The Oxford handbook of quantitative asset management /
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| Imprint: | Oxford ; New York : Oxford University Press, 2012. |
|---|---|
| Description: | xxviii, 501 p. : ill. ; 26 cm. |
| Language: | English |
| Series: | Oxford handbooks in finance Oxford handbooks in finance. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/8775156 |
Table of Contents:
- List of Figures
- List of Tables
- List of Contributors
- 1. Introduction
- Part I. Portfolio Optimization
- 2. Recent Advances in Portfolio Optimization
- 3. Practical Optimization of Enhanced Active Equity Portfolios
- 4. To Optimize or Not to Optimize: Is that the Question?
- Part II. Portfolio Construction Processes
- 5. Adding the Time Dimension: Optimal Rebalancing
- 6. Bayesian Methods in Investing
- 7. Fund-of-Funds Construction by Statistical Multiple Testing Methods
- 8. Hedge Fund Clones
- Part III. Investment Management Behavior
- 9. Decentralized Decision Making in Investment Management
- 10. Performance Based Fees, Incentives, and Dynamic Tracking Error Choice
- Part IV. Parameter Estimation
- 11. Robust Betas in Asset Management
- 12. The Informational Content of Financial Options for Quantitative Asset Management: A Review
- 13. Parameter Uncertainty in Asset Allocation
- Part V. Risk Management
- 14. Equity Factor Models: Estimation and Extensions
- 15. Fixed Income Investment Risk
- 16. Risk Management for Long-Short Portfolios
- Part VI. Market Structure and Trading
- 17. Algorithmic Trading, Optimal Execution, and Dynamic Portfolios
- 18. Transaction Costs and Equity Portfolio Capacity Analysis
- Part VII. Investment Solutions
- 19. Pension Funds and Corporate Enterprise Risk Management
- 20. Pricing Embedded Options in Value-Based Asset Liability Management
- 21. Asset Liability Management for Sovereign Wealth Funds
- Index
