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.

The Oxford Handbook of Quantitative Asset Management (Oxford Handbooks)

Business & Money

Scherer, Bernd

Winston, Kenneth

Economics

Oxford University Press

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.

Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes

Martin, R. Douglas

Springer

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.

Modern Portfolio Optimization with NuOPT™, S-PLUS®, and S+Bayes™

Bestseller! Recently reprinted due to popular demand 
From an asset management perspective, this title systematically discusses the area of risk budgeting and portfolio construction with an emphasis on practical applications and problem solving as well as providing a critical review of existing portfolio techniques. 
Portfolio Construction and Risk Budgeting clearly presents the key concepts and methods in order to help you plan and implement quantitatively driven portfolio construction. Areas include satellite investing, estimation error heuristics, scenario optimisation, mean variance investing, Bayesian methods, budgeting active risk, non-normality and multiple manager allocation, amongst others. 
Written in a highly accessible and logical style that avoids the need for overly complicated maths, it presents a comprehensive overview of quantitative methods by providing extensive examples, tables and charts to help the reader adopt the subject matter into their day-to-day work. By using the same dataset for all examples throughout, Portfolio Construction and Risk Budgeting allows for easy comparison of the outcomes for different techniques and objectives.

Portfolio Construction and Risk Budgeting

Risk Publications

A new multi-author volume that provides a complete and non-technical presentation on all the very latest asset and liability management issues and techniques required to stay ahead of the curve in today's volatile climate. Leading practitioners, consultant and academics have been brought together to develop a unique insight that will enable the reader to develop an enhanced understanding and competency of ALM and the surrounding issues. Covers pension finance, foundations, actuarial mathematics, fair valuation of pension liabilities including optionalities, scenario simulation and portfolio optimisation. A non-technical approach combined with the use of practical examples throughout offers a thorough understanding of the subject matter to those of a non-quantitative background as well as decision makers and corporates. This volume shows a total representation of the subject matter and includes a selection of topics that are at the heart of today's best practice in ALM.

Asset and Liability Management Tools: A Handbook for Best Practice

Risk Books