Quantitative Fund Management Book

Introduction
Part 1: Dynamic Financial Planning
Trends in Quantitative Equity Management: Survey Results Portfolio Optimization under the Value-at-Risk (VaR) Constraint Dynamic Consumption and Asset Allocation with Derivative Securities Volatility-Induced Financial Growth Constant Rebalanced Portfolios and Side-Information Improving Performance for Long-Term Investors: Wide Diversification, Leverage, and Overlay Strategies Stochastic Programming for Funding Mortgage Pools Scenario-Generation Methods for an Optimal Public Debt Strategy Solving ALM Problems via Sequential Stochastic Programming Designing Minimum Guaranteed Return Funds
Part 2: Portfolio Construction and Risk Management
DC Pension Fund Benchmarking with Fixed-Mix Portfolio Optimization Coherent Measures of Risk in Everyday Market Practice Higher Moment Coherent Risk Measures On the Feasibility of Portfolio Optimization under Expected Shortfall Stability Analysis of Portfolio Management with Conditional VaR Stress Testing for VaR and CVaR Stable Distributions in the Black—Litterman Approach to Asset Allocation Ambiguity in Portfolio Selection Mean-Risk Models Using Two Risk Measures: A Multi-Objective Approach Implied Non-Recombining Trees and Calibration for the Volatility Smile