Quantitative Fund Management
eBook - PDF

Quantitative Fund Management

  1. 486 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Quantitative Fund Management

Book details
Table of contents
Citations

About This Book

The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels. Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning - The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management - The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management - With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.

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Yes, you can access Quantitative Fund Management by M.A.H. Dempster, Gautam Mitra, Georg Pflug in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Chapman and Hall/CRC
Year
2008
ISBN
9781420081923
Edition
1
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Front cover
  2. Contents
  3. Editors
  4. Contributors
  5. Introduction to Quantitative Fund Management
  6. Part 1: Dynamic Financial Planning
  7. Chapter 1. Trends in Quantitative Equity Management: Survey Results
  8. Chapter 2. Portfolio Optimization under the Value-at-Risk Constraint
  9. Chapter 3. Dynamic Consumption and Asset Allocation with Derivative Securities
  10. Chapter 4. Volatility-Induced Financial Growth
  11. Chapter 5. Constrant Rebalanced Portfolios and Side-Information
  12. Chapter 6. Improving Performance for Long-Term Investors: Wide Diversification, Leverage and Overlay Strategies
  13. Chapter 7. Stochastic Programming for Funding Mortgage Pools
  14. Chapter 8. Scenario-Geneeration Methods for an Optimal Public Debt Strategy
  15. Chapter 9. Solving ALM Problems via Sequential Stochastic Programming
  16. Chapter 10. Designing Minimum Guaranteed Return Funds
  17. Part 2: Portfolio Construction and Risk Management
  18. Chapter 11. DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization
  19. Chapter 12. Coherent Measures of Risk in Everyday Market Practice
  20. Chapter 13. Higher Moment Coherent Risk Measures
  21. Chapter 14. On the Feasibility of Portfolio Optimization under Expected Shortfall
  22. Chapter 15. Stability Analysis of Portfolio Management with Conditional Value-at-Risk
  23. Chapter 16. Stress Testing for VaR and CVaR
  24. Chapter 17. Stable Distributions in the Black-Litterman Approach to Asset Allocation
  25. Chapter 18. Ambiguity in Portfolio Selection
  26. Chapter 19. Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach
  27. Chapter 20. Implied Non-Recombining Trees and Calibration for the Volatility Smile
  28. Index
  29. Back cover