Asset Allocation
Quantitative Equity Portfolio Management

Authors: NoŽl Amenc, Vťronique Le Sourd
Editions: Economica
Pages: 106 pages
Date: 1998
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.

About the Authors:

NoŽl Amenc
started his career as Researcher at the Microeconomic Research Centre of Nice-Sophia Antipolis University. Assistant Professor in Finance at the CERAM business school, he was in charge of the Finance-Accountancy-Management Control department before creating in 1989, a specialised masters in Back-office, then, in 1992, a specialised masters in international capital management.

Concurrently with his teaching activities, NoŽl Amenc has had numerous consultancy roles with eminent French and foreign financial organisations.

From 1993 to 1999, he was founder and president of SIP SA, a company specialised in commercial and decisional information technology relating to asset management.

He was then Director of Research for Misys Asset Management Systems, managing the group's "Asset Management" Research and Development activity, based in Sophia-Antipolis (France) and Birmingham (UK).

NoŽl Amenc is associate editor of the Journal of Alternative Investment.

NoŽl Amenc is currently professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute.

Vťronique Le Sourd has a Master’s Degree in Applied Mathematics from the Pierre and Marie Curie University in Paris.

From 1992 to 1996, she worked as Research Assistant within the Finance and Economics Department of the French Business School, HEC and then as a Researcher for Misys Asset Management Systems. She is currently Senior Research Engineer at EDHEC-Risk Institute.

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