オックスフォード定量的資産管理ハンドブック The Oxford Handbook of Quantitative Asset Management (Oxford Handbooks)

Scherer, Bernd (EDT)/ Winston, Kenneth (EDT)

Oxford University Press（2011/12発売）

• 製本 Hardcover:ハードカバー版／ページ数 530 p.
• 言語 ENG
• 商品コード 9780199553433
• DDC分類 332.6

Full Description

Quantitative portfolio management has become a highly specialized discipline. Computing power and software improvements have advanced the field to a level that would not have been thinkable when Harry Markowitz began the modern era of quantitative portfolio management in 1952. In addition to raw computing power, major advances in financial economics and econometrics have shaped academia and the financial industry over the last 60 years. While the idea of a general theory of finance is still only a distant hope, asset managers now have tools in the financial engineering kit that address specific problems in their industry. The Oxford Handbook of Quantitative Asset Management consists of seven sections that explore major themes in current theoretical and practical use. These themes span all aspects of a modern quantitative investment organization. Contributions from academics and practitioners working in leading investment management organizations bring together the key theoretical and practical aspects of the field to provide a comprehensive overview of the major developments in the area.

Contents

PART I: PORTFOLIO OPTIMIZATION ; PART II: PORTFOLIO CONSTRUCTION PROCESSES ; PART III: INVESTMENT MANAGEMENT BEHAVIOR ; PART IV: PARAMETER ESTIMATION ; PART V: RISK MANAGEMENT ; PART VI: MARKET STRUCTURE AND TRADING ; PART VII: INVESTMENT SOLUTIONS