The Oxford Handbook of Quantitative Asset Management

Paperback | February 23, 2014

EditorBernd Scherer, Kenneth Winston

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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 toraw 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 addressspecific 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 leadinginvestment 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.

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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 toraw computing power, major advances in financ...

Bernd Scherer is Professor of Finance at EDHEC Business School, London. 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 Manage...

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The Oxford Handbook of Quantitative Asset Management
The Oxford Handbook of Quantitative Asset Management

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Format:PaperbackDimensions:536 pages, 9.69 × 6.73 × 0.01 inPublished:February 23, 2014Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199685053

ISBN - 13:9780199685059

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Table of Contents

1. IntroductionPart I: Portfolio Optimization2. Reha Tutuncu: Recent Advances in Portfolio Optimization3. Bruce I. Jacobs, Kenneth N. Levy, and David Starer: Practical Optimization of Enhanced Active Equity Portfolios4. Sebastian Ceria: To Optimize or Not to Optimize: Is that the Question?Part II: Portfolio Construction Processes5. Mark Kritzman, Simon Myrgren, and Sebastien Page: Adding the Time Dimension: Optimal Rebalancing6. Colm O'Cinneide: Bayesian Methods in Investing7. Michael Wolf and Dan Wunderli: Fund-of-Funds Construction by Statistical Multiple Testing Methods8. Nils Tuchschmid, Eric Wallerstein, and Sassan Zaker: Hedge Fund ClonesPart III: Investment Management Behavior9. Jules H. van Binsbergen, Michael W. Brandt, and Ralph S.J. Koijen: Decentralized Decision Making in Investment Management10. Bernhard Scherer and Xiaodong Xu: Performance Based Fees, Incentives and Dynamic Tracking Error ChoicePart IV: Parameter Estimation11. Heiko M. Bailer, Tatiana A. Maravina, and R. Douglas Martin: Robust Betas in Asset Management12. Daniel Giamouridis and George Skiadopolous: Extracting Asset Allocation Inputs from Option Prices13. Campbell R. Harvey, John C. Liechty, and Merrill W. Liechty: Parameter Uncertainty in Asset AllocationPart V: Risk Management14. Dan diBartolomeo: Equity Factor Models: Estimation and Extensions15. Kenneth Winston: Fixed Income Investment Risk16. Thomas Hewett and Kenneth Winston: Risk Management for Long-short PortfoliosPart VI: Market Structure and Trading17. Petter N. Kolm and Lee Maclin: Algorithmic Trading, Optimal Execution, and Dynamic Portfolios18. Yossi Brandes, Ian Domowitz, and Vitaly Serbin: Transaction Costs and Equity Portfolio Capacity AnalysisPart VII: Investment Solutions19. Michael Peskin: Pension Funds and Corporate Enterprise Risk Management20. Roy P.M.M. Hoevenaars: Pricing Embedded Options in Value Based Asset Liability Management21. Francis Breedon and Robert Kosowski: Asset Liability Management for Sovereign Wealth Funds

Editorial Reviews

"An invaluable and timely contribution to the latest thinking in the field. While loaded with quantitative theory, it is surprisingly application-oriented, and even the least quantitative asset manager will take something useful away from this book to apply to his or her own practice. It is amust for academics involved in this area of research. A handsomely produced and welcome addition to the corpus of investment management research and application, and well deserves the title of Handbook." --FT Adviser