The Oxford Handbook of Quantitative Asset Management
Series: Oxford Handbooks;
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15 283 Ft
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Product details:
- Publisher OUP Oxford
- Date of Publication 23 January 2014
- ISBN 9780199685059
- Binding Paperback
- No. of pages536 pages
- Size 246x171x31 mm
- Weight 936 g
- Language English
- Illustrations 116 Figures, 52 Tables 0
Categories
Long description:
Table of Contents:
Introduction
Part I: Portfolio Optimization
Recent Advances in Portfolio Optimization
Practical Optimization of Enhanced Active Equity Portfolios
To Optimize or Not to Optimize: Is that the Question?
Part II: Portfolio Construction Processes
Adding the Time Dimension: Optimal Rebalancing
Bayesian Methods in Investing
Fund-of-Funds Construction by Statistical Multiple Testing Methods
Hedge Fund Clones
Part III: Investment Management Behavior
Decentralized Decision Making in Investment Management
Performance Based Fees, Incentives and Dynamic Tracking Error Choice
Part IV: Parameter Estimation
Robust Betas in Asset Management
Extracting Asset Allocation Inputs from Option Prices
Parameter Uncertainty in Asset Allocation
Part V: Risk Management
Equity Factor Models: Estimation and Extensions
Fixed Income Investment Risk
Risk Management for Long-short Portfolios
Part VI: Market Structure and Trading
Algorithmic Trading, Optimal Execution, and Dynamic Portfolios
Transaction Costs and Equity Portfolio Capacity Analysis
Part VII: Investment Solutions
Pension Funds and Corporate Enterprise Risk Management
Pricing Embedded Options in Value Based Asset Liability Management
Asset Liability Management for Sovereign Wealth Funds
