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Quantitative fund management / edited by M.A.H. Dempster, Gautam Mitra, Georg Pflug.

Contributor(s): Dempster, M. A. H. (Michael Alan Howarth), 1938- | Mitra, Gautam | Pflug, Georg Ch, 1951-.
Material type: materialTypeLabelBookSeries: Chapman & Hall/CRC financial mathematics series: Publisher: Boca Raton : CRC Press, 2009Description: 1 online resource (xvii, 467 pages).Content type: text Media type: computer Carrier type: online resourceISBN: 9780429121470.Subject(s): Portfolio management -- Mathematical models | Investment analysis -- Mathematical modelsAdditional physical formats: Print version: : No titleDDC classification: 332.632042 Online resources: Click here to view.
Contents:
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.
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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.

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