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Quantitative Asset Management
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Book Synopsis The Oxford Handbook of Quantitative Asset Management by : Bernd Scherer
Download or read book The Oxford Handbook of Quantitative Asset Management written by Bernd Scherer and published by Oxford University Press. This book was released on 2012 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.
Book Synopsis Advances in Quantitative Asset Management by : Christian Dunis
Download or read book Advances in Quantitative Asset Management written by Christian Dunis and published by Springer Science & Business Media. This book was released on 2000-04-30 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.
Book Synopsis Machine Learning for Asset Managers by : Marcos M. López de Prado
Download or read book Machine Learning for Asset Managers written by Marcos M. López de Prado and published by Cambridge University Press. This book was released on 2020-04-22 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods. Some of ML's strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to "learn" complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.
Book Synopsis Applied Quantitative Methods for Trading and Investment by : Christian L. Dunis
Download or read book Applied Quantitative Methods for Trading and Investment written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 2004-01-09 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Book Synopsis Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by : M. Rasmussen
Download or read book Quantitative Portfolio Optimisation, Asset Allocation and Risk Management written by M. Rasmussen and published by Springer. This book was released on 2002-12-13 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.
Book Synopsis Quantitative Investment Analysis by : Richard A. DeFusco
Download or read book Quantitative Investment Analysis written by Richard A. DeFusco and published by John Wiley & Sons. This book was released on 2015-10-15 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use of statistics within the context of finance and investment. With equal focus on theoretical concepts and their practical applications, this approachable resource offers features, such as learning outcome statements, that are targeted at helping you understand, retain, and apply the information you have learned. Throughout the text's chapters, you explore a wide range of topics, such as the time value of money, discounted cash flow applications, common probability distributions, sampling and estimation, hypothesis testing, and correlation and regression. Applying quantitative analysis to the investment process is an important task for investment pros and students. A reference that provides even subject matter treatment, consistent mathematical notation, and continuity in topic coverage will make the learning process easier—and will bolster your success. Explore the materials you need to apply quantitative analysis to finance and investment data—even if you have no previous knowledge of this subject area Access updated content that offers insight into the latest topics relevant to the field Consider a wide range of subject areas within the text, including chapters on multiple regression, issues in regression analysis, time-series analysis, and portfolio concepts Leverage supplemental materials, including the companion Workbook and Instructor's Manual, sold separately Quantitative Investment Analysis, Third Edition is a fundamental resource that covers the wide range of quantitative methods you need to know in order to apply quantitative analysis to the investment process.
Book Synopsis Quantitative Fund Management by : M.A.H. Dempster
Download or read book Quantitative Fund Management written by M.A.H. Dempster and published by CRC Press. This book was released on 2008-12-22 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels. Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning - The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management - The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management - With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.
Book Synopsis Quantitative Equity Portfolio Management by : Ludwig B. Chincarini
Download or read book Quantitative Equity Portfolio Management written by Ludwig B. Chincarini and published by McGraw Hill Professional. This book was released on 2010-08-18 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.
Book Synopsis Big Data and Machine Learning in Quantitative Investment by : Tony Guida
Download or read book Big Data and Machine Learning in Quantitative Investment written by Tony Guida and published by John Wiley & Sons. This book was released on 2019-03-25 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Get to know the ‘why’ and ‘how’ of machine learning and big data in quantitative investment Big Data and Machine Learning in Quantitative Investment is not just about demonstrating the maths or the coding. Instead, it’s a book by practitioners for practitioners, covering the questions of why and how of applying machine learning and big data to quantitative finance. The book is split into 13 chapters, each of which is written by a different author on a specific case. The chapters are ordered according to the level of complexity; beginning with the big picture and taxonomy, moving onto practical applications of machine learning and finally finishing with innovative approaches using deep learning. • Gain a solid reason to use machine learning • Frame your question using financial markets laws • Know your data • Understand how machine learning is becoming ever more sophisticated Machine learning and big data are not a magical solution, but appropriately applied, they are extremely effective tools for quantitative investment — and this book shows you how.
Book Synopsis Advances in Quantitative Asset Management by : Christian Dunis
Download or read book Advances in Quantitative Asset Management written by Christian Dunis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.
Book Synopsis Quantitative Equity Portfolio Management by : Edward E. Qian
Download or read book Quantitative Equity Portfolio Management written by Edward E. Qian and published by CRC Press. This book was released on 2007-05-11 with total page 462 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for
Book Synopsis Quantitative Asset Management: Factor Investing and Machine Learning for Institutional Investing by : Michael Robbins
Download or read book Quantitative Asset Management: Factor Investing and Machine Learning for Institutional Investing written by Michael Robbins and published by McGraw Hill Professional. This book was released on 2023-06-24 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Augment your asset allocation strategy with machine learning and factor investing for unprecedented returns and growth Whether you’re managing institutional portfolios or private wealth, Quantitative Asset Management will open your eyes to a new, more successful way of investing—one that harnesses the power of big data and artificial intelligence. This innovative guide walks you through everything you need to know to fully leverage these revolutionary tools. Written from the perspective of a seasoned financial investor making use of technology, it details proven investing methods, striking a rare balance between providing important technical information without burdening you with overly complex investing theory. Quantitative Asset Management is organized into four thematic sections: Part I reveals invaluable lessons for planning and governance of investment decision-making. Part 2 discusses quantitative financial modeling, covering important topics like overfitting, mitigating unrealistic assumptions, managing substitutions, enhancing minority classes, and missing data imputation. Part 3 shows how to develop a strategy into an investment product, including the alpha models, risk models, implementation, backtesting, and cost optimization. Part 4 explains how to measure performance, learn from mistakes, manage risk, and survive financial tragedies. With Quantitative Asset Management, you have everything you need to build your awareness of other markets, ask the right questions and answer them effectively, and drive steady profits even through times of great uncertainty.
Book Synopsis Quantitative Asset Management by : William Johnson
Download or read book Quantitative Asset Management written by William Johnson and published by HiTeX Press. This book was released on 2024-10-12 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Quantitative Asset Management: Techniques for Optimizing Portfolio Returns" is an authoritative guide that expertly bridges theory and practice, equipping readers with the essential tools and strategies to navigate the complex world of finance. This meticulously crafted book unveils the intricate frameworks and advanced methodologies at the core of quantitative asset management, empowering investors, analysts, and financial professionals to achieve superior portfolio performance. From the foundational principles of modern portfolio theory to the cutting-edge application of machine learning in finance, each chapter delivers a rich tapestry of insights that elevate the reader’s understanding and decision-making skills. This volume intricately explores a wide array of topics including risk management, algorithmic trading, behavioral finance, and the ethical considerations that underpin successful asset management. By weaving together practical examples and real-world applications, it ensures readers can apply the learned concepts effectively within their own financial contexts. Whether navigating the challenges of market dynamics or leveraging emerging technologies, this book stands as a vital resource, ensuring its readers are well-prepared to excel in the ever-evolving landscape of quantitative finance.
Book Synopsis Quantitative Portfolio Management by : Pierre Brugière
Download or read book Quantitative Portfolio Management written by Pierre Brugière and published by Springer Nature. This book was released on 2020-03-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.
Book Synopsis Modern Investment Management by : Bob Litterman
Download or read book Modern Investment Management written by Bob Litterman and published by John Wiley & Sons. This book was released on 2004-11-19 with total page 648 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dieser Band füllt eine echte Marktlücke. "Goldman Sach's Modern Investment" gibt eine Einführung in moderne Investment Management Verfahren, wie sie von Goldman Sachs Asset Management verwendet werden, um erstklassige Investitionsrenditen zu erzielen. Erläutert werden u.a. die moderne Portfoliotheorie (Portfoliodiversifikation zur Risikostreuung), Capital Asset Pricing (Verfahren zur Ermittlung des Risiko-Rendite-Austauschverhältnisses von Finanzanlagen, bei dem der unterschiedliche Risikogehalt von Finanztiteln berücksichtigt wird) sowie eine Reihe aktueller Themen wie z.B. strategische Portfoliostrukturierung, Risikobudgetierung und aktives Portfolio Management. Hier erhalten Sie die Mittel an die Hand, um die Goldman Sachs Asset Management Methode für sich selbst umzusetzen. Das von Fischer Black und Bob Litterman gemeinsam entwickelte Black-Litterman Asset Allocation Model gehört zu den angesehensten und meist verwendeten Modellen zur Portfoliostrukturierung. Litterman und seine Asset Management Group sind oft die treibende Kraft, wenn es um Portfoliostrukturierung und Investmententscheidungen der 100 international größten Pensionsfonds geht.
Book Synopsis Quantitative Equity Investing by : Frank J. Fabozzi
Download or read book Quantitative Equity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2010-03-01 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs, trading strategies, and much more. They also provide ample illustrations and thorough discussions of implementation issues facing those in the investment management business and include the necessary background material in probability, statistics, and econometrics to make the book self-contained. Written by a solid author team who has extensive financial experience in this area Presents state-of-the art quantitative strategies for managing equity portfolios Focuses on the implementation of quantitative equity asset management Outlines effective analysis, optimization methods, and risk models In today's financial environment, you have to have the skills to analyze, optimize and manage the risk of your quantitative equity investments. This guide offers you the best information available to achieve this goal.
Book Synopsis Quantitative Portfolio Management by : Michael Isichenko
Download or read book Quantitative Portfolio Management written by Michael Isichenko and published by John Wiley & Sons. This book was released on 2021-09-10 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.
