Advances in portfolio construction and implementation /

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Bibliographic Details
Imprint:	Amsterdam ; Oxford : Butterworth-Heinemann, 2003.
Description:	1 online resource (xvi, 365 pages).
Language:	English
Series:	Butterworth-Heinemann finance Cambridge elements. Elements in quantitative finance.
Subject:	Portfolio management. Portfolio management -- Mathematical models. Investments. Investments. Portfolio management. Portfolio management -- Mathematical models. Electronic books.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12314700

Hidden Bibliographic Details
Other authors / contributors:	Satchell, S. (Stephen) Scowcroft, Alan.
ISBN:	0750654481 1280966335 9781280966330 9786610966332 6610966338 1417507632 9781417507634 0080471846 9780080471846 9780750654487 0750654481
Digital file characteristics:	data file
Notes:	Includes bibliographical references and index. English. Print version record.
Summary:	Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management. Advances in Portfolio Construction and Implementation o.
Other form:	Print version: Advances in portfolio construction and implementation. Amsterdam ; Oxford : Butterworth-Heinemann, 2003

Table of Contents:

A review of portfolio planning: models and systems
Generalised mean variance analysis and robust portfolio diversification
Portfolio construction from mandate to stock weight: a practitioner's perspective
Enhanced indexation
Portfolio management under taxes
Using genetic algorithms to construct portfolios
Near-uniformly distributed, stochastically generated portfolios
Modelling directional hedge funds mean, variance and correlation with tracker funds
Integrating market and credit risk in fixed income portfolios
Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set
Balancing growth and shortfall probability in continuous time active portfolio management
Assessing the merits of risk-based optimisation for portfolio concentration
The mean-downside risk portfolio frontier: a non-parametric approach
Some exact results for portfolio estimators in the two-period capital market model
Optimal asset al.location for endowments: a large deviations approach
Methods of relative portfolio optimization
Predicting portfolio returns using exact efficient set distributors

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