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Zusatztext This imposing compendium of new developments in quantitative asset management appears daunting at 500 pages, but it makes an invaluable and timely contribution to the latest thinking in the field. Informationen zum Autor Prior to joining EDHEC-Risk, Bernd Scherer was Managing Director and Global Head of Quantitative Asset Allocation at Morgan Stanley in London. Previously, he was with Deutsche Asset Management where he successively headed the Investment Solutions and Overlay Management Group in Frankfurt, and Global Quantitative Research and Portfolio Engineering from New York. Bernd has 16 years of investment experience within top financial institutions. He has published over 50 articles in leading academic and practitioner journals and is a board member of the London Quant Group. Kenneth Winston is Chief Risk Officer at Western Asset Management and a Lecturer in Economics at the California Institute of Technology in Pasadena. Previously Dr. Winston was Chief Risk Officer at Morgan Stanley Investment Management in New York and an Adjunct Professor of financial mathematics at the Courant Institute of Mathematical Sciences at New York University. He began his financial career as a quantitative portfolio manager after having taught mathematics at Rutgers University. Dr. Winston, who obtained his PhD in pure mathematics from the Massachusetts Institute of Technology, is the author of numerous articles and papers in mathematics and finance. Klappentext 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. This imposing compendium of new developments in quantitative asset management appears daunting at 500 pages, but it makes an invaluable and timely contribution to the latest thinking in the field. Ed Bace, FT Adviser Zusammenfassung 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. Inhaltsverzeichnis 1 Introduction; Part I: Portfolio Optimization; 2 Reha Tutuncu: Recent Advances in Portfolio Optimization; 3 Bruce I. Jacobs! Kenneth N. Levy! and David Starer: Practical Optimization of Enhanced Active Equity Portfolios; 4 Sebastian Ceria: To Optimize or Not to Optimize: Is that the Question?; Part II: Portfolio Construction Processes; 5 Mark Kritzman! Simon Myrgren! and Sebastien Page: Adding the Time Dimension: Optimal Rebalancing; 6 Colm O'Cinneide: Bayesian Methods in Investing; 7 Michael Wolf and Dan Wunderli: Fund-of-Funds Construction by Statistical Multiple Testing Methods; 8 Nils Tuchschmid! Eric Wallerstein! and Sassan Zaker: Hedge Fund Clones; Part III: Investment Management Behavior; 9 Jules H. van Binsbergen! Michael W. Brandt! and Ralph S.J. Koijen: Decentralized Decision Making in Investment Management; 10 Bernhard Scherer and Xiaodong Xu: Performance Based Fees! Incentives and Dynamic Tracking Error Choice; Part IV: Parameter Estimation; 11 Heiko M. Bail ...
