This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.
Cuprins
Introduction; Stephen Satchell.- 1) Performance of UK equity unit trusts; G Quigley and R A Sinquefield.- 2) A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction; S Satchell and A Scowcroft.- 3) Tracking error: Ex ante versus ex post measures; S Hwang and S Satchell.- 4) Hedge Fund Survival Lifetimes; G N Gregoriou.- 5) Performance clustering and incentives in the UK pension fund industry; D Blake, B N Lehmann and A Timmermann.- 6) Do hedge funds add value to a passive portfolio? Correcting for non-normal returns and disappearing funds?; R Kourwenberg.- 7) The performance of value and momentum investment portfolios: Recent experience in the major European markets; R Bird and J Whitaker.- 8) Measuring investor sentiment in equity markets; A Bandopadhyaya and A L Schnader.- 9) Incorporating estimation errors into portfolio selection: Robust portfolio construction; S Ceria and R A Stubbs.- 10) Best-practice pension fund governance; G L Clark and R Urwin.- 11) Fundamental indexation in Europe; J Hemminiki and V Puttonen.- 12) Fundamental indexation: An active value strategy in disguise; D Blitz and L Swinkels.- 13) Emerging markets of South-East and Central Asia: Do they still offer a diversification benefit; C L Dunis and G Shannon.- 14) A robust optimization approach to pension fund management; G Iyengar and A K C Ma.
Despre autor
Stephen Satchell is Professor of Finance at Sydney University, Australia. His research covers a number of topics in the broad areas of econometrics, finance, risk measurement and utility theory, and his current research looks at alternative methods of portfolio construction and risk management, as well as work on non-linear dynamic models. Stephen has strong links with Inquire (Institute for Quantitative Investment Research), is on the management committee of LQG (London Quant Group), and is a Fellow of Trinity College Cambridge where he has Isaac Newton’s rooms.
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