Advances in Quantitative Asset Management

ISBN-13: 9781461369745 / Angielski / Miękka / 2012 / 342 str.

Christian Dunis

Opis

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.

Spis treści

Contributors. Preface. Part 1: Advances in Asset Allocation and Portfolio Management. 1. Introducing Higher Moments in the CAPM: Some Basic Ideas; G.M. de Athayde, R.G. Flôres Jr. 2. Fat Tails and the Capital Asset Pricing Model; C.J. Adcock, K. Shutes. 3. The Efficiency of Fund Management: An Applied Stochastic Frontier Model; W. Briec, J.-B. Lesourd. 4. Investment Styles in the European Equite Markets; M. Billio, et al. 5. Advanced Adaptive Architectures for Asset Allocation; P. Naïm, et al. 6. High Frequency Data and Optimal Hedge Ratios; C.L. Dunis, P. Lequeux. Part 2: Modelling Risk, Return and Correlation. 7. Large Scale Conditional Correlation Estimation; F. Bourgoin. 8. The Pitfalls in Fitting GARCH(1,1) Processes; G. Zumbach. 9. Factor GARCH, Regime-Switching and the Term Structure of Interest Rates; D. Khabie-Zeitoune, et al. 10. Hedging a Portfolio of Corporate Bonds Using PCA/GARCH Yield Curve Analysis; D. Toulson, et al. 11. Analysis of Time Varying Exchange Rate Risk Premia; R. Bhar, C. Chiarella. 12. Volatility Modelling in the Forex Market: An Empirical Evaluation; R.G. Flôres Jr., B.B. Roche. 13. Five Classification Algorithms to Predict High Performance Stocks; G.T. Albanis, R.A. Batchelor. 14. Forecasting Financial Time Series with Generalized Long Memory Processes; L. Ferrara, D. Guégan.

O autorze

CHRISTIAN L. DUNIS is Girobank Professor of Banking and Finance at Liverpool Business School, and Director of its Centre for International Banking, Economics and Finance (CIBEF). He is also a consultant to asset management firms, a Visiting Professor of International Finance at Venice International University and an Official Reviewer attached to the European Commission for the evaluation of applications to finance of emerging software technologies. He is an Editor of the European Journal of Finance, and has widely published in the field of financial markets analysis and forecasting. He has organised the Forecasting Financial Markets Conference since 1994.