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    Quantitative fund management / edited by M.A.H. Dempster, Gautam Mitra, Georg Pflug.

    • Title:Quantitative fund management / edited by M.A.H. Dempster, Gautam Mitra, Georg Pflug.
    •    
    • Other Contributors/Collections:Dempster, M. A. H. (Michael Alan Howarth), 1938-
      Mitra, Gautam, 1947-
      Pflug, Georg Ch., 1951-
    • Published/Created:Boca Raton, FL : CRC Press, ©2009.
    • Holdings

       
    • Library of Congress Subjects:Portfolio management--Mathematical models.
      Investment analysis--Mathematical models.
    • Description:xvii, 467 p. : ill. ; 25 cm.
    • Series:Chapman & Hall/CRC financial mathematics series.
    • Notes:"A Chapman & Hall book."
      Includes bibliographical references and index.
    • ISBN:9781420081916 (hbk. : alk. paper)
      1420081918 (hbk. : alk. paper)
    • Contents:Pt. 1. Dynamic Financial Planning
      Ch. 1. Trends in Quantitative Equity Management: Survey Results
      Ch. 2. Portfolio Optimization under the Value-at-Risk Constraint
      Ch. 3. Dynamic Consumption and Asset Allocation with Derivative Securities
      Ch. 4. Volatility-Induced Financial Growth
      Ch. 5. Constant Rebalanced Portfolios and Side-Information
      Ch. 6. Improving Performance for Long-Term Investors: Wide Diversification, Leverage and Overlay Strategies
      Ch. 7. Stochastic Programming for Funding Mortgage Pools
      Ch. 8. Scenario-Generation Methods for an Optimal Public Debt Strategy
      Ch. 9. Solving ALM Problems via Sequential Stochastic Programming
      Ch. 10. Designing Minimum Guaranteed Return Funds
      Pt. 2. Portfolio Construction and Risk Management
      Ch. 11. DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization
      Ch. 12. Coherent Measures of Risk in Everyday Market Practice
      Ch. 13. Higher Moment Coherent Risk Measures
      Ch. 14. On the Feasibility of Portfolio Optimization under Expected Shortfall
      Ch. 15. Stability Analysis of Portfolio Management with Conditional Value-at-Risk
      Ch. 16. Stress Testing for VaR and CVaR
      Ch. 17. Stable Distributions in the Black-Litterman Approach to Asset Allocation
      Ch. 18. Ambiguity in Portfolio Selection
      Ch. 19. Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach
      Ch. 20. Implied Non-Recombining Trees and Calibration for the Volatility Smile.
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