Economics In Asset Management
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The Oxford Handbook Of Quantitative Asset Management
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Author : Bernd Scherer
language : en
Publisher: Oxford University Press
Release Date : 2011-12-15
The Oxford Handbook Of Quantitative Asset Management written by Bernd Scherer and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-15 with Business & Economics categories.
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.
Asset Management Tools And Issues
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Author : Frank J Fabozzi
language : en
Publisher: World Scientific
Release Date : 2020-12-02
Asset Management Tools And Issues written by Frank J Fabozzi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-02 with Business & Economics categories.
Long gone are the times when investors could make decisions based on intuition. Modern asset management draws on a wide-range of fields beyond financial theory: economics, financial accounting, econometrics/statistics, management science, operations research (optimization and Monte Carlo simulation), and more recently, data science (Big Data, machine learning, and artificial intelligence). The challenge in writing an institutional asset management book is that when tools from these different fields are applied in an investment strategy or an analytical framework for valuing securities, it is assumed that the reader is familiar with the fundamentals of these fields. Attempting to explain strategies and analytical concepts while also providing a primer on the tools from other fields is not the most effective way of describing the asset management process. Moreover, while an increasing number of investment models have been proposed in the asset management literature, there are challenges and issues in implementing these models. This book provides a description of the tools used in asset management as well as a more in-depth explanation of specialized topics and issues covered in the companion book, Fundamentals of Institutional Asset Management. The topics covered include the asset management business and its challenges, the basics of financial accounting, securitization technology, analytical tools (financial econometrics, Monte Carlo simulation, optimization models, and machine learning), alternative risk measures for asset allocation, securities finance, implementing quantitative research, quantitative equity strategies, transaction costs, multifactor models applied to equity and bond portfolio management, and backtesting methodologies. This pedagogic approach exposes the reader to the set of interdisciplinary tools that modern asset managers require in order to extract profits from data and processes.
Economics In Asset Management
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Author :
language : en
Publisher:
Release Date : 2007
Economics In Asset Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Advances In The Practice Of Public Investment Management
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Author : Narayan Bulusu
language : en
Publisher: Springer
Release Date : 2018-07-28
Advances In The Practice Of Public Investment Management written by Narayan Bulusu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-28 with Business & Economics categories.
This book covers the latest advances in the theory and practice of public investment management. It includes the most up-to-date developments in the implementation of public asset management – including multiple contributions on portfolio allocation in varying interest-rate and credit-risk environments. Other highlights include implementation, performance attribution and governance issues surrounding reserves management, portfolio construction techniques appropriate for public investors and an in-depth discussion of the challenges to achieving international diversification.
Economics In Asset Management
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Author :
language : en
Publisher:
Release Date : 2003
Economics In Asset Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Infrastructure (Economics) categories.
Transportation Asset Management (TAM) is a strategic approach to maximize the benefits from resources used to operate, expand, and preserve the transportation infrastructure. It takes a long-term perspective of infrastructure performance and cost, and considers investment options in a comprehensive and informed way. TAM integrates the various disciplines related to infrastructure management, including planning, engineering, economics, and budgeting. It is systematic and fact based, and therefore dependent on good information and analytical capabilities. Economic analysis plays a critical role in TAM by facilitating tradeoff analysis, in which the net benefits of competing investment options are compared in terms of their "dollars and cents" impact on the public. Information from the analysis feeds back to planners and engineers, allowing them to identify the most beneficial investments.
Understanding Asset Allocation
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Author : Victor A. Canto
language : en
Publisher: Financial Times/Prentice Hall
Release Date : 2006
Understanding Asset Allocation written by Victor A. Canto and has been published by Financial Times/Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
This book is about effective asset allocation. It's not enough to rely on some investment manager's "one-size-fits-all" software to allocate your precious capital: you need to understand the process, and take control. In Understanding Asset Allocation, world-class economist, investment expert, and hedge fund manager Victor Canto shows exactly how to understand the process of assett allocation. Canto introduces a flexible, intuitive, easy-to-use approach to asset allocation that leverages powerful business cycle information and investment vehicles most investors ignore. Canto reveals what you can (and can't) learn from historical data; how to find and focus on sectors that offer exceptional opportunity; and how to manage risk far more effectively. Whether you manage your own investments or rely on an advisor, Understanding Asset Allocation will help you optimize all your asset allocation decisions -- and maximize the returns they deliver.
Macroeconometric Models For Portfolio Management
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Author : Jeremy Kwok
language : en
Publisher: Vernon Press
Release Date : 2021-09-07
Macroeconometric Models For Portfolio Management written by Jeremy Kwok and has been published by Vernon Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-07 with Business & Economics categories.
‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management
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Author : Michele Leonardo Bianchi
language : en
Publisher: World Scientific
Release Date : 2019-03-08
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-08 with Business & Economics categories.
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.
Multi Asset Investing
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Author : Pranay Gupta
language : en
Publisher: John Wiley & Sons
Release Date : 2016-03-14
Multi Asset Investing written by Pranay Gupta and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-14 with Business & Economics categories.
Despite the accepted fact that a substantial part of the risk and return of any portfolio comes from asset allocation, we find today that the majority of investment professionals worldwide are focused on security selection. Multi-Asset Investing: A Practitioner’s Framework questions this basic structure of the investment process and investment industry. Who says we have to separate alpha and beta? Are the traditional definitions for risk and risk premium relevant in a multi-asset class world? Do portfolios cater for the ‘real risks’ in their investment processes? Does the whole Emerging Markets demarcation make sense for investing? Why do active Asian managers perform much poorer compared to developed market managers? Can you distinguish how much of a strategy’s performance comes from skill rather than luck? Does having a performance fee for your manager create alignment or misalignment? Why is the asset management transitioning from multi-asset strategies to multi-asset solutions? These and many other questions are asked, and suggestions provided as potential solutions. Having worked together for fifteen years, the authors’ present implementable solutions which have helped them successfully manage large asset pools. The Academic Perspective “Multi-Asset Investing asks fundamental questions about the asset allocation investment processes in use today, and can have a substantial impact on the future structure of the finance industry. It clarifies and distils the techniques that investment professionals need to master to add value to client portfolios.” —Paul Smith, President & CEO, CFA Institute “Pranay Gupta, Sven Skallsjo, and Bing Li describe the essential concepts and applications of multi-asset investing. Their treatment is far ranging and exceptionally lucid, and always with a nod to practical application. Buy this book and keep it close at hand.” —Mark Kritzman, MIT Sloane School of Management “Innovative solutions to some of the most difficult investment problems we are faced with today. Multi-asset Investing tackles investment issues which don’t have straight forward solutions, but nevertheless are faced by every investment professional. This book sets the standard for investment processes of all asset managers.” —SP Kothari, MIT Sloane School of Management The Asset Owner Perspective “Multi-asset means different things to different people. This is the first text that details a comprehensive framework for managing any kind of multi-asset investment problem. Further, its explanation of the commercial aspects of managing a multi-asset investment business for an asset manager, private bank or asset owner make it an indispensable tool” —Sadayuki Horie, Dy. Chairman - Investment Advisory Comm., Government Pension Investment Fund, Japan “Multi-Asset Investing shows the substantial scope there is to innovate the asset allocation process. With its novel approaches to allocation, portfolio construction and risk management it demonstrates the substantial value that can be added to any portfolio. The solutions proposed by Multi-Asset Investing are creative, thought provoking, and may well be the way all portfolios need to be managed in the future.” —Mario Therrien, Senior Vice President, Caisse de Depot et Placement du Quebec, Canada The Asset Manager’s Perspective “Never has astute asset allocation and diversification been more crucial than today. Asset Managers which are able to innovate their investment processes and products in this area, are more likely to be the winners. Multi-Asset Investing provides both simple and sophisticated, tested and implementable techniques for successfully managing multi-asset portfolios.” —Vincent Camerlynck, former CEO BNP Paribas Investment Partners, Asia Pacific The Investment Strategist Perspective “For plan sponsors, portfolio managers, analysts and risk managers, Multi-Asset Investing is an unparalleled guide for portfolio management. Its approach to blending the quantitative and fundamental, top-down and bottom up and the risk and return frameworks makes it a valuable tool for any kind of investment professional. It clarifies a complex subject into a series of practical ideas to help add value to any portfolio.” —Ajay S. Kapur, Chief Strategist, BOA Merrill Lynch Asia
Country Asset Allocation
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Author : Adam Zaremba
language : en
Publisher: Springer
Release Date : 2016-10-26
Country Asset Allocation written by Adam Zaremba and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Business & Economics categories.
This book demonstrates how quantitative country-level investment strategies can be successfully employed to manage money in international markets. It offers a range of state-of-the-art quantitative strategies, describing their theoretical bases, implementation details, and performance in over 70 countries between 1995 and 2015. International diversification has long been a key to stable investing. However, the increased integration and openness of global financial markets has led to rising correlations between stock market returns in particular countries, driving down the benefits of diversification and increasing the importance of country selection strategies as part of an investment process. Zaremba and Shemer explain the efficiency of quantitative investing, which captures huge amounts of data of limited scope very quickly. In the traditional approach, this data compilation is an immense undertaking, limited in scope and vulnerable to behavioral errors, but this can be overcome with the help of a new paradigm of quantitative investment at the country level. Quantitative country asset allocation can be efficiently accomplished by using wealth insights that have been generated in the academic literature, discovering many anomalies and regular patterns in asset prices. Armed with this information, investors and managers can process large amounts of data more efficiently when deciding to invest in ETFs, index funds, or futures markets.