The Oxford Handbook of Quantitative Asset Management (Oxford Handbooks)

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 Sixty 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.-- Introduction / Bernd Scherer And Kenneth Winston. Portfolio Optimization: Recent Advances In Portfolio Optimization / Reha H. Tütüncü -- Practical Optimization Of Enhanced Active Equity Portfolios / Bruce I. Jacobs, Kenneth N. Levy, And David Starer -- To Optimize Or Not To Optimize : Is That The Question? / Sebastián Ceria. Portfolio Construction Processes: Adding The Time Dimension : Optimal Rebalancing / Mark Kritzman, Simon Myrgren, And Sébastien Page -- Bayesian Methods In Investing / Colm O'cinneide -- Fund-of-funds Construction By Statistical Multiple Testing Methods / Michael Wolf And Dan Wunderli -- Hedge Fund Clones / Nils Tuchschmid, Erik Wallerstein, And Sassan Zaker. Investment Management Behavior: Decentralized Decision Making In Investment Management / Jules H. Van Binsbergen, Michael W. Brandt, And Ralph S.j. Koijen -- Performance Based Fees, Incentives, And Dynamic Tracking Error Choice / Bernd Scherer And Xiaodong Xu. Parameter Estimation: Robust Betas In Asset Management / Heiko M. Bailer, Tatiana A. Maravina, And R. Douglas Martin -- The Informational Content Of Financial Options For Quantitative Asset Management : Areview / Daniel Giamouridis And George Skiadopoulos -- Parameter Uncertainty In Asset Allocation / Campbell R. Harvey, John C. Liechty, And Merrill W. Liechty. Risk Management: Equity Factor Models : Estimation And Extensions / Dan Dibartolomeo -- Fixed Income Investment Risk / Kenneth Winston -- Risk Management For Long-short Portfolios / Thomas Hewett And Kenneth Winston. Market Structure And Trading: Algorithmic Trading, Optimal Execution, And Dynamic Portfolios / Petter N. Kolm And Lee Maclin -- Transaction Costs And Equity Portfolio Capacity Analysis / Yossi Brandes, Ian Domowitz, And Vitaly Serbin. Investment Solutions: Pension Funds And Corporate Enterprise Risk Management / Michael Peskin -- Pricing Embedded Options In Value-based Asset Liability Management / Roy P.m.m. Hoevenaars -- Asset Liability Management For Sovereign Wealth Funds / Francis Breedon And Robert Kosowski. Edited By Bernd Scherer And Kenneth Winston. Print Publication Date: Dec 2011. Published Online: Nov 2012. Includes Bibliographical References And Index. 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. "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."--Publisher's website This text 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