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Advances in Quantitative Asset Management

  • Book
  • © 2000

Overview

Editors:
  1. Christian L. Dunis

    1. Liverpool Business School, UK

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Part of the book series: Studies in Computational Finance (SICF, volume 1)

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Table of contents (14 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Advances In Asset Allocation And Portfolio Management

    1. Front Matter

      Pages 1-1
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    2. Introducing Higher Moments in the CAPM: Some Basic Ideas

      • Gustavo M. de Athayde, Renato G. Flôres Jr.
      Pages 3-15

    3. Fat Tails and the Capital Asset Pricing Model

      • Chris J. Adcock, Karl Shutes
      Pages 17-39

    4. The Efficiency of Investment Fund Management: An Applied Stochastic Frontier Model

      • Walter Briec, Jean Baptiste Lesourd
      Pages 41-59

    5. Investment Styles in the European Equity Market

      • Monica Billio, Roberto Casarin, Claire Méhu, Domenico Sartore
      Pages 61-88

    6. Advanced Adaptive Architectures for Asset Allocation

      • Patrick Naïm, Pierre Hervé, Hans Georg Zimmermann
      Pages 89-111

    7. High Frequency Data and Optimal Hedge Ratios

      • Christian L. Dunis, Pierre Lequeux
      Pages 113-136

  3. Modelling Risk, Return and Correlation

    1. Front Matter

      Pages 137-137
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    2. Large Scale Conditional Correlation Estimation

      • Frédérick Bourgoin
      Pages 139-178

    3. The Pitfalls in Fitting Garch(1,1) Processes

      • Gilles Zumbach
      Pages 179-200

    4. Factor Garch, Regime-Switching and the Term Structure of Interest Rates

      • David Khabie-Zeitoune, Gerry Salkin, Nicos Christofides
      Pages 201-233

    5. Hedging a Portfolio of Corporate Bonds Using PCA/EGARCH Yield Curve Analysis

      • Darren Toulson, Sabine Toulson, Abongwa Ndumu
      Pages 235-253

    6. Analysis of Time Varying Exchange Rate Risk Premia

      • Ramaprasad Bhar, Carl Chiarella
      Pages 255-273

    7. Volatility Modelling in the Forex Market: An Empirical Evaluation

      • Renato G. Flôres Jr., Bruno B. Roche
      Pages 275-294

    8. Five Classification Algorithms to Predict High Performance Stocks

      • George T. Albanis, Roy A. Batchelor
      Pages 295-317

    9. Forecasting Financial Times Series with Generalized Long Memory Processes

      • Laurent Ferrara, Dominique Guégan
      Pages 319-342
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Keywords

About this book

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.

Editors and Affiliations

  • Liverpool Business School, UK

    Christian L. Dunis

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