Quantitative fund management:
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
Boca Raton [u.a.]
CRC Press
2009
|
| Series: | Chapman & Hall/CRC financial mathematics series
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XVII, 467 S. graph. Darst. |
| ISBN: | 9781420081916 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035252164 | ||
| 003 | DE-604 | ||
| 005 | 20130919 | ||
| 007 | t | ||
| 008 | 090116s2009 d||| |||| 00||| eng d | ||
| 010 | |a 2008014075 | ||
| 020 | |a 9781420081916 |c alk. paper |9 978-1-4200-8191-6 | ||
| 035 | |a (OCoLC)217263514 | ||
| 035 | |a (DE-599)GBV562941134 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-91G |a DE-83 |a DE-19 | ||
| 050 | 0 | |a HG4529.5 | |
| 082 | 0 | |a 332.63/2042 |2 22 | |
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a WIR 160f |2 stub | ||
| 245 | 1 | 0 | |a Quantitative fund management |c ed. by Michael Dempster ; Gautam Mitra ; Georg Pflug |
| 264 | 1 | |a Boca Raton [u.a.] |b CRC Press |c 2009 | |
| 300 | |a XVII, 467 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Chapman & Hall/CRC financial mathematics series | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 0 | |a Portfolio management / Mathematical models | |
| 650 | 0 | |a Investment analysis / Mathematical models | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Investment analysis |x Mathematical models | |
| 650 | 4 | |a Portfolio management |x Mathematical models | |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Finanzanalyse |0 (DE-588)4133000-6 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Portfolio Selection |0 (DE-588)4046834-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Finanzanalyse |0 (DE-588)4133000-6 |D s |
| 689 | 1 | |5 DE-604 | |
| 700 | 1 | |a Dempster, Michael A. H. |d 1938- |e Sonstige |0 (DE-588)124050328 |4 oth | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017057791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-017057791 | ||
Record in the Search Index
| _version_ | 1804138531569795072 |
|---|---|
| adam_text | Titel: Quantitative fund management
Autor: Dempster, Michael A. H.
Jahr: 2009
Contents
Editors vii
Contributors ix
Introduction xiii
Part 1 H Dynamic Financial Planning 1
Chapter 1 ¦ Trends in Quantitative Equity Management:
Survey Results 3
Chapter 2 ¦ Portfolio Optimization under the Value-at-Risk
Constraint 17
Chapter 3 ¦ Dynamic Consumption and Asset Allocation
with Derivative Securities 43
Volatility-Induced Financial Growth 67
Constant Rebalanced Portfolios and Side-Information 85
Improving Performance for Long-Term Investors:
Wide Diversification, Leverage and Overlay Strategies 107
Stochastic Programming for Funding Mortgage Pools 129
Scenario-Generation Methods for an Optimal Public
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Chapter 8
Debt Strategy 175
Chapter 9 ¦ Solving ALM Problems via Sequential
Stochastic Programming 197
Chapter 10 I Designing Minimum Guaranteed Return Funds 223
Part 2 ¦ Portfolio Construction and Risk Management 245
Chapter 11 ¦ DC Pension Fund Benchmarking with Fixed-Mix
Portfolio Optimization 247
Chapter 12 ¦ Coherent Measures of Risk in Everyday Market
Practice 259
Chapter 13 ¦ Higher Moment Coherent Risk Measures 271
Chapter 14 ¦ On the Feasibility of Portfolio Optimization under
Expected Shortfall 299
Chapter 15 ¦ Stability Analysis of Portfolio Management with
Conditional Value-at-Risk 315
vi ¦ CONTENTS
Chapter 16 ¦ Stress Testing for VaR and CVaR 337
Chapter 17 ¦ Stable Distributions in the Black-Litterman Approach to
Asset Allocation 359
Chapter 18 ¦ Ambiguity in Portfolio Selection 377
Chapter 19 ¦ Mean-Risk Models Using Two Risk Measures:
A Multi-Objective Approach 393
Chapter 20 ¦ Implied Non-Recombining Trees and Calibration for
the Volatility Smile 425
Index 451
|
| any_adam_object | 1 |
| author_GND | (DE-588)124050328 |
| building | Verbundindex |
| bvnumber | BV035252164 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4529 |
| callnumber-raw | HG4529.5 |
| callnumber-search | HG4529.5 |
| callnumber-sort | HG 44529.5 |
| callnumber-subject | HG - Finance |
| classification_rvk | SK 980 |
| classification_tum | WIR 160f |
| ctrlnum | (OCoLC)217263514 (DE-599)GBV562941134 |
| dewey-full | 332.63/2042 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2042 |
| dewey-search | 332.63/2042 |
| dewey-sort | 3332.63 42042 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01897nam a2200481 c 4500</leader><controlfield tag="001">BV035252164</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20130919 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">090116s2009 d||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">2008014075</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781420081916</subfield><subfield code="c">alk. paper</subfield><subfield code="9">978-1-4200-8191-6</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)217263514</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV562941134</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-91G</subfield><subfield code="a">DE-83</subfield><subfield code="a">DE-19</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG4529.5</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/2042</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 160f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Quantitative fund management</subfield><subfield code="c">ed. by Michael Dempster ; Gautam Mitra ; Georg Pflug</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Boca Raton [u.a.]</subfield><subfield code="b">CRC Press</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XVII, 467 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Chapman & Hall/CRC financial mathematics series</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Portfolio management / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="0"><subfield code="a">Investment analysis / Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Investment analysis</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzanalyse</subfield><subfield code="0">(DE-588)4133000-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Portfolio Selection</subfield><subfield code="0">(DE-588)4046834-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Finanzanalyse</subfield><subfield code="0">(DE-588)4133000-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Dempster, Michael A. H.</subfield><subfield code="d">1938-</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)124050328</subfield><subfield code="4">oth</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017057791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017057791</subfield></datafield></record></collection> |
| id | DE-604.BV035252164 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:29:40Z |
| institution | BVB |
| isbn | 9781420081916 |
| language | English |
| lccn | 2008014075 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017057791 |
| oclc_num | 217263514 |
| open_access_boolean | |
| owner | DE-91G DE-BY-TUM DE-83 DE-19 DE-BY-UBM |
| owner_facet | DE-91G DE-BY-TUM DE-83 DE-19 DE-BY-UBM |
| physical | XVII, 467 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | CRC Press |
| record_format | marc |
| series2 | Chapman & Hall/CRC financial mathematics series |
| spelling | Quantitative fund management ed. by Michael Dempster ; Gautam Mitra ; Georg Pflug Boca Raton [u.a.] CRC Press 2009 XVII, 467 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC financial mathematics series Includes bibliographical references and index Portfolio management / Mathematical models Investment analysis / Mathematical models Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 s DE-604 Finanzanalyse (DE-588)4133000-6 s Dempster, Michael A. H. 1938- Sonstige (DE-588)124050328 oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017057791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Quantitative fund management Portfolio management / Mathematical models Investment analysis / Mathematical models Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Portfolio Selection (DE-588)4046834-3 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| subject_GND | (DE-588)4046834-3 (DE-588)4133000-6 |
| title | Quantitative fund management |
| title_auth | Quantitative fund management |
| title_exact_search | Quantitative fund management |
| title_full | Quantitative fund management ed. by Michael Dempster ; Gautam Mitra ; Georg Pflug |
| title_fullStr | Quantitative fund management ed. by Michael Dempster ; Gautam Mitra ; Georg Pflug |
| title_full_unstemmed | Quantitative fund management ed. by Michael Dempster ; Gautam Mitra ; Georg Pflug |
| title_short | Quantitative fund management |
| title_sort | quantitative fund management |
| topic | Portfolio management / Mathematical models Investment analysis / Mathematical models Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Portfolio Selection (DE-588)4046834-3 gnd Finanzanalyse (DE-588)4133000-6 gnd |
| topic_facet | Portfolio management / Mathematical models Investment analysis / Mathematical models Mathematisches Modell Investment analysis Mathematical models Portfolio management Mathematical models Portfolio Selection Finanzanalyse |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017057791&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT dempstermichaelah quantitativefundmanagement |