Advances in Quantitative Asset Management

Book Description
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.

Book Info
Contains selected articles which were presented at the Forecasting Financial Markets conference in May 1999. DLC: Capital assets pricing model.


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Fourteen articles selected from the May 1999 Forecasting Financial Markets Conference held in London discuss advances in asset allocation and portfolio management, and modeling risk, return and correlation. Among the topics are a stochastic-frontier approach to measuring the efficiency of investment fund management, investment styles in the European equity market, large scale conditional correlation estimation, hedging a portfolio of corporate bonds using PCA/GARCH yield curve analysis, and five classification algorithms to predict high performance stocks. No index. Annotation c. Book News, Inc., Portland, OR


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