Practical Quantitative Investment Management with Derivatives

Front Matter....Pages i-xxvi
Front Matter....Pages 1-1
Introduction....Pages 3-24
The Traditional Approach....Pages 25-35
Investment Management Theory....Pages 36-52
Front Matter....Pages 53-53
Quantitative Asset Allocation Models....Pages 55-93
Portfolio Protection....Pages 94-117
Capital Guaranteed Portfolios....Pages 118-127
Passive Asset Allocation....Pages 128-142
Quantitative Models for Domestic Equity Portfolios....Pages 143-172
Quantitative Models for International Equity Portfolios....Pages 173-199
Optimized Stock Selection Models....Pages 200-224
Indexation....Pages 225-251
Fixed Interest Portfolios....Pages 252-276
Property Portfolios....Pages 277-287
Market Neutral (Hedge) Portfolios and Other Alternative Investment Classes....Pages 288-309
Portfolio Transition and Transition Portfolios....Pages 310-321
Currency Management....Pages 322-335
Front Matter....Pages 337-337
Implementation of Equity Portfolios....Pages 339-349
Performance Measurement and Attribution....Pages 350-365
The Use of Software in Investment Management....Pages 366-379
Trends in Investment Management....Pages 380-392
Front Matter....Pages 337-337
Conclusions: Traditional versus Quantitative....Pages 393-399
Front Matter....Pages 401-401
Appendix 1: Pricing Interest Rate Securities....Pages 403-406
Appendix 2: Forward Contracts....Pages 407-417
Appendix 3: Futures Contracts....Pages 418-430
Appendix 4: Swaps....Pages 431-439
Appendix 5: Options....Pages 440-456
Appendix 6: Convertible and Converting Notes....Pages 457-466
Back Matter....Pages 467-502