Quantitative fund management /
edited by M.A.H. Dempster, Gautam Mitra, Georg Pflug.
- 1 online resource (xvii, 467 pages)
- Chapman & Hall/CRC financial mathematics series .
- Chapman & Hall/CRC financial mathematics series. .
A Chapman and Hall book.
chapter Introduction to Quantitative Fund Management -- chapter 1 Trends in Quantitative Equity Management -- chapter 2 Portfolio Optimization under the Value-at-Risk Constraint -- chapter 3 Dynamic Consumption and Asset Allocation with Derivative Securities -- chapter 4 Volatility-Induced Financial Growth -- chapter 5 Constant Rebalanced Portfolios and Side-Information -- chapter 6 Improving Performance for Long-Term Investors -- chapter 7 Stochastic Programming for Funding Mortgage Pools -- chapter 8 Scenario-Generation Methods for an Optimal Public Debt Strategy -- chapter 9 Solving ALM Problems via Sequential Stochastic Programming -- chapter 10 Designing Minimum Guaranteed Return Funds -- chapter 11 DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization -- chapter 12 Coherent Measures of Risk in Everyday Market Practice -- chapter 13 Higher Moment Coherent Risk Measures -- chapter 14 On the Feasibility of Portfolio Optimization under Expected Shortfall -- chapter 15 Stability Analysis of Portfolio Management with Conditional Value-at-Risk -- chapter 16 Stress Testing for VaR and CVaR -- chapter 17 Stable Distributions in the Black,Äì/Litterman Approach to Asset Allocation -- chapter 18 Ambiguity in Portfolio Selection -- chapter 19 Mean-Risk Models Using Two Risk Measures -- chapter 20 PART 1 Dynamic Financial Planning.
9780429121470
10.1201/9781420081923 doi
Portfolio management--Mathematical models.
Investment analysis--Mathematical models.
HG4529.5 / .Q83 2009
332.632042 / Q17
A Chapman and Hall book.
chapter Introduction to Quantitative Fund Management -- chapter 1 Trends in Quantitative Equity Management -- chapter 2 Portfolio Optimization under the Value-at-Risk Constraint -- chapter 3 Dynamic Consumption and Asset Allocation with Derivative Securities -- chapter 4 Volatility-Induced Financial Growth -- chapter 5 Constant Rebalanced Portfolios and Side-Information -- chapter 6 Improving Performance for Long-Term Investors -- chapter 7 Stochastic Programming for Funding Mortgage Pools -- chapter 8 Scenario-Generation Methods for an Optimal Public Debt Strategy -- chapter 9 Solving ALM Problems via Sequential Stochastic Programming -- chapter 10 Designing Minimum Guaranteed Return Funds -- chapter 11 DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization -- chapter 12 Coherent Measures of Risk in Everyday Market Practice -- chapter 13 Higher Moment Coherent Risk Measures -- chapter 14 On the Feasibility of Portfolio Optimization under Expected Shortfall -- chapter 15 Stability Analysis of Portfolio Management with Conditional Value-at-Risk -- chapter 16 Stress Testing for VaR and CVaR -- chapter 17 Stable Distributions in the Black,Äì/Litterman Approach to Asset Allocation -- chapter 18 Ambiguity in Portfolio Selection -- chapter 19 Mean-Risk Models Using Two Risk Measures -- chapter 20 PART 1 Dynamic Financial Planning.
9780429121470
10.1201/9781420081923 doi
Portfolio management--Mathematical models.
Investment analysis--Mathematical models.
HG4529.5 / .Q83 2009
332.632042 / Q17