The Oxford Handbook of Quantitative Asset Management

by Scherer, Bernd; Winston, Kenneth

• ISBN13: 9780199553433
• ISBN10: 0199553432
• eBook ISBN(s): 9780191624056
• Format: Hardcover
• Copyright: 2012-02-20
• Publisher: Oxford University Press
• More Book Details

Summary

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.

Author Biography

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.

Table of Contents

List of Figures	p. x
List of Tables	p. xv
List of Contributors	p. xviii
Introduction	p. 1
Portfolio Optimization
Recent Advances in Portfolio Optimization	p. 7
Practical Optimization of Enhanced Active Equity Portfolios	p. 32
To Optimize or Not to Optimize: Is that the Question?	p. 50
Portfolio Construction Processes
Adding the Time Dimension: Optimal Rebalancing	p. 67
Bayesian Methods in Investing	p. 87
Fund-of-Funds Construction by Statistical Multiple Testing Methods	p. 116
Hedge Fund Clones	p. 136
Investment Management Behavior
Decentralized Decision Making in Investment Management	p. 157
Performance Based Fees, Incentives, and Dynamic Tracking Error Choice	p. 177
Parameter Estimation
Robust Betas in Asset Management	p. 203
The Informational Content of Financial Options for Quantitative Asset Management: A Review	p. 243
Parameter Uncertainty in Asset Allocation	p. 266
Risk Management
Equity Factor Models: Estimation and Extensions	p. 293
Fixed Income Investment Risk	p. 307
Risk Management for Long-Short Portfolios	p. 338
Market Structure and Trading
Algorithmic Trading, Optimal Execution, and Dynamic Portfolios	p. 271
Transaction Costs and Equity Portfolio Capacity Analysis	p. 398
Investment Solutions
Pension Funds and Corporate Enterprise Risk Management	p. 421
Pricing Embedded Options in Value-Based Asset Liability Management	p. 449
Asset Liability Management for Sovereign Wealth Funds	p. 470
Index	p. 493
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