The Oxford Handbook of Quantitative Asset Management

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. An invaluable and timely contribution to the latest thinking in the field. While loaded with quantitative theory, it is surprisingly application-oriented, and even the least quantitative asset manager will take something useful away from this book to apply to his or her own practice. It is a must for academics involved in this area of research. A handsomely produced and welcome addition to the corpus of investment management research and application, and well deserves the title of Handbook. FT Adviser1. 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. Extracting Asset Allocation Inputs from Option Prices ; 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