Portfolio Management
The Oxford Handbook of Quantitative Asset Management

Authors: Editors: Bernd Scherer, Kenneth Winston
Editions: Oxford University Press
Pages: 536 pages
Date: December 2011
Quantitative portfolio management has become a highly specialised discipline. Computing power and software improvements have advanced the field to a level that would not have been thinkable when Harry Markowitz began the modern era of quantitative portfolio management in 1952. In addition to raw computing power, major advances in financial economics and econometrics have shaped academia and the financial industry over the last 60 years. While the idea of a general theory of finance is still only a distant hope, asset managers now have tools in the financial engineering kit that address specific problems in their industry.

The Oxford Handbook of Quantitative Asset Management consists of seven sections that explore major themes in current theoretical and practical use. These themes span all aspects of a modern quantitative investment organisation. Contributions from academics and practitioners working in leading investment management organisations bring together the key theoretical and practical aspects of the field to provide a comprehensive overview of the major developments in the area.

Bernd Scherer, currently Affiliate Professor at EDHEC Business School, co-authored the chapter on "Performance Based Fees, Incentives and Dynamic Tracking Error Choice" with Xiaodong Xu.

Daniel Giamouridis, Research Associate at EDHEC-Risk Institute, together with co-author George Skiadopolous, contributed a chapter to the handbook entitled "Extracting Asset Allocation Inputs from Option Prices".

The publication, which is aimed at graduates and researchers in statistics, economics, and finance, and practitioners, quantitative analysts, quantitative investment managers, and hedge fund managers, notably:
  • Highlights major developments in managing investment portfolios for individuals and institutions
  • Includes contributions from academics and numerous key figures from financial institutions
  • Includes seven sections spaning all aspects of a modern quantitative investment organisation
  • Brings together theory and practice

About the Editors:
  • Bernd Scherer, Professor of Finance, EDHEC Business School, London, UK

    Prior to joining EDHEC-Risk, Bernd Scherer was Managing Director and Global Head of Quantitative Asset Allocation at Morgan Stanley in London. Previously, he was with Deutsche Asset Management where he successively headed the Investment Solutions and Overlay Management Group in Frankfurt, and Global Quantitative Research and Portfolio Engineering from New York. Bernd has 16 years of investment experience within top financial institutions. He has published over 50 articles in leading academic and practitioner journals and is a board member of the London Quant Group. Bernd Scherer is currently Affiliate Professor at EDHEC Business School.

  • Kenneth Winston, Chief Risk Officer, Western Asset Management, Pasadena, USA

    Kenneth Winston is Chief Risk Officer at Western Asset Management and a Lecturer in Economics at the California Institute of Technology in Pasadena. Previously Dr. Winston was Chief Risk Officer at Morgan Stanley Investment Management in New York and an Adjunct Professor of financial mathematics at the Courant Institute of Mathematical Sciences at New York University. He began his financial career as a quantitative portfolio manager after having taught mathematics at Rutgers University. Dr. Winston, who obtained his PhD in pure mathematics from the Massachusetts Institute of Technology, is the author of numerous articles and papers in mathematics and finance.

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