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Advances in quantitative asset management

Advances in quantitative asset management

Material type
단행본
Personal Author
Dunis, Christian L.
Title Statement
Advances in quantitative asset management / edited by Christian L. Dunis.
Publication, Distribution, etc
Boston :   Kluwer Academic Publishers,   c2000.  
Physical Medium
xi, 342 p. : ill. ; 24 cm.
Series Statement
Studies in computational finance ; v. 1
ISBN
0792377788
Bibliography, Etc. Note
Includes bibliographical references.
Subject Added Entry-Topical Term
Capital assets pricing model. Portfolio management.
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050 0 0 ▼a HG4636 ▼b .A36 2000
082 0 0 ▼a 332.6 ▼2 21
090 ▼a 332.6 ▼b A2442
245 0 0 ▼a Advances in quantitative asset management / ▼c edited by Christian L. Dunis.
260 ▼a Boston : ▼b Kluwer Academic Publishers, ▼c c2000.
300 ▼a xi, 342 p. : ▼b ill. ; ▼c 24 cm.
490 1 ▼a Studies in computational finance ; ▼v v. 1
504 ▼a Includes bibliographical references.
650 0 ▼a Capital assets pricing model.
650 0 ▼a Portfolio management.
700 1 ▼a Dunis, Christian L.
830 0 ▼a Studies in computational finance ; ▼v 1.

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.6 A2442 Accession No. 111214313 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

CONTENTS
Contributors = ⅶ
Preface = xii
PART 1 : ADVANCES IN ASSET ALLOCATION AND PORTFOLIO MANAGEMENT
  1. Introducing Higher Moments in the CAPM : Some Basic Ideas / Gustavo M. de Athayde ; Renato G. Fl o ^ res Jr. = 3
  2. Fat Tails and the Capital Asset Pricing Model / Chris J. Adcock ; Karl Shutes = 17
  3. The Efficiency of Fund Management : An Applied Stochastic Frontier Model / Waiter Briec ; Jean-Baptiste Lesourd = 41
  4. Investment Styles in the European Equity Markets / Monica Billio ; Roberto Casarin ; Claire M e' hu ; Domenico Sartore = 61
  5. Advanced Adaptive Architectures for Asset Allocation / Patrick Na i ·· m ; Pierre Herv e' ; Hans Georg Zimmermann = 89
  6. High Frequency Data and Optimal Hedge Ratios / Christian L. Dunis and Pierre Lequeux = 113
PART 2 : MODELLING RISK, RETURN AND CORRELATION
  7. Large Scale Conditional Correlation Estimation / Fr e' d e' rick Bourgoin = 139
  8. The Pitfalls in Fitting GARCH(1, 1) Processes / Gilles Zumbach = 179
  9. Factor GARCH, Regime-Switching and the Term Structure of Interest Rates / David Khabie-Zeitoune ; Gerry Salkin ; Nicos Christofides = 201
  10. Hedging a Portfolio of Corporate Bonds Using PCA/GARCH Yield Curve Analysis / Darren Toulson ; Sabine Toulson ; Abongwa Ndumu = 235
  11. Analysis of Time Varying Exchange Rate Risk Premia / Ramaprasad Bhar ; Carl Chiarella = 255
  12. Volatility Modelling in the Forex Market : An Empirical Evaluation / Renato G. Fl o ^ res Jr. ; Bruno B. Roche = 275
  13. Five Classification Algorithms to Predict High Performance Stocks / George T. Albanis ; Roy A. Batchelor = 295
  14. Forecasting Financial Time Series with Generalized Long Memory Processes / Laurent Ferrara ; Dominique Gu e' gan = 319

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