Overview

Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.

Full Product Details

Author:   Christian Dunis
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 2000
Volume:   1
Dimensions:   Width: 15.50cm , Height: 1.80cm , Length: 23.50cm
Weight:   0.551kg
ISBN:  

9781461369745

ISBN 10:   1461369746
Pages:   342
Publication Date:   09 November 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

1: Advances In Asset Allocation And Portfolio Management.- 1. Introducing Higher Moments in the CAPM: Some Basic Ideas.- 2. Fat Tails and the Capital Asset Pricing Model.- 3. The Efficiency of Fund Management: An Applied Stochastic Frontier Model.- 4. Investment Styles in the European Equity Markets.- 5. Advanced Adaptive Architectures for Asset Allocation.- 6. High Frequency Data and Optimal Hedge Ratios.- 2: Modelling Risk, Return And Correlation.- 7. Large Scale Conditional Correlation Estimation.- 8. The Pitfalls in Fitting GARCH(1,1) Processes.- 9. Factor GARCH, Regime-Switching and the Term Structure of Interest Rates.- 10. Hedging a Portfolio of Corporate Bonds Using PCA/GARCH Yield Curve Analysis.- 11. Analysis of Time Varying Exchange Rate Risk Premia.- 12. Volatility Modelling in the Forex Market: An Empirical Evaluation.- 13. Five Classification Algorithms to Predict High Performance Stocks.- 14. Forecasting Financial Time Series with Generalized Long Memory Processes.

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