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Advances in Portfolio Construction and Implementation
Modern Portfolio Theory explores how risk averse investors construct portfolios in order to optimize market risk against expected returns. The theory quantifies the benefits of diversification.Modern Portfolio Theory provides a broad context for understanding the interactions of systematic risk and reward. It has profoundly shaped how institutional portfolios are managed, and has motivated the use of passive investment management techniques, and the mathematics of MPT is used extensively in financial risk management.Advances in Portfolio Construction and Implementation offers practical guidance in addition to the theory, and is therefore ideal for Risk Mangers, Actuaries, Investment Managers...
Advances in Quantitative Asset Management
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.
Managing Downside Risk in Financial Markets
Quantitative methods have revolutionized the area of trading, regulation, risk management, portfolio construction, asset pricing and treasury activities, and governmental activity such as central banking to name but some of the applications. Downside-risk, as a quantitative method, is an accurate measurement of investment risk, because it captures the risk of not accomplishing the investor's goal.'Downside Risk in Financial Markets' demonstrates how downside-risk can produce better results in performance measurement and asset allocation than variance modelling. Theory, as well as the practical issues involved in its implementation, is covered and the arguments put forward emphatically show t...
Multi-moment Asset Allocation and Pricing Models
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through tim...
Machine Learning
Machine Learning - Modeling Data Locally and Globally presents a novel and unified theory that tries to seamlessly integrate different algorithms. Specifically, the book distinguishes the inner nature of machine learning algorithms as either "local learning"or "global learning."This theory not only connects previous machine learning methods, or serves as roadmap in various models, but – more importantly – it also motivates a theory that can learn from data both locally and globally. This would help the researchers gain a deeper insight and comprehensive understanding of the techniques in this field. The book reviews current topics,new theories and applications. Kaizhu Huang was a researcher at the Fujitsu Research and Development Center and is currently a research fellow in the Chinese University of Hong Kong. Haiqin Yang leads the image processing group at HiSilicon Technologies. Irwin King and Michael R. Lyu are professors at the Computer Science and Engineering department of the Chinese University of Hong Kong.
