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Advances in portfolio construction and implementation

Author: S Satchell; Alan Scowcroft
Publisher: Oxford ; Burlington, MA : Butterworth-Heinemann, 2003.
Series: Quantitative finance series.
Edition/Format:   eBook : Document : EnglishView 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. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Advances in portfolio construction and implementation.
Amsterdam ; Boston : Butterworth-Heinemann, 2003
(DLC) 2002036111
(OCoLC)51389366
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: S Satchell; Alan Scowcroft
ISBN: 9780080471846 0080471846 1280966335 9781280966330
OCLC Number: 824148855
Description: 1 online resource (xvi, 365 pages) : illustrations.
Contents: A review of portfolio planning : models and systems / Gautam Mitra --
Generalized mean-variance analysis and robust portfolio diversification / Stephen M. Wright and S.E. Satchell --
Portfolio construction from mandate to stock weight : a practitioner's perspective / Julian Coutts --
Enhanced indexation / Alan Scowcroft and James Sefton --
Portfolio management under taxes / Dan diBartolomeo --
Using genetic algorithms to construct portfolios / T. Wilding --
Near-uniformly distributed, stochastically generated portfolios / Richard Dawson and Richard Young --
Modelling directional hedge funds--mean, variance and correlation with tracker funds / Emmanuel Acar --
Integrating market and credit risk in fixed income portfolios / Alla Gil and Yuri Polyakov --
Incorporating skewness and kurtosis in portfolio optimization : a multidimensional efficient set / Gustavo M. de Athayde and Renato G. Flôres, Jr. --
Balancing growth and shortfall probability in continuous time active portfolio management / Sid Browne --
Assessing the merits of rank-based optimization for portfolio construction / Soosung Hwang, Stephen E. Satchell and Stephen M. Wright --
The mean-downside risk portfolio frontier : a non-parametric approach / Gustavo M. de Athayde --
Some exact results for efficient portfolios with given returns / G.H. Hillier and S.E. Satchell --
Optimal asset allocation for endowments : a large deviations approach / Michael Stutzer --
Methods of relative portfolio optimization / Niklas Wagner --
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.

Abstract:

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. Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management. Advances in Portfolio Construction and Implementation offers practical guidanc.

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