Quantitative Portfolio Management

Quantitative Portfolio Management Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Quantitative Portfolio Management book. This book definitely worth reading, it is an incredibly well-written.

Quantitative Portfolio Management

Michael Isichenko
Quantitative Portfolio Management Book PDF

Author : Michael Isichenko
Publisher : John Wiley & Sons
Page : 306 pages
File Size : 49,9 Mb
Release : 2021-09-10
Category : Business & Economics
ISBN : 9781119821212

Get Book

Quantitative Portfolio Management by Michael Isichenko Pdf

Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.

Quantitative Equity Portfolio Management

Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Quantitative Equity Portfolio Management Book PDF

Author : Edward E. Qian,Ronald H. Hua,Eric H. Sorensen
Publisher : CRC Press
Page : 462 pages
File Size : 50,8 Mb
Release : 2007-05-11
Category : Business & Economics
ISBN : 9781420010794

Get Book

Quantitative Equity Portfolio Management by Edward E. Qian,Ronald H. Hua,Eric H. Sorensen Pdf

Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational research. While many texts are devoted to these disciplines, few deal with quantitative equity investing in a systematic and mathematical framework that is suitable for

Quantitative Portfolio Management

Michael Isichenko
Quantitative Portfolio Management Book PDF

Author : Michael Isichenko
Publisher : John Wiley & Sons
Page : 310 pages
File Size : 52,8 Mb
Release : 2021-08-31
Category : Business & Economics
ISBN : 9781119821328

Get Book

Quantitative Portfolio Management by Michael Isichenko Pdf

Discover foundational and advanced techniques in quantitative equity trading from a veteran insider In Quantitative Portfolio Management: The Art and Science of Statistical Arbitrage, distinguished physicist-turned-quant Dr. Michael Isichenko delivers a systematic review of the quantitative trading of equities, or statistical arbitrage. The book teaches you how to source financial data, learn patterns of asset returns from historical data, generate and combine multiple forecasts, manage risk, build a stock portfolio optimized for risk and trading costs, and execute trades. In this important book, you’ll discover: Machine learning methods of forecasting stock returns in efficient financial markets How to combine multiple forecasts into a single model by using secondary machine learning, dimensionality reduction, and other methods Ways of avoiding the pitfalls of overfitting and the curse of dimensionality, including topics of active research such as “benign overfitting” in machine learning The theoretical and practical aspects of portfolio construction, including multi-factor risk models, multi-period trading costs, and optimal leverage Perfect for investment professionals, like quantitative traders and portfolio managers, Quantitative Portfolio Management will also earn a place in the libraries of data scientists and students in a variety of statistical and quantitative disciplines. It is an indispensable guide for anyone who hopes to improve their understanding of how to apply data science, machine learning, and optimization to the stock market.

Quantitative Portfolio Management

Pierre Brugière
Quantitative Portfolio Management Book PDF

Author : Pierre Brugière
Publisher : Springer Nature
Page : 212 pages
File Size : 53,6 Mb
Release : 2020-03-28
Category : Mathematics
ISBN : 9783030377403

Get Book

Quantitative Portfolio Management by Pierre Brugière Pdf

This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.

Quantitative Equity Portfolio Management

Ludwig B Chincarini,Daehwan Kim
Quantitative Equity Portfolio Management Book PDF

Author : Ludwig B Chincarini,Daehwan Kim
Publisher : McGraw Hill Professional
Page : 658 pages
File Size : 55,6 Mb
Release : 2010-08-18
Category : Business & Economics
ISBN : 0071492380

Get Book

Quantitative Equity Portfolio Management by Ludwig B Chincarini,Daehwan Kim Pdf

Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.

Advanced Portfolio Management

Giuseppe A. Paleologo
Advanced Portfolio Management Book PDF

Author : Giuseppe A. Paleologo
Publisher : John Wiley & Sons
Page : 208 pages
File Size : 52,5 Mb
Release : 2021-08-03
Category : Business & Economics
ISBN : 9781119789802

Get Book

Advanced Portfolio Management by Giuseppe A. Paleologo Pdf

You have great investment ideas. If you turn them into highly profitable portfolios, this book is for you. Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors is for fundamental equity analysts and portfolio managers, present, and future. Whatever stage you are at in your career, you have valuable investment ideas but always need knowledge to turn them into money. This book will introduce you to a framework for portfolio construction and risk management that is grounded in sound theory and tested by successful fundamental portfolio managers. The emphasis is on theory relevant to fundamental portfolio managers that works in practice, enabling you to convert ideas into a strategy portfolio that is both profitable and resilient. Intuition always comes first, and this book helps to lay out simple but effective "rules of thumb" that require little effort to implement and understand. At the same time, the book shows how to implement sophisticated techniques in order to meet the challenges a successful investor faces as his or her strategy grows in size and complexity. Advanced Portfolio Management also contains more advanced material and a quantitative appendix, which benefit quantitative researchers who are members of fundamental teams. You will learn how to: Separate stock-specific return drivers from the investment environment’s return drivers Understand current investment themes Size your cash positions based on Your investment ideas Understand your performance Measure and decompose risk Hedge the risk you don’t want Use diversification to your advantage Manage losses and control tail risk Set your leverage Author Giuseppe A. Paleologo has consulted, collaborated, taught, and drank strong wine with some of the best stock-pickers in the world; he has traded tens of billions of dollars hedging and optimizing their books and has helped them navigate through big drawdowns and even bigger recoveries. Whether or not you have access to risk models or advanced mathematical background, you will benefit from the techniques and the insights contained in the book—and won't find them covered anywhere else.

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

M. Rasmussen
Quantitative Portfolio Optimisation Asset Allocation and Risk Management Book PDF

Author : M. Rasmussen
Publisher : Springer
Page : 453 pages
File Size : 45,6 Mb
Release : 2002-12-13
Category : Business & Economics
ISBN : 9780230512856

Get Book

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by M. Rasmussen Pdf

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.

Quantitative Management of Bond Portfolios

Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps
Quantitative Management of Bond Portfolios Book PDF

Author : Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps
Publisher : Princeton University Press
Page : 1000 pages
File Size : 54,9 Mb
Release : 2020-05-26
Category : Business & Economics
ISBN : 9780691210612

Get Book

Quantitative Management of Bond Portfolios by Lev Dynkin,Anthony Gould,Jay Hyman,Vadim Konstantinovsky,Bruce Phelps Pdf

The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined, quantitative approach to asset management. Here, five top authorities from a leading Wall Street firm provide practical solutions and feasible methodologies based on investor inquiries. While taking a quantitative approach, they avoid complex mathematical derivations, making the book accessible to a wide audience, including portfolio managers, plan sponsors, research analysts, risk managers, academics, students, and anyone interested in bond portfolio management. The book covers a range of subjects of concern to fixed-income portfolio managers--investment style, benchmark replication and customization, managing credit and mortgage portfolios, managing central bank reserves, risk optimization, and performance attribution. The first part contains empirical studies of security selection versus asset allocation, index replication with derivatives and bonds, optimal portfolio diversification, and long-horizon performance of assets. The second part covers portfolio management tools for risk budgeting, bottom-up risk modeling, performance attribution, innovative measures of risk sensitivities, and hedging risk exposures. A first-of-its-kind publication from a team of practitioners at the front lines of financial thinking, this book presents a winning combination of mathematical models, intuitive examples, and clear language.

Quantitative Credit Portfolio Management

Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps
Quantitative Credit Portfolio Management Book PDF

Author : Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps
Publisher : John Wiley & Sons
Page : 416 pages
File Size : 50,5 Mb
Release : 2011-11-08
Category : Business & Economics
ISBN : 9781118167427

Get Book

Quantitative Credit Portfolio Management by Arik Ben Dor,Lev Dynkin,Jay Hyman,Bruce D. Phelps Pdf

An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

The Oxford Handbook of Quantitative Asset Management

Bernd Scherer,Kenneth Winston,Kenneth James Winston
The Oxford Handbook of Quantitative Asset Management Book PDF

Author : Bernd Scherer,Kenneth Winston,Kenneth James Winston
Publisher : Oxford University Press
Page : 530 pages
File Size : 50,5 Mb
Release : 2012
Category : Business & Economics
ISBN : 9780199553433

Get Book

The Oxford Handbook of Quantitative Asset Management by Bernd Scherer,Kenneth Winston,Kenneth James Winston Pdf

This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in leading investment management organizations bring together major theoretical and practical aspects of the field.

Quantitative Value, + Web Site

Wesley R. Gray,Tobias E. Carlisle
Quantitative Value Web Site Book PDF

Author : Wesley R. Gray,Tobias E. Carlisle
Publisher : John Wiley & Sons
Page : 293 pages
File Size : 40,9 Mb
Release : 2012-12-26
Category : Business & Economics
ISBN : 9781118328071

Get Book

Quantitative Value, + Web Site by Wesley R. Gray,Tobias E. Carlisle Pdf

A must-read book on the quantitative value investment strategy Warren Buffett and Ed Thorp represent two spectrums of investing: one value driven, one quantitative. Where they align is in their belief that the market is beatable. This book seeks to take the best aspects of value investing and quantitative investing as disciplines and apply them to a completely unique approach to stock selection. Such an approach has several advantages over pure value or pure quantitative investing. This new investing strategy framed by the book is known as quantitative value, a superior, market-beating method to investing in stocks. Quantitative Value provides practical insights into an investment strategy that links the fundamental value investing philosophy of Warren Buffett with the quantitative value approach of Ed Thorp. It skillfully combines the best of Buffett and Ed Thorp—weaving their investment philosophies into a winning, market-beating investment strategy. First book to outline quantitative value strategies as they are practiced by actual market practitioners of the discipline Melds the probabilities and statistics used by quants such as Ed Thorp with the fundamental approaches to value investing as practiced by Warren Buffett and other leading value investors A companion Website contains supplementary material that allows you to learn in a hands-on fashion long after closing the book If you're looking to make the most of your time in today's markets, look no further than Quantitative Value.

Advances in Quantitative Asset Management

Christian Dunis
Advances in Quantitative Asset Management Book PDF

Author : Christian Dunis
Publisher : Springer Science & Business Media
Page : 372 pages
File Size : 43,5 Mb
Release : 2000-04-30
Category : Business & Economics
ISBN : 0792377788

Get Book

Advances in Quantitative Asset Management by Christian Dunis Pdf

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.

Quantitative Investment Analysis

Richard A. DeFusco,Dennis W. McLeavey,Jerald E. Pinto,David E. Runkle,Mark J. P. Anson
Quantitative Investment Analysis Book PDF

Author : Richard A. DeFusco,Dennis W. McLeavey,Jerald E. Pinto,David E. Runkle,Mark J. P. Anson
Publisher : John Wiley & Sons
Page : 635 pages
File Size : 44,5 Mb
Release : 2015-10-15
Category : Business & Economics
ISBN : 9781119104605

Get Book

Quantitative Investment Analysis by Richard A. DeFusco,Dennis W. McLeavey,Jerald E. Pinto,David E. Runkle,Mark J. P. Anson Pdf

Your complete guide to quantitative analysis in the investment industry Quantitative Investment Analysis, Third Edition is a newly revised and updated text that presents you with a blend of theory and practice materials to guide you through the use of statistics within the context of finance and investment. With equal focus on theoretical concepts and their practical applications, this approachable resource offers features, such as learning outcome statements, that are targeted at helping you understand, retain, and apply the information you have learned. Throughout the text's chapters, you explore a wide range of topics, such as the time value of money, discounted cash flow applications, common probability distributions, sampling and estimation, hypothesis testing, and correlation and regression. Applying quantitative analysis to the investment process is an important task for investment pros and students. A reference that provides even subject matter treatment, consistent mathematical notation, and continuity in topic coverage will make the learning process easier—and will bolster your success. Explore the materials you need to apply quantitative analysis to finance and investment data—even if you have no previous knowledge of this subject area Access updated content that offers insight into the latest topics relevant to the field Consider a wide range of subject areas within the text, including chapters on multiple regression, issues in regression analysis, time-series analysis, and portfolio concepts Leverage supplemental materials, including the companion Workbook and Instructor's Manual, sold separately Quantitative Investment Analysis, Third Edition is a fundamental resource that covers the wide range of quantitative methods you need to know in order to apply quantitative analysis to the investment process.

Risk and Asset Allocation

Attilio Meucci
Risk and Asset Allocation Book PDF

Author : Attilio Meucci
Publisher : Springer Science & Business Media
Page : 547 pages
File Size : 46,7 Mb
Release : 2009-05-22
Category : Business & Economics
ISBN : 9783642009648

Get Book

Risk and Asset Allocation by Attilio Meucci Pdf

Discusses in the practical and theoretical aspects of one-period asset allocation, i.e. market Modeling, invariants estimation, portfolia evaluation, and portfolio optimization in the prexence of estimation risk The book is software based, many of the exercises simulate in Matlab the solution to practical problems and can be downloaded from the book's web-site

Advances in Active Portfolio Management: New Developments in Quantitative Investing

Richard C. Grinold,Ronald N. Kahn
Advances in Active Portfolio Management New Developments in Quantitative Investing Book PDF

Author : Richard C. Grinold,Ronald N. Kahn
Publisher : McGraw Hill Professional
Page : 666 pages
File Size : 42,6 Mb
Release : 2019-09-13
Category : Business & Economics
ISBN : 9781260453720

Get Book

Advances in Active Portfolio Management: New Developments in Quantitative Investing by Richard C. Grinold,Ronald N. Kahn Pdf

From the leading authorities in their field—the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers everything you need to beat the market at every turn. Advances in Active Portfolio Management gets you fully up to date on the issues, trends, and challenges in the world of active management—and shows how to apply advances in the Grinold and Kahn’s legendary approach to meet current challenges. Composed of articles published in today’s leading management publications—including several that won Journal of Portfolio Management’s prestigious Bernstein Fabozzi/Jacobs Levy Award—this comprehensive guide is filled with new insights into: • Dynamic Portfolio Management • Signal Weighting • Implementation Efficiency • Holdings-based attribution • Expected returns • Risk management • Portfolio construction • Fees Providing everything you need to master active portfolio management in today’s investing landscape, the book is organized into three sections: the fundamentals of successful active management, advancing the authors’ framework, and applying the framework in today’s investing landscape. The culmination of many decades of investing experience and research, Advances in Active Portfolio Managementmakes complex issues easy to understand and put into practice. It’s the one-stop resource you need to succeed in the world of investing today.