Quantitative Portfolio Optimization
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Quantitative Portfolio Optimization
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Author : Miquel Noguer Alonso
language : en
Publisher: John Wiley & Sons
Release Date : 2025-01-29
Quantitative Portfolio Optimization written by Miquel Noguer Alonso and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-01-29 with Business & Economics categories.
Expert guidance on implementing quantitative portfolio optimization techniques In Quantitative Portfolio Optimization: Theory and Practice, renowned financial practitioner Miquel Noguer, alongside physicists Alberto Bueno Guerrero and Julian Antolin Camarena, who possess excellent knowledge in finance, delve into advanced mathematical techniques for portfolio optimization. The book covers a range of topics including mean-variance optimization, the Black-Litterman Model, risk parity and hierarchical risk parity, factor investing, methods based on moments, and robust optimization as well as machine learning and reinforcement technique. These techniques enable readers to develop a systematic, objective, and repeatable approach to investment decision-making, particularly in complex financial markets. Readers will gain insights into the associated mathematical models, statistical analyses, and computational algorithms for each method, allowing them to put these techniques into practice and identify the best possible mix of assets to maximize returns while minimizing risk. Topics explored in this book include: Specific drivers of return across asset classes Personal risk tolerance and it#s impact on ideal asses allocation The importance of weekly and monthly variance in the returns of specific securities Serving as a blueprint for solving portfolio optimization problems, Quantitative Portfolio Optimization: Theory and Practice is an essential resource for finance practitioners and individual investors It helps them stay on the cutting edge of modern portfolio theory and achieve the best returns on investments for themselves, their clients, and their organizations.
Quantitative Portfolio Optimisation Asset Allocation And Risk Management
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Author : M. Rasmussen
language : en
Publisher: Springer
Release Date : 2002-12-13
Quantitative Portfolio Optimisation Asset Allocation And Risk Management written by M. Rasmussen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-12-13 with Business & Economics categories.
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.
Fre Gy6711
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Author : Thomas K. Philips
language : en
Publisher:
Release Date : 2017
Fre Gy6711 written by Thomas K. Philips and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Lecture Notes for Quantitative Portfolio Management Module 1 - Introduction and Portfolio Optimization.
Advanced Portfolio Optimization
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Author : Dany Cajas
language : en
Publisher:
Release Date : 2025-04-10
Advanced Portfolio Optimization written by Dany Cajas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-04-10 with Business & Economics categories.
Essays In Quantitative Portfolio Optimization
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Author : Roman Crößmann
language : en
Publisher:
Release Date : 2018
Essays In Quantitative Portfolio Optimization written by Roman Crößmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Quantitative Portfolio Management
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Author : Michael Isichenko
language : en
Publisher: John Wiley & Sons
Release Date : 2021-09-10
Quantitative Portfolio Management written by Michael Isichenko and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-10 with Business & Economics categories.
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.
The Oxford Handbook Of Quantitative Asset Management
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Author : Bernd Scherer
language : en
Publisher: Oxford University Press
Release Date : 2012
The Oxford Handbook Of Quantitative Asset Management written by Bernd Scherer and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
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 Fund Management
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Author : M.A.H. Dempster
language : en
Publisher: CRC Press
Release Date : 2008-12-22
Quantitative Fund Management written by M.A.H. Dempster and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-22 with Business & Economics categories.
The First Collection That Covers This Field at the Dynamic Strategic and One-Period Tactical Levels. Addressing the imbalance between research and practice, Quantitative Fund Management presents leading-edge theory and methods, along with their application in practical problems encountered in the fund management industry. A Current Snapshot of State-of-the-Art Applications of Dynamic Stochastic Optimization Techniques to Long-Term Financial Planning - The first part of the book initially looks at how the quantitative techniques of the equity industry are shifting from basic Markowitz mean-variance portfolio optimization to risk management and trading applications. This section also explores novel aspects of lifetime individual consumption investment problems, fixed-mix portfolio rebalancing allocation strategies, debt management for funding mortgages and national debt, and guaranteed return fund construction. Up-to-Date Overview of Tactical Financial Planning and Risk Management - The second section covers nontrivial computational approaches to tactical fund management. This part focuses on portfolio construction and risk management at the individual security or fund manager level over the period up to the next portfolio rebalance. It discusses non-Gaussian returns, new risk-return tradeoffs, and the robustness of benchmarks and portfolio decisions. The Future Use of Quantitative Techniques in Fund Management - With contributions from well-known academics and practitioners, this volume will undoubtedly foster the recognition and wider acceptance of stochastic optimization techniques in financial practice.
Quantitative Portfolio Construction
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Author : William Johnson
language : en
Publisher: HiTeX Press
Release Date : 2024-10-15
Quantitative Portfolio Construction written by William Johnson and has been published by HiTeX Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-10-15 with Business & Economics categories.
"Quantitative Portfolio Construction: Balancing Risk and Reward with Precision" is a masterfully crafted guide that merges cutting-edge quantitative strategies with the timeless principles of finance. Ideal for both novices and seasoned investors, this book illuminates the complexities of portfolio management through a systematic approach, emphasizing the critical role of data-driven decision-making. Readers will find themselves adept at harnessing mathematical models and sophisticated algorithms to enhance asset allocation and risk management, enabling the construction of portfolios that are resilient in diverse market conditions. With clarity and depth, the book traverses a wide spectrum of topics, from the foundational elements of financial markets to the nuances of algorithmic trading and behavioral finance. Each chapter meticulously builds on the last, ensuring a comprehensive understanding of modern portfolio theory, machine learning applications, and sustainable investing. The practical insights offered empower readers to leverage advanced techniques, such as backtesting and optimization, fostering confidence in their ability to craft portfolios that balance risk and reward effectively. By the conclusion, readers are not only equipped with actionable knowledge but are also inspired to embrace the evolving paradigms of quantitative finance, poised to make informed, impactful decisions in their investment endeavors.
Quantitative Portfolio Management
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Author : Noble Trex
language : en
Publisher: HiTeX Press
Release Date : 2025-12-29
Quantitative Portfolio Management written by Noble Trex and has been published by HiTeX Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-12-29 with Business & Economics categories.
"Quantitative Portfolio Management: Data, Models, and Implementation" "Quantitative Portfolio Management: Data, Models, and Implementation" bridges the critical gap between theoretical alpha research and live trading operations. This book is written for quantitative portfolio managers, researchers, and developers who require an end-to-end, implementation-focused guide to building systematic investment systems. Beyond mere theory, it addresses the messy reality of financial data and the engineering rigor required to transition a strategy from a research environment to a production-grade capital allocation engine. Readers will traverse the full lifecycle of a systematic strategy, starting with the architecture of a robust research data stack that prevents lookahead bias and ensures data integrity. You will learn to construct stable factor risk models, implement cost-aware portfolio optimization, and design event-driven backtests that accurately simulate market microstructure and liquidity. The text provides a deep dive into the mathematical and operational mechanics necessary to minimize implementation shortfall and manage model risk effectively. Designed as a self-contained professional reference, this text emphasizes the "how" of execution alongside the "why" of mathematics. By integrating advanced financial theory with practical data engineering and operational governance, it serves as the definitive blueprint for modern quantitative asset management. Whether you are scaling a single strategy or managing a multi-asset platform, this book provides the tools to quantify u