Asset Management

Stephen Satchell is Professor of Finance at Sydney University, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton's rooms.

Introduction; Stephen Satchell.- 1) Performanceof UK equity unit trusts; G Quigley and RA Sinquefield.- 2) Ademystification of the Black-Litterman model: Managing quantitative andtraditional portfolio construction; SSatchell and A Scowcroft.- 3) Tracking error: Ex ante versus expost measures; S Hwang and S Satchell.-4) Hedge Fund Survival Lifetimes; G NGregoriou.- 5) Performance clustering and incentives in the UK pension fundindustry; D Blake, B N Lehmann and ATimmermann.- 6) Do hedge funds add value to a passive portfolio? Correctingfor non-normal returns and disappearing funds?; R Kourwenberg.- 7) The performance of value and momentum investment portfolios: Recent experience in the major European markets; R Bird and J Whitaker.- 8) Measuring investor sentiment in equitymarkets; A Bandopadhyaya and A L Schnader.- 9) Incorporating estimationerrors into portfolio selection: Robust portfolio construction; S Ceria and R A Stubbs.- 10)Best-practice pension fund governance; GL Clark and R Urwin.- 11) Fundamental indexation in Europe; J Hemminiki and V Puttonen.- 12)Fundamental indexation: An active value strategy in disguise; D Blitz and L Swinkels.- 13)Emerging markets of South-East and Central Asia: Do they still offer adiversification benefit; C L Dunis and G Shannon.- 14) A robust optimization approach topension fund management; G Iyengar and AK C Ma.