Research and publications
Quantitative Equity Portfolio Management
Modern portfolio management theory has put forward quantitative approaches for measuring portfolio risk. Equities constitute a privileged realm of application for this theory. The book describ ...
Author(s):
Noël Amenc, Véronique Le Sourd
Summary:
Modern portfolio management theory has put forward quantitative approaches for measuring portfolio risk. Equities constitute a privileged realm of application for this theory. The book describes the main quantitative methods used in managing equity portfolios. Following a presentation of the principal asset pricing models, i.e. DDM, CAPM and APT, the book presents the methods used for the active selection of securities based on these models. It then deals with the different types of index management: pure replication, synthetic replication and tilted index management. Lastly, a major section is dedicated to static and dynamic methods of portfolio insurance.
This publication also covers the main categories of active and passive management strategies that correspond to current investor requirements. The extensive bibliography will assist the reader who wishes to pursue the subject further.
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| Date : | 07/09/1998 |
| Editor : | Economica |
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