The Oxford Handbook of Quantitative Asset Management

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Auteur : SCHERER Bernd (Sous la dir.) ; WINSTON Kenneth (Sous la dir.)

Editeur : OXFORD UNIVERSITY PRESS

Date : 2012

Pages : 501

ISBN :

Cote : 134.77-SCHER

Mots Clés : GESTION DE PORTEFEUILLE ; INVESTISSEMENT ; PROBABILITES ; CALCUL ; MANAGEMENT DU RISQUE

Nbre d'exemplaires : 1

N°	Cote	Code barre	Commentaire
1			[disponible]

ISBN 13 : 978-0-19-955343-3

Sommaire : Contributors:
Heiko M. Bailer, Dan diBartolomeo, Yossi Brandes, Michael W. Brandt,
Francis Breedon, Sebastián Ceria, Axioma, Ian Domowitz, Daniel Giamouridis, Campbell R. Harvey, Thomas Hewett, Roy P.M.M. Hoevenaars, Bruce I. Jacobs, Ralph S.J. Koijen, Petter N. Kolm, Robert Kosowski, Mark Kritzman, Kenneth N. Levy, John C. Liechty, Merrill W. Liechty, Lee Maclin, Tatiana A. Maravina, R. Douglas Martin, Simon Myrgren, Colm O'Cinneide, Sébastien Page, Michael Peskin, Bernhard Scherer, Vitaly Serbin, George Skiadopolous, David Starer, Nils Tuchschmid, Reha Tütüncü, Jules H. van Binsbergen, Eric Wallerstein, Kenneth Winston, Michael Wolf, Dan Wunderli, Xiaodong Xu, Sassan Zaker

1: Introduction

Part I: Portfolio Optimization

2 Recent Advances in Portfolio Optimization
3 Practical Optimization of Enhanced Active Equity Portfolios
4 To Optimize or Not to Optimize: Is that the Question?

Part II: Portfolio Construction Processes

5 Adding the Time Dimension: Optimal Rebalancing
6 Bayesian Methods in Investing
7 Fund-of-Funds Construction by Statistical Multiple Testing Methods
8 Tuchschmid, Eric Wallerstein, and Sassan Zaker: Hedge Fund Clones

Part III: Investment Management Behavior

9 Decentralized Decision Making in Investment Management
10 Performance Based Fees, Incentives and Dynamic Tracking Error Choice

Part IV: Parameter Estimation

11 Robust Betas in Asset Management
12 Extracting Asset Allocation Inputs from Option Prices
13 Parameter Uncertainty in Asset Allocation

Part V: Risk Management

14 Equity Factor Models: Estimation and Extensions
15 Fixed Income Investment Risk
16 Risk Management for Long-short Portfolios

Part VI: Market Structure and Trading

17 Algorithmic Trading, Optimal Execution, and Dynamic Portfolios
18 Transaction Costs and Equity Portfolio Capacity Analysis

Part VII: Investment Solutions

19 Pension Funds and Corporate Enterprise Risk Management
20 Pricing Embedded Options in Value Based Asset Liability Management
21 Asset Liability Management for Sovereign Wealth Funds