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This is the Reprint edition with a publication date of 2/6/2014.
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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.
Bernd Scherer, Professor of Finance, EDHEC Business School, London,Kenneth Winston, Chief Risk Officer, Western Asset Management, Pasadena
Bernd Scherer is Professor of Finance at EDHEC Business School, London. 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 is a Lecturer in Economics at the California Institute of Technology, Pasadena. Previously Dr Winston worked in firm risk management at Morgan Stanley and was Chief Risk Officer at Morgan Stanley Investment Management in New York. While he was at Morgan Stanley, he was 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. He is a director of the Society of Quantitative Analysts and of the Institute for Quantitative Research in Finance, and is a founder of the Buy Side Risk Managers Forum. Dr Winston is the author of a numerous articles and papers, including Buy Side Risk Management, which won the 2006 Roger Murray Award for best paper at the Institute for Quantitative Research in Finance. Dr Winston obtained his PhD in pure mathematics from MIT.
Table of Contents
Part I: Portfolio Optimization
2. Recent Advances in Portfolio Optimization, Reha Tutuncu
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?, Sebastian Ceria
Part II: Portfolio Construction Processes
5. Adding the Time Dimension: Optimal Rebalancing, Mark Kritzman, Simon Myrgren, and Sebastien 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. 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