Asset Management
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Asset Management : Portfolio Construction, Performance and Returns

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Description

This book presents a series of contributions on key issues in
the decision-making behind the management of financial assets. It provides
insight into topics such as quantitative and traditional portfolio
construction, performance clustering and incentives in the UK pension fund
industry, pension fund governance, indexation, and tracking
errors. Markets covered include major European markets, equities, and
emerging markets of South-East and Central Asia.
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Product details

  • Hardback | 369 pages
  • 140 x 216 x 25.4mm | 5,907g
  • Cham, Switzerland
  • English
  • 1st ed. 2016
  • 110 Tables, black and white; XIX, 369 p.
  • 3319307932
  • 9783319307930

Back cover copy

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.
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Table of contents

Introduction; Stephen Satchell.- 1) Performance
of UK equity unit trusts; G Quigley and R
A Sinquefield.- 2) A
demystification of the Black-Litterman model: Managing quantitative and
traditional portfolio construction; S
Satchell and A Scowcroft.- 3) Tracking error: Ex ante versus ex
post measures; S Hwang and S Satchell.-
4) Hedge Fund Survival Lifetimes; G N
Gregoriou.- 5) Performance clustering and incentives in the UK pension fund
industry; D Blake, B N Lehmann and A
Timmermann.- 6) Do hedge funds add value to a passive portfolio? Correcting
for non-normal returns and disappearing funds?; R Kourwenberg.- 7) The performance of value and momentum investment portfolios: Recent experience in the major European markets; R Bird and J Whitaker.- 8) Measuring investor sentiment in equity
markets; A Bandopadhyaya and A L Schnader.- 9) Incorporating estimation
errors into portfolio selection: Robust portfolio construction; S Ceria and R A Stubbs.- 10)
Best-practice pension fund governance; G
L Clark and R Urwin.- 11) Fundamental indexation in Europe; J Hemminiki and V Puttonen.- 12)
Fundamental indexation: An active value strategy in disguise; D Blitz and L Swinkels.- 13)
Emerging markets of South-East and Central Asia: Do they still offer a
diversification benefit; C L Dunis and G Shannon.- 14) A robust optimization approach to
pension fund management; G Iyengar and A
K C Ma.
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About Stephen Satchell

Stephen Satchell is Professor of Finance at Sydney University, Australia. His
research covers a number of topics in the broad areas of econometrics, finance,
risk measurement and utility theory, and his current research looks at
alternative methods of portfolio construction and risk management, as well as
work on non-linear dynamic models. Stephen has strong links with Inquire
(Institute for Quantitative Investment Research), is on the management
committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge
where he has Isaac Newton's rooms.
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