Quantitative Fund Management - Couverture rigide

 
9781420081916: Quantitative Fund Management
Couverture rigide
ISBN 10 : 1420081918 ISBN 13 : 9781420081916
Editeur : Chapman & Hall/CRC, 2008

Synopsis

The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels

Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry.

A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning

The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction.

Up-to-Date Overview of Tactical Financial Planning and Risk Management

The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions.

The Future Use of Quantitative Techniques in Fund Management

With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

M. A. H. Dempster, Gautam Mitra, Georg Pflug

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Chapman & Hall/CRC
Date d'édition
2008
Langue
anglais
ISBN 10 
1420081918
ISBN 13 
9781420081916
Reliure
Relié
Nombre de pages
486
Éditeur
Dempster M.A.H., Mitra Gautam, Pflug Georg
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9780367386146: Quantitative Fund Management

Edition présentée

ISBN 10 :  0367386143 ISBN 13 :  9780367386146
Editeur : Chapman and Hall/CRC, 2019
Couverture souple