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Quantitative Fund Management (Chapman Hall/Crc Financial Mathematics Series) | 
| Creators: M.a.h. Dempster, Georg Pflug, Gautam Mitra
Publisher: Chapman Hall/CRC
Category: Book
List Price: $79.95
Buy New: $57.56
You Save: $22.39 (28%)
New (5) Used (1) from $57.56
Sales Rank: 1067077
Media: Hardcover
Edition: 1
Number Of Items: 1
Pages: 488
Shipping Weight (lbs): 2
Dimensions (in): 9.4 x 6.2 x 1.2
ISBN: 1420081918
Dewey Decimal Number: 332.632042
EAN: 9781420081916
ASIN: 1420081918
Publication Date: December 22, 2008 (New: Last 30 Days)
Shipping: Eligible for Super Saver Shipping
Availability: Usually ships in 1 to 2 months
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| Editorial Reviews:
Product Description
iThe First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels /i pAddressing the imbalance between research and practice, bQuantitative Fund Management/b presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. piA Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning/i pThe 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. piUp-to-Date Overview of Tactical Financial Planning and Risk Management/i pThe 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. piThe Future Use of Quantitative Techniques in Fund Management/i pWith contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.
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