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Advances in portfolio construction and implementation

Author: S Satchell; Alan Scowcroft
Publisher: Boston : Butterworth-Heinemann, 2003.
Series: Quantitative finance series.
Edition/Format:   Print book : English : 1st edView all editions and formats
Summary:

Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification. This  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: S Satchell; Alan Scowcroft
ISBN: 0750654481 9780750654487
OCLC Number: 155848777
Description: xvi, 365 pages : illustrations ; 24 cm.
Contents: 1. A review of portfolio planning: models and systems / Gautam Mitra --
2. Generalized mean-variance analysis and robust portfolio diversification / Stephen M. Wright and S.E. Satchell --
3. Portfolio construction from mandate to stock weight: a practitioner's perspective / Julian Coutts --
4. Enhanced indexation / Alan Scowcroft and James Sefton --
5. Portfolio management under taxes / Dan diBartolomeo --
6. Using genetic algorithms to construct portfolios / T. Wilding --
7. Near-uniformly distributed, stochastically generated portfolios / Richard Dawson and Richard Young --
8. Modelling directional hedge funds --
mean, variance and correlation with tracker funds / Emmanuel Acar --
9. Integrating market and credit risk in fixed income portfolios / Alla Gil and Yuri Polyakov --
10. Incorporating skewness and kurtosis in portfolio optimization: a multidimensional efficient set / Gustavo M. de Athayde and Renato G. Flores, Jr. --
11. Balancing growth and shortfall probability in continuous time active portfolio management / Sid Browne --
12. Assessing the merits of rank-based optimization for portfolio construction / Soosung Hwang, Stephen E. Satchell and Stephen M. Wright --
13. The mean-downside risk portfolio frontier: a non-parametric approach / Gustavo M. de Athayde --
14. Some exact results for efficient portfolios with given returns / G.H. Hillier and S.E. Satchell --
15. Optimal asset allocation for endowments: A large deviations approach / Michael Stutzer --
16. Methods of relative portfolio optimization / Niklas Wagner --
17. Predicting portfolio returns using the distributions of efficient set portfolios / C.J. Adcock.
Series Title: Quantitative finance series.
Responsibility: edited by Stephen Satchell, Alan Scowcroft.
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