The Oxford Handbook of Quantitative Asset Management

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.

Table of Contents

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

536 pages, Hardcover

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.

THE OXFORD HANBOOK OF QAUNTITATIVE ASSET MANGEMENT

SCHERER B. WINSTON K. EDITORS

The Oxford Handbook of Quantitative Asset Management