Advances in Quantitative Asset Management / Edition 1

Advances in Quantitative Asset Management / Edition 1

by Christian Dunis
     
 

ISBN-10: 0792377788

ISBN-13: 9780792377788

Pub. Date: 04/30/2000

Publisher: Springer US

Advances in Quantitative Asset Management contains selected articles w hich, for the most part, were presented at the 'Forecasting Financial Markets' Conference. 'Forecasting Financial Markets' is an internation al conference on quantitative finance which is held in London in May e very year. Since its inception in 1994, the conference has grown in sc ope and

Overview

Advances in Quantitative Asset Management contains selected articles w hich, for the most part, were presented at the 'Forecasting Financial Markets' Conference. 'Forecasting Financial Markets' is an internation al conference on quantitative finance which is held in London in May e very year. Since its inception in 1994, the conference has grown in sc ope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigi ous academic and research institutions from all over the world, includ ing major central banks and quantitative fund managers.

Product Details

ISBN-13:
9780792377788
Publisher:
Springer US
Publication date:
04/30/2000
Series:
Studies in Computational Finance Series, #1
Edition description:
2000
Pages:
342
Product dimensions:
6.10(w) x 9.25(h) x 0.03(d)

Table of Contents

Contributorsvii
Prefacexii
Part 1Advances in Asset Allocation and Portfolio Management
1.Introducing Higher Moments in the CAPM: Some Basic Ideas3
2.Fat Tails and the Capital Asset Pricing Model17
3.The Efficiency of Fund Management: An Applied Stochastic Frontier Model41
4.Investment Styles in the European Equity Markets61
5.Advanced Adaptive Architectures for Asset Allocation89
6.High Frequency Data and Optimal Hedge Ratios113
Part 2Modelling Risk, Return and Correlation
7.Large Scale Conditional Correlation Estimation139
8.The Pitfalls in Fitting GARCH(1,1) Processes179
9.Factor GARCH, Regime-Switching and the Term Structure of Interest Rates201
10.Hedging a Portfolio of Corporate Bonds Using PCA/GARCH Yield Curve Analysis235
11.Analysis of Time Varying Exchange Rate Risk Premia255
12.Volatility Modelling in the Forex Market: An Empirical Evaluation275
13.Five Classification Algorithms to Predict High Performance Stocks295
14.Forecasting Financial Time Series with Generalized Long Memory Processes319

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