Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio management.

Today s financial markets are characterised by a large number of participants, with different appetites for risk, different time horizons, different motivations and reactions to unexpected news. The mathematical techniques and models used in the forecasting of financial markets have therefore grown ever more sophisticated as traders, analysts and investors seek to gain an edge on their competitors. Written by leading international researchers and practitioners, this book focuses on three major themes of today s state of the art financial research: modelling with high frequency data, the...

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...