Hoevenaars: Pricing Embedded Options in Value Based Asset Liability Management
- 21: Francis Breedon and Robert Kosowski: Asset Liability Management for Sovereign Wealth Funds
