Langbeschreibung
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.
Inhaltsverzeichnis
1 Introduction; Part I: Portfolio Optimization; 2 Reha Tutuncu: Recent Advances in Portfolio Optimization; 3 Bruce I. Jacobs, Kenneth N. Levy, and David Starer: Practical Optimization of Enhanced Active Equity Portfolios; 4 Sebastian Ceria: To Optimize or Not to Optimize: Is that the Question?; Part II: Portfolio Construction Processes; 5 Mark Kritzman, Simon Myrgren, and Sebastien 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. Bail