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Quantitative fund management / edited by M.A.H. Dempster, Gautam Mitra, Georg Pflug.
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Title:Quantitative fund management / edited by M.A.H. Dempster, Gautam Mitra, Georg Pflug.
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Other Contributors/Collections:Dempster, M. A. H. (Michael Alan Howarth), 1938-
Mitra, Gautam, 1947-
Pflug, Georg Ch., 1951-
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Published/Created:Boca Raton, FL : CRC Press, ©2009.
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Holdings
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Location:DAVID LAM LIBRARY stacksWhere is this?
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Call Number: HG4529.5 .Q36 2009
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Number of Items:1
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Status:Available
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Location:DAVID LAM LIBRARY stacksWhere is this?
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Library of Congress Subjects:Portfolio management--Mathematical models.
Investment analysis--Mathematical models.
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Description:xvii, 467 p. : ill. ; 25 cm.
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Series:Chapman & Hall/CRC financial mathematics series.
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Notes:"A Chapman & Hall book."
Includes bibliographical references and index.
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ISBN:9781420081916 (hbk. : alk. paper)
1420081918 (hbk. : alk. paper)
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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.