Langtext Diderich describes tools and techniques, which can be used to develop quantitative models for actively managing investment products, and focuses on how theoretical models can and should be used in practice. He describes the interaction between different elements of an investment process's value chain in a single and consistent framework. A key focus is placed on illustrating the theory with real world examples. At the end of the book the reader will be capable of designing or enhancing an investment process for an investment or portfolio managers products from start to finish. * Increased pressure to add value through investments makes this a hot topic in the investment world * Combined theoretical and practical approach makes this book appealing to a wide audience of quants and investors * The only book to show how to design and implement quantitative models for gaining positive alpha
Aus dem Inhalt Preface.
1. Introduction.
PART I: THE VALUE CHAIN OF ACTIVE INVESTMENT MANAGEMENT.
2. Key Success Factors for Generating Positive Alpha Positive Alpha.
3. The Investment Management Value Chain.
PART II: FORECASTING MARKETS.
4. Judgmental Approaches for Forecasting Markets Markets.
5. Quantitative Approaches for Forecasting Markets for Forecasting Markets.
6. Taking Investment Decisions.
PART III: RISK MEASUREMENT AND MANAGEMENT.
7. Modeling Risk.
8. Volatility as a Risk Measure.
9. Alternative Risk Measures.
PART IV: PORTFOLIO CONSTRUCTION.
10. Single Period Mean-Variance Based Portfolio Construction Portfolio Construction.
11. Single Period Factor Model Based Portfolio Construction Portfolio Construction.
