E-Book, Englisch, 486 Seiten
E-Book, Englisch, 486 Seiten
Reihe: Chapman & Hall/CRC Financial Mathematics Series
ISBN: 978-1-4200-8192-3
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
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.
Zielgruppe
Students, researchers, and practitioners in finance.
Autoren/Hrsg.
Weitere Infos & Material
Introduction
Part 1: Dynamic Financial Planning
Trends in Quantitative Equity Management: Survey Results
Portfolio Optimization under the Value-at-Risk (VaR) Constraint
Dynamic Consumption and Asset Allocation with Derivative Securities
Volatility-Induced Financial Growth
Constant Rebalanced Portfolios and Side-Information
Improving Performance for Long-Term Investors: Wide Diversification, Leverage, and Overlay Strategies
Stochastic Programming for Funding Mortgage Pools
Scenario-Generation Methods for an Optimal Public Debt Strategy
Solving ALM Problems via Sequential Stochastic Programming
Designing Minimum Guaranteed Return Funds
Part 2: Portfolio Construction and Risk Management
DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization
Coherent Measures of Risk in Everyday Market Practice
Higher Moment Coherent Risk Measures
On the Feasibility of Portfolio Optimization under Expected Shortfall
Stability Analysis of Portfolio Management with Conditional VaR
Stress Testing for VaR and CVaR
Stable Distributions in the Black–Litterman Approach to Asset Allocation
Ambiguity in Portfolio Selection
Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach
Implied Non-Recombining Trees and Calibration for the Volatility Smile
