Quantitative Fund Management (Hardcover)

Introduction
Part 1: Dynamic Financial Planning
Trends in Quantitative Equity Management: Survey Results
Portfolio Optimization under the Value-at-Risk (VaR) Constraint
Dynamic Consumption and Asset Allocation with Derivative Securities
Volatility-Induced Financial Growth
Constant Rebalanced Portfolios and Side-Information
Improving Performance for Long-Term Investors: Wide Diversification, Leverage, and Overlay Strategies
Stochastic Programming for Funding Mortgage Pools
Scenario-Generation Methods for an Optimal Public Debt Strategy
Solving ALM Problems via Sequential Stochastic Programming
Designing Minimum Guaranteed Return Funds
Part 2: Portfolio Construction and Risk Management
DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization
Coherent Measures of Risk in Everyday Market Practice
Higher Moment Coherent Risk Measures
On the Feasibility of Portfolio Optimization under Expected Shortfall
Stability Analysis of Portfolio Management with Conditional VaR
Stress Testing for VaR and CVaR
Stable Distributions in the Black?Litterman Approach to Asset Allocation
Ambiguity in Portfolio Selection
Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach
Implied Non-Recombining Trees and Calibration for the Volatility Smile