Quantitative Portfolio Optimisation, Asset Allocation and Risk Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Quantitative Portfolio Optimisation, Asset Allocation and Risk Management write by M. Rasmussen. This book was released on 2002-12-13. Quantitative Portfolio Optimisation, Asset Allocation and Risk Management available in PDF, EPUB and Kindle. Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
The Oxford Handbook of Quantitative Asset Management
The Oxford Handbook of Quantitative Asset Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook The Oxford Handbook of Quantitative Asset Management write by Bernd Scherer. This book was released on 2012. The Oxford Handbook of Quantitative Asset Management available in PDF, EPUB and Kindle. 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 Fund Management
Quantitative Fund Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Quantitative Fund Management write by M.A.H. Dempster. This book was released on 2008-12-22. Quantitative Fund Management available in PDF, EPUB and Kindle. 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.
Quantitative Portfolio Management
Quantitative Portfolio Management - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Quantitative Portfolio Management write by Pierre Brugière. This book was released on 2020-03-28. Quantitative Portfolio Management available in PDF, EPUB and Kindle. This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.
Portfolio Construction and Risk Budgeting
Portfolio Construction and Risk Budgeting - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Portfolio Construction and Risk Budgeting write by Bernd Scherer. This book was released on 2002. Portfolio Construction and Risk Budgeting available in PDF, EPUB and Kindle. It provides the key concepts and methods to implement quantitatively-driven portfolio construction. Areas include satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation. The emphasis is on practical applications and problem-solving written in a highly accessible style. The title contains quantitative analysis that is supported by extensive examples, tables and charts to help practitioners adopt the subject matter in their day-to-day work.
