Asset Management (eBook)

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.

Cover 1
Contents 6
List of Figures and Tables 8
List of Contributors 17
Introduction 21
1 Performance of UK Equity Unit Trusts 29
2 A Demystification of the Black–Litterman Model: Managing Quantitative and Traditional Portfolio Construction 56
3 Tracking Error: Ex Ante Versus Ex Post Measures 74
4 Performance Clustering and Incentives in the UK Pension Fund Industry 83
5 Do Hedge Funds Add Value to a Passive Portfolio? Correcting for Non-Normal Returns and Disappearing Funds 115
6.1 The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets—Parts 1 and 2 147
6.2 The Performance of Value and Momentum Investment Portfolios: Recent Experience in the Major European Markets—Parts 1 and 2 184
7 Cointegration Portfolios of European Equities for Index Tracking and Market Neutral Strategies 211
8 Emerging Markets of South-East and Central Asia: Do They Still Offer a Diversification Benefit? 244
9 Measuring Investor Sentiment in Equity Markets 278
10 Incorporating Estimation Errors into Portfolio Selection: Robust Portfolio Construction 290
11 Best-Practice Pension Fund Governance 315
12 Fundamental Indexation in Europe 343
13 Fundamental Indexation: An Active Value Strategy in Disguise 351
14 A Robust Optimization Approach to Pension Fund Management 359
Index 384