Springer Texts in Business and Economics

Quantitative Portfolio Management

with Applications in Python

Authors: BRUGIERE, Pierre

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  • Includes exercises based on exam questions
  • Illustrates and expresses the main results in plain language understandable by the pure financier
  • Details efficient web data extraction techniques
  • Enables the reader with a good background in general mathematics to implement most of the results in any chosen market
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eBook $19.99
$44.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-030-37740-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $29.99
$59.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-030-37739-7
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
Softcover $29.99
$59.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-030-37742-7
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
About this book

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.

About the authors

Pierre Brugière is currently Associate Professor at University Paris 9 Dauphine. Previously he spent 19 years working in investment banking in London, in international banks, and 4 years in Paris in an arbitrage bank. During his career in finance he has been responsible for quant groups in fixed income, asset management and equity derivatives. In addition, in his role working for corporate equity derivatives businesses, he has been involved in structuring marketing and executing very large and strategic transactions for large companies and institutions, mainly in Europe, but also in Emerging Markets.

Reviews

“The book contains both rigorously stated theory and practical instructions, up to instructions for programmers, it will be useful for a very wide audience, from students and teachers to experienced professionals in quantitative finance. It is written in clear, simple language and is quite interesting.” (Yuliya S. Mishura, zbMATH 1452.91005, 2021)


Table of contents (10 chapters)

Table of contents (10 chapters)
  • Returns and the Gaussian Hypothesis

    Pages 1-18

    Brugière, Pierre

  • Utility Functions and the Theory of Choice

    Pages 19-25

    Brugière, Pierre

  • The Markowitz Framework

    Pages 27-50

    Brugière, Pierre

  • Markowitz Without a Risk-Free Asset

    Pages 51-59

    Brugière, Pierre

  • Markowitz with a Risk-Free Asset

    Pages 61-94

    Brugière, Pierre

Buy this book

eBook $19.99
$44.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-030-37740-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $29.99
$59.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-030-37739-7
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
Softcover $29.99
$59.99 (listprice)
price for Mexico
valid through 30 de junio de 2021
  • ISBN 978-3-030-37742-7
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Quantitative Portfolio Management
Book Subtitle
with Applications in Python
Authors
Series Title
Springer Texts in Business and Economics
Copyright
2020
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-37740-3
DOI
10.1007/978-3-030-37740-3
Hardcover ISBN
978-3-030-37739-7
Softcover ISBN
978-3-030-37742-7
Series ISSN
2192-4333
Edition Number
1
Number of Pages
XII, 205
Number of Illustrations
1 b/w illustrations, 22 illustrations in colour
Topics