Quantitative fund management. (©2009)

• Record Type: Book
• Further Information: Note: M.A.H. Dempster, Gautam Mitra, Georg Pflug.
• Other Names: Dempster, M. A. H (Michael Alan Howarth), 1938-; Mitra, Gautam; Pflug, Georg Ch, 1951-
• Contents: Cover -- Contents -- Editors -- Contributors -- Introduction to Quantitative Fund Management -- Part 1: Dynamic Financial Planning -- Chapter 1. Trends in Quantitative Equity Management: Survey Results -- 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. Constrant Rebalanced Portfolios and Side-Information -- Chapter 6. Improving Performance for Long-Term Investors: Wide Diversification, Leverage and Overlay Strategies -- Chapter 7. Stochastic Programming for Funding Mortgage Pools -- Chapter 8. Scenario-Geneeration Methods for an Optimal Public Debt Strategy -- Chapter 9. Solving ALM Problems via Sequential Stochastic Programming -- Chapter 10. Designing Minimum Guaranteed Return Funds -- Part 2: Portfolio Construction and Risk Management -- 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-Litterman Approach to Asset Allocation -- Chapter 18. Ambiguity in Portfolio Selection -- Chapter 19. Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach -- Chapter 20. Implied Non-Recombining Trees and Calibration for the Volatility Smile -- Index.
• Publisher Details: Boca Raton : CRC Press
• Publication Date: 2009
• Copyright Date: 2009
• Extent: 1 online resource (xvii, 467 pages), illustrations
• Subjects: 332.63/2042; Portfolio management -- Mathematical models; Investment analysis -- Mathematical models; BUSINESS & ECONOMICS -- Investments & Securities -- General; Investment analysis -- Mathematical models; Portfolio management -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 9781420081923; 1420081926
• Related ISBNs: 9781420081916; 1420081918
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.