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Quantitative fund management

Author: Dempster, M. A. H. ; Mitra, Gautam ; Pflug, Georg Series: Chapman and Hall CRC financial mathematics series Publisher: CRC Press, 2009.Language: EnglishDescription: 467 p. : Graphs ; 25 cm.ISBN: 9781420081916Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG4529.5 .Q83 2009
(Browse shelf)
Available 001272499
Total holds: 0

Includes bibliographical references and index


Quantitative Fund Management
PART 1 ■ Dynamic Financial Planning1
CHAPTER 1 ■ Trends in Quantitative Equity Management:
Survey Results3CHAPTER 2 ■ Portfolio Optimization under the Value-at-Risk
Constraint17CHAPTER 3 ■ Dynamic Consumption and Asset Allocation
with Derivative Securities43
CHAPTER 4 ■ Volatility-Induced Financial Growth67
CHAPTER 5 ■ Constant Rebalanced Portfolios and Side-Information85CHAPTER 6 ■ Improving Performance for Long-Term Investors:
Wide Diversification, Leverage and Overlay Strategies107
CHAPTER 7 ■ Stochastic Programming for Funding Mortgage Pools129CHAPTER 8 ■ Scenario-Generation Methods for an Optimal Public
Debt Strategy175CHAPTER 9 ■ Solving ALM Problems via Sequential
Stochastic Programming197
CHAPTER 10 ■ Designing Minimum Guaranteed Return Funds223
PART 2 ■ Portfolio Construction and Risk Management245
CHAPTER 11 ■ DC Pension Fund Benchmarking with Fixed-Mix
Portfolio Optimization247CHAPTER 12 ■ Coherent Measures of Risk in Everyday Market
CHAPTER 13 ■ Higher Moment Coherent Risk Measures271CHAPTER 14 ■ On the Feasibility of Portfolio Optimization under
Expected Shortfall299CHAPTER 15 ■ Stability Analysis of Portfolio Management with
Conditional Value-at-Risk315
CHAPTER 16 ■ Stress Testing for VaR and CVaR337 CHAPTER 17 ■ Stable Distributions in the Black–Litterman Approach to
Asset Allocation359
CHAPTER 18 ■ Ambiguity in Portfolio Selection377 CHAPTER 19 ■ Mean-Risk Models Using Two Risk Measures:
A Multi-Objective Approach393 CHAPTER 20 ■ Implied Non-Recombining Trees and Calibration for
the Volatility Smile425

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