Quantitative Fund Management

ISBN-13: 9780367386146 / Angielski / Miękka / 2019 / 486 str.

M. A. H. Dempster; Gautam Mitra; Georg Pflug

Opis

This volume presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. It covers quantitative fund management at both the dynamic strategic and one-period tactical levels. The book considers the optimal portfolio choice for wealth maximization with integrated risk management. It also explores novel application techniques, including stochastic control, dynamic stochastic programming, and related optimization techniques, and discusses real-world implemented solutions to fund management problems, such as equity trading, pension funds, mortgage funding, and guaranteed investment products.

Spis treści

Introduction. Dynamic Financial Planning. Portfolio Construction and Risk Management.

O autorze

M. A. H. Dempster, Gautam Mitra, Georg Pflug