The Oxford Handbook of Quantitative Asset Management

Edited by Bernd Scherer and Kenneth Winston

in OUP Catalogue from Oxford University Press

Abstract: Quantitative portfolio management has become a highly specialized discipline. Computing power and software improvements have advanced the field to a level that would not have been thinkable when Harry Markowitz began the modern era of quantitative portfolio management in 1952. In addition to raw computing power, major advances in financial economics and econometrics have shaped academia and the financial industry over the last 60 years. While the idea of a general theory of finance is still only a distant hope, asset managers now have tools in the financial engineering kit that address specific problems in their industry. The Oxford Handbook of Quantitative Asset Management consists of seven sections that explore major themes in current theoretical and practical use. These themes span all aspects of a modern quantitative investment organization. Contributions from academics and practitioners working in leading investment management organizations bring together the key theoretical and practical aspects of the field to provide a comprehensive overview of the major developments in the area. Contributors to this volume - Heiko M. Bailer, Clariden Leu (Credit Suisse Group) and Corepoint Capital AG, Zurich, Switzerland Dan diBartolomeo, Northfield Information Services, Inc., Boston, USA Yossi Brandes, Investment Technology Group, New York, USA Michael W. Brandt, Duke University, Durham, USA and NBER, Cambridge, USA Francis Breedon, Queen Mary, University of London, UK Sebastian Ceria, Axioma, New York, USA Ian Domowitz, Investment Technology Group, New York, USA Daniel Giamouridis, Athens University of Economics and Business, Greece Campbell R. Harvey, Duke University, Durham, USA Thomas Hewett, Morgan Stanley Investment Management, New York, USA Roy P.M.M. Hoevenaars, APG Asset Management, Amsterdam, the Netherlands Bruce I. Jacobs, Jacobs Levy Equity Management, New Jersey, USA Ralph S.J. Koijen, University of Chicago and NBER, Cambridge, USA Petter N. Kolm, New York University, USA Robert Kosowski, Imperial College London, UK Mark Kritzman, Windham Capital Management, LLC, Boston, USA Kenneth N. Levy, Jacobs Levy Equity Management, New Jersey, USA John C. Liechty, Pennsylvania State University, USA Merrill W. Liechty, Drexel University, Philadelphia, USA Lee Maclin, New York University, USA Tatiana A. Maravina, University of Washington, USA R. Douglas Martin, University of Washington, USA Simon Myrgren, State Street Associates, Cambridge, USA Colm O'Cinneide, QS Investors, New York, USA Sebastien Page, State Street Associates, Cambridge, USA Michael Peskin, Hudson Pilot LLC, New York, USA Bernhard Scherer, EDHEC Business School, London, UK Vitaly Serbin, Investment Technology Group, New York, USA George Skiadopolous, University of Piraeus, Greece and University of Warwick, UK David Starer, Jacobs Levy Equity Management, New Jersey, USA Nils Tuchschmid, University of Applied Sciences, Geneva, Switzerland Reha Tutuncu, Goldman Sachs Asset Management, New York, USA Jules H. van Binsbergen, Stanford University and NBER, Cambridge, USA Eric Wallerstein, University of Applied Sciences, Geneva Kenneth Winston, Western Asset Management, Pasadena, USA Michael Wolf, University of Zurich, Switzerland Dan Wunderli, University of Zurich, Switzerland Xiaodong Xu, Union Bank Privee, Geneva, Switzerland Sassan Zaker, Bank Julius Bar & Co. Ltd, Zurich, Switzerland

Date: 2011
ISBN: 9780199553433
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