The Oxford Handbook of Quantitative Asset Management -

The Oxford Handbook of Quantitative Asset Management

Buch | Hardcover
530 Seiten
2011
Oxford University Press (Verlag)
978-0-19-955343-3 (ISBN)
149,60 inkl. MwSt
This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.
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.

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.

PART I: PORTFOLIO OPTIMIZATION ; PART II: PORTFOLIO CONSTRUCTION PROCESSES ; PART III: INVESTMENT MANAGEMENT BEHAVIOR ; PART IV: PARAMETER ESTIMATION ; PART V: RISK MANAGEMENT ; PART VI: MARKET STRUCTURE AND TRADING ; PART VII: INVESTMENT SOLUTIONS

Erscheint lt. Verlag 15.12.2011
Reihe/Serie Oxford Handbooks
Zusatzinfo 116 Figures, 52 Tables
Verlagsort Oxford
Sprache englisch
Maße 171 x 246 mm
Gewicht 1078 g
Themenwelt Mathematik / Informatik Mathematik Angewandte Mathematik
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Volkswirtschaftslehre Ökonometrie
ISBN-10 0-19-955343-2 / 0199553432
ISBN-13 978-0-19-955343-3 / 9780199553433
Zustand Neuware
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