The Oxford handbook of quantitative asset management / edited by Bernd Scherer & Kenneth Winston.

Contents;


Introduction

Part I: Portfolio optimization
2. Recent advances in portfolio optimization
3. Practical optimization of enhanced active equity portfolios
4. To optimize or not to optimize: Is that the question?

Part II: Portfolio construction processes
5. Adding the time dimension: Optimal rebalancing
6. Bayesian methods in investing
7. Fund-of-funds construction by statistical multiple testing methods
8. Hedge fund clones

Part III: Investment management behavior
9. Decentralized decision making in investment management
10. Performance based fees, incentives and dynamic tracking error choice

Part IV: Parameter estimation
11. Robust betas in asset management
12. The informational content of financial options for quantitative asset management: A review
13. Parameter uncertainty in asset allocation

Part V: Risk management
14. Equity factor models: Estimation and extensions
15. Fixed income investment risk
16. Risk management for long-short portfolios

Part VI: Market structure and trading
17. Algorithmic trading, optimal execution and dynamic portfolios
18. Transaction costs and equity portfolio capacity analysis

Part VII: Investment solutions
19. Pension funds and corporate enterprise risk management
20. Pricing embedded options in value-based asset liability management
21. Asset liability management for sovereign wealth funds

Includes bibliographical references and index.