Overview

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.

Full Product Details

Author:   Bernd Scherer (Professor of Finance, Professor of Finance, EDHEC Business School, London) ,  Kenneth Winston (Chief Risk Officer, Chief Risk Officer, Western Asset Management, Pasadena)
Publisher:   Oxford University Press
Imprint:   Oxford University Press
Dimensions:   Width: 17.10cm , Height: 3.60cm , Length: 24.60cm
Weight:   1.078kg
ISBN:  

9780199553433

ISBN 10:   0199553432
Pages:   530
Publication Date:   15 December 2011
Audience:   College/higher education ,  Postgraduate, Research & Scholarly
Format:   Hardback
Publisher's Status:   Active
Availability:   To order  
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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

Reviews

This imposing compendium of new developments in quantitative asset management appears daunting at 500 pages, but it makes an invaluable and timely contribution to the latest thinking in the field. * Ed Bace, FT Adviser *

This imposing compendium of new developments in quantitative asset management appears daunting at 500 pages, but it makes an invaluable and timely contribution to the latest thinking in the field. Ed Bace, FT Adviser

Author Information

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.

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