The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels 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.
University of Cambridge and Cambridge Systems Associates Limited, UK Department of Statistics, 8 Decision Systems, University of Vienna, Austria Brunel University, Uxbridge, Middelsex, UK University of Maryland, College Park, USA Columbia University, New York, USA
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
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- ID: 9781420081916
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