The Oxford Handbook of Quantitative Asset Management

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 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 is a Lecturer in Economics at the California Institute of Technology, Pasadena. Previously Dr Winston worked in firm risk management at Morgan Stanley and was Chief Risk Officer at Morgan Stanley Investment Management in New York. While he was at Morgan Stanley, he was 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. He is a director of the Society of Quantitative Analysts and of the Institute for Quantitative Research in Finance, and is a founder of the Buy Side Risk Managers Forum. Dr Winston is the author of a numerous articles including Buy Side Risk Management, which won the 2006 Roger Murray Award for best paper at the Institute for Quantitative Research in Finance. He obtained his PhD in pure mathematics from MIT.

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