Advances in Portfolio Construction and Implementation - 1st Edition - ISBN: 9780750654487, 9780080471846

Advances in Portfolio Construction and Implementation

1st Edition

Series Editors: Stephen Satchell
Editors: Alan Scowcroft
Hardcover ISBN: 9780750654487
eBook ISBN: 9780080471846
Imprint: Butterworth-Heinemann
Published Date: 25th June 2003
Page Count: 384
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Table of Contents

A review of portfolio planning: models and systems; Generalised mean variance analysis and robust portfolio diversification; Portfolio construction from mandate to stock weight: a practitioner's perspective; Enhanced indexation; Portfolio management under taxes; Using genetic algorithms to construct portfolios; Near-uniformly distributed, stochastically generated portfolios; Modelling directional hedge funds mean, variance and correlation with tracker funds; Integrating market and credit risk in fixed income portfolios; Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set; Balancing growth and shortfall probability in continuous time active portfolio management; Assessing the merits of risk-based optimisation for portfolio concentration; The mean-downside risk portfolio frontier: a non-parametric approach ; Some exact results for portfolio estimators in the two-period capital market model; optimal asset allocation for endowments: a large deviations approach; Methods of relative portfolio optimization; Predicting portfolio returns using exact efficient set distributors


Description

A review of portfolio planning: models and systems; Generalised mean variance analysis and robust portfolio diversification; Portfolio construction from mandate to stock weight: a practitioner's perspective; Enhanced indexation; Portfolio management under taxes; Using genetic algorithms to construct portfolios; Near-uniformly distributed, stochastically generated portfolios; Modelling directional hedge funds mean, variance and correlation with tracker funds; Integrating market and credit risk in fixed income portfolios; Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set; Balancing growth and shortfall probability in continuous time active portfolio management; Assessing the merits of risk-based optimisation for portfolio concentration; The mean-downside risk portfolio frontier: a non-parametric approach ; Some exact results for portfolio estimators in the two-period capital market model; optimal asset allocation for endowments: a large deviations approach; Methods of relative portfolio optimization; Predicting portfolio returns using exact efficient set distributors

Key Features

Provides practical guidance on financial risk management Covers the latest developments in investment portfolio construction *Full coverage of the latest cutting edge research on measuring portfolio risk, alternatives to mean variance analysis, expected returns forecasting, the construction of global portfolios and hedge portfolios (funds)

Readership

Risk Managers, Actuaries, Investment Managers, and Consultants.


Details

No. of pages:
384
Language:
English
Copyright:
© Butterworth-Heinemann 2003
Published:
Imprint:
Butterworth-Heinemann
eBook ISBN:
9780080471846

About the Series Editors

Stephen Satchell Series Editor

Stephen Satchell is a Fellow of Trinity College, the Reader in Financial Econometrics at the University of Cambridge and Visiting Professor at Birkbeck College, City University Business School and University of Technology, Sydney. He provides consultancy for a range of city institutions in the broad area of quantitative finance. He has published papers in many journals and has a particular interest in risk.

Affiliations and Expertise

Consultant to financial institutions and Reader in Financial Econometrics at Trinity College, Cambridge, Stephen Satchell is Editor-in-Chief of the Journal of Asset Management and Derivatives, Use, Trading, and Regulation. He has edited or authored over 20 books on finance.

About the Editors

Alan Scowcroft Editor

Alan is a Managing Director and the Global Head of Equities Quantitative Research at UBS Warburg. Since joining UBS Phillips & Drew as an econometrician in 1984, he has worked on every aspect of quantitative modelling from stock valuation to asset allocation. He has been closely associated with the pioneering work on equity style and portfolio analysis developed by UBS Warburg. Alan was educated at Ruskin College, Oxford and Wolfson College, Cambridge where he was awarded the Jennings prize for academic achievement.

Affiliations and Expertise

Managing Director and the Global Head of Equities Quantitative Research, UBS Warburg.