EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Research News Research Papers Books Features Interviews Indexes and Benchmarking EDHEC-Risk Efficient Equity Indices FTSE EDHEC-Risk ERAFP SRI Index Equity Index Research EDHEC-Risk Alternative Indexes Hedge Fund Index Research EDHEC-Risk IEIF Commercial Property Indices Amundi ETF "Core-Satellite and ETF Investment" Research Chair Style and Performance Analysis Hedge Fund Performance EuroPerformance/EDHEC-Risk Institute Style Ratings Performance Measurement for Traditional Investment Asset Allocation and Alternative Diversification Real Assets Newedge "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project SGCIB "Structured Equity Investment Strategies for Long-Term Asian Investors" Strategic Research Project Asset Allocation and Derivative Instruments Structured Forms of Investment Strategies FBF "Structured Products and Derivatives" Research Chair Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project ALM and Asset Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair Russell Investments "Solvency II Benchmarks" Research Chair La Française AM "Dynamic Allocation Models and New Forms of Target-Date Funds for Private and Institutional Clients" Research Chair Operational Risks and Performance Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks CACEIS "Risk and Regulation in the European Fund Management Industry" Research Chair EDHEC-Risk Publications Reports, Studies, Surveys and Position Papers Academic Publications All EDHEC-Risk Publications Events Events organised by EDHEC-Risk Institute Alternative Investments Seminar, Singapore, 6-9 February, 2012 CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, San Francisco, 6-8 March, 2012 EDHEC-Risk Days Europe 2012, London, 27-29 March, 2012 Alternative Asset Allocation Seminar, New York, 11-13 April, 2012 Advances in Equity Portfolio Construction Seminar, London, 19-20 April, 2012 State-of-the-Art Commodities Investing Seminar, Singapore, 23-24 April, 2012 EDHEC-Risk Days Asia 2012, Singapore, 9-10 May, 2012 CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, New York, 12-14 June, 2012 Advanced Commodity Investment Seminar, London, 19-20 June, 2012 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Institute PhD in Finance EDHEC-Risk Institute Executive MSc in Risk and Investment Management Investment Management Seminars Contact Us Contact Us
Featured Book
 
Portfolio Management
Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques
December 2009
A comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.
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Authors: Editor: John B. Guerard, Jr.
Editions: Springer - 792 pages
 

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Portfolio Management
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures
April 2008
A groundbreaking book extending traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework.
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Authors: Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, CFA
Editions: Wiley - 382 pages

 
Investment Management
Investment Management after the Global Financial Crisis
October 2010
The investment industry was severely affected by the global financial crisis of 2007–2009, and changes will have to occur. In this monograph, investment industry players, observers, recruiters, and academics offer their opinions and ideas about what they think the most profound changes are going to be.
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Authors: Frank J. Fabozzi, Sergio M. Focardi, Caroline Jonas
Editions: Research Foundation Publications (CFA Institute) - 154 pages

 
Alternative Investments
Hedge funds - Origine, stratégies, performances (in French)
May 2008
A publication in French offering a comprehensive and structured approach to hedge funds / Un ouvrage offrant une approche complète et structurée de l'univers des hedge funds.
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Authors: François-Serge Lhabitant
Editions: Dunod - 400 pages

 
Finance
Handbook of Finance, 3 Volume Set
August 2008
A comprehensive 3-volume set that covers both established and cutting-edge theories and developments in finance and investing.
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Authors: Editor: Frank J. Fabozzi
Editions: Wiley - 2714 pages

 
Alternative Investments
Handbuch Alternative Investments
August 2006
A handbook providing a comprehensive analysis of the alternative investment industry.
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Authors: Editors: Michael Busack, Dieter G. Kaiser
Editions: Gabler - Volume 1: 780 pages, Volume 2: 821 pages

 
Alternative Investments
Hedge Fund & Investment Management
November 2005
A book explaining the different types of funds as well as covering the key issues in every type of Hedge Fund.
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this book
Authors: Editor: Izzy Nelken
Editions: Elsevier Finance - 352 pages

 
Performance
Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing
February 2008
A detailed look at the real role of liquidity in today's stock market.
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Authors: Editors: François-Serge Lhabitant, Greg N. Gregoriou
Editions: Wiley - 475 pages

 
Business Analysis
Handbook of Short Selling
October 2011
A comprehensive examination of short selling, shedding new light on the ways that it uncovers market forces and can yield profitable trades.
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Authors: Editor: Greg N. Gregoriou
Editions: Elsevier Inc. - 624 pages

 
Alternative Investments
Research Handbook On Hedge Funds, Private Equity And Alternative Investments
February 2012 (forthcoming)
A unique and detailed handbook providing a comprehensive source of analysis and research on alternative investment funds in the EU, the US and other leading jurisdictions.
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this book
Authors: Editor: Phoebus Athanassiou
Editions: Edward Elgar Publishing - 500 pages

 
Portfolio Management
Equity Valuation and Portfolio Management
October 2011
A detailed look at equity valuation and portfolio management.
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Authors: Editors: Frank J. Fabozzi, Harry M. Markowitz
Editions: Wiley Finance - 576 pages

 
Financial Economics
Financial Economics
October 2011
An introduction to basic financial ideas through a strong grounding in microeconomic theory.
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Authors: Frank J. Fabozzi, Ted Neave, Guofu Zhou
Editions: Wiley Finance - 672 pages

 
Regulation
Investment Management Law and Practice
January 2010
The only trans-atlantic work addressing the legal and regulatory position in the UK and US.
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Authors: Edited by Timothy Spangler
Editions: Oxford University Press - 1,520 pages

 
Commodities
The Handbook of Commodity Investing
July 2008
A detailed guide to the commodity investment industry.
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Authors: Editors: Frank J. Fabozzi, Roland Fuss, Dieter G. Kaiser
Editions: Wiley - 986 pages

 
Portfolio Management
The Oxford Handbook of Quantitative Asset Management
December 2011
A publication exploring major themes in current theoretical and practical use and spanning all aspects of a modern quantitative investment organisation.
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Authors: Editors: Bernd Scherer, Kenneth Winston
Editions: Oxford University Press - 536 pages

 
Asset Allocation
Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies: Chinese translation
2007
A guide to the state-of-the-art techniques used in the analysis of bonds and bond portfolio management (Chinese translation).
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Authors: Editors: Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
Editions: Wiley Finance - 370 pages

 
Alternative Investments
Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation
September 2005
Leading hedge fund experts examine current trends, applications and theories in this in-depth look at hedge funds.
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Authors: Edited by Greg N. Gregoriou, Georges Hübner, Nicolas Papageorgiou and Fabrice Rouah
Editions: Wiley Finance - 653 pages

 
Asset Allocation
Dynamic Asset Allocation with Forwards and Futures
30 May 2005
An advanced text on the theory of forward and futures markets.
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Authors: Abraham Lioui, Patrice Poncet
Editions: Springer - 256 pages

 
Alternative Investments
Handbook of Hedge Funds
December 2006
A comprehensive guide to the burgeoning hedge fund industry for investors and fund and portfolio managers.
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Authors: François-Serge Lhabitant
Editions: Wiley - 654 pages

 
Regulation
The Banking Crisis Handbook
December 2009
A handbook exploring the origin of the recent banking crisis and how to preclude future crises.
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Authors: Editor: Greg N. Gregoriou
Editions: CRC Press, Taylor & Francis Group - 628 pages

 
Portfolio Management
Portfolio Construction and Risk Budgeting (4th Edition)
October 2010
A publication providing a critical review of a range of portfolio management techniques, highlighting strengths, weaknesses and how to implement quantitatively-driven portfolio construction.
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Authors: Editor: Bernd Scherer
Editions: Risk Books - pages

 
Asset Allocation
Mortgage-Backed Securities: Products, Structuring, and Analytical Techniques, 2nd Edition
October 2011
An up-to-date look at the latest innovations in mortgage-backed securities.
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Authors: Frank J. Fabozzi, Anand K. Bhattacharya, William S. Berliner
Editions: Wiley Finance - 352 pages

 
Alternative Assets
Handbook of Alternative Assets
October 2006
Both an introduction to the world of alternative assets and a reference for the active investor.
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Authors: Mark J.P. Anson
Editions: John Wiley & Sons Inc. - 720 pages

 
Portfolio Management
Quantitative Equity Investing: Techniques and Strategies
March 2010
A comprehensive look at the tools and techniques used in quantitative equity management.
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Authors: Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Editions: Wiley Finance - 528 pages

 
Portfolio Management
Robust Portfolio Optimization and Management
June 2007
A technically rigorous but accessible guide to the latest advances in portfolio construction.
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Authors: Frank J. Fabozzi, CFA, Petter N. Kolm, Dessislava Pachamanova, Sergio M. Focardi
Editions: Wiley Finance - 495 pages

 
Portfolio Management
The Mathematics of Financial Modeling and Investment Management
April 2004
A publication covering a wide range of technical topics in mathematics and finance, enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations.
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Authors: Sergio M. Focardi, Frank J. Fabozzi
Editions: Wiley Finance - 800 pages

 
Portfolio Management
Modeling the Market: New Theories and Techniques
January 1997
A publication looking at the progress made, both in practice and in theory, toward producing a usable model of the market.
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Authors: Sergio M. Focardi, Caroline Jonas
Editions: Wiley Finance - 301 pages

 
Fixed-Income Strategies
Modeling the Term Structure of Interest Rates: A Review of the Literature
August 2010
A survey providing a comprehensive review of the continuous time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
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this book
Authors: Rajna Gibson, François-Serge Lhabitant, Denis Talay
Editions: Now Publishers - 172 pages

 
Portfolio Trading
The Euromoney Global Portfolio Trading Handbook 2005 / 06
July 2005
Portfolio trading has become a jewel in the otherwise tarnished equities crown as fund managers increasingly gather their trades into one basket to reduce costs in volatile stock markets. With the rapid increase in usage of this investment tool, different investment groups are realising the benefits associated with it. The third edition of The Euromoney Global Portfolio Trading Handbook analyses these benefits and provides valuable insights from a select consortium of respected trading professionals into how to improve performance and cut costs.
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Authors: Editor: Claire Evans
Editions: Euromoney - 174 pages

 
Portfolio Management
The Handbook of Inflation Hedging Investments
February 2006
A book discussing effective inflation protection vehicles, along with strategies for integrating them into diversified professional portfolios.
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Authors: Editor: Robert Greer
Editions: McGraw Hill - 320 pages

 
Performance
Portfolio Analysis: Advanced Topics in Performance Measurement, Risk and Attribution
March 2006
A book drawing upon the experience of key global practitioners and leading industry authors, to quickly update knowledge and skills on advanced topics within performance measurement, risk, attribution and evaluation.
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Authors: Editor: Timothy P. Ryan
Editions: Risk Books - pages

 
Alternative Investments
Funds of Hedge Funds: Performance, Assessment, Diversification, and Statistical Properties
July 2006
The first book to present rigorous academic research by some of the leading lights in academic finance, carefully analyzing the broad array of issues involved in funds of hedge funds.
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this book
Authors: Editor: Greg Gregoriou
Editions: Elsevier Finance - 496 pages

 
ALM and Asset Management
Asset and Liability Management Handbook
March 2011
A handbook bringing together state-of-the-art quantitative decision models for asset and liability management in respect of pension funds, insurance companies and banks.
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this book
Authors: Editors: Gautam Mitra, Katharina Schwaiger
Editions: Palgrave Macmillan - 552 pages

 
Financial Data Management
Handbook on Information Technology in Finance
2008
A handbook containing surveys of state-of-the-art concepts, systems, applications, best practices as well as contemporary research in the intersection between IT and finance.
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this book
Authors: Editors: Detlef Seese, Christof Weinhardt, Frank Schlottmann
Editions: Springer - 800 pages

 
Regulation
The Law of Private Investment Funds
February 2008
A practical analysis of the legal and regulatory issues that arise from the structure and marketing of private investment funds both from the UK and US perspective.
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this book
Authors: Timothy Spangler
Editions: Oxford University Press - 280 pages

 
Finance and Economics
Handbook of Financial Econometrics - Volume 1: Tools and Techniques
September 2009
A collection of original articles, shining a bright light on recent advances in financial econometrics.
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Authors: Editors: Yacine Ait-Sahalia, Lars Hansen
Editions: Elsevier - 808 pages

 
Alternative Investments
Encyclopedia of Alternative Investments
August 2008
An authoritative source on alternative investments, focusing on hedge funds, managed futures, commodities, and venture capital.
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Authors: Edited by Greg. N. Gregoriou
Editions: Chapman & Hall / CRC Press - 592 pages

 
Alternative Investments
BarclayHedge Directory of Funds of Hedge Funds, 7th Annual Edition, 2008
2008
A detailed and comprehensive directory specific to the global fund of hedge fund universe.
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Authors:
Editions: BarclayHedge - pages

 
Asset Allocation
The Handbook of Fixed Income Securities
April 2005
The world’s number 1 fixed income book, now with 21 all-new chapters.
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Authors: Frank Fabozzi
Editions: McGraw-Hill - 1,500 pages

 
Credit Risk
Modelling Single-name and Multi-name Credit Derivatives
July 2008
An up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives.
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this book
Authors: Dominic O'Kane
Editions: Wiley Finance - 514 pages

 
Risk Management
The New Generation of Risk Management for Hedge Funds and Private Equity Investments
2003
This book ensures institutional investors and private investors have the information they need to be able to evaluate their investment advice and effectively allocate and manage their alternative investment strategies.
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this book
Authors: Edited by Lars Jaeger
Editions: Institutional Investor Books - 462 pages

 
Portfolio Management
Core-Satellite Portfolio Management: A Modern Approach for Professionally Managed Funds
December 2004
An innovative approach that combines indexed and active management to lower risk while enhancing growth potential.
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this book
Authors: Editor: J. Clay Singleton
Editions: McGraw Hill - 400 pages

 
Commodities
Risk Management in Commodity Markets: From Shipping to Agriculturals and Energy
November 2008
A publication focusing on the risk management issues associated with both soft and hard commodities, bringing together some of the best authors in the field.
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this book
Authors: Editor: Hélyette Geman
Editions: Wiley Finance - 320 pages

 
Risk
Operational Risk: Practical Approaches to Implementation
March 2005
Topical, innovative and highly practical, this powerful new resource from Risk Books will help you successfully develop and enhance the operational risk function in your firm.
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Authors: Edited by Ellen Leander Davis
Editions: Risk Books - 360 pages

 
Alternative Investments
Directory of Fund of Hedge Funds 5th annual edition
October 31, 2005
The industry's largest printed Directory specific to Fund of Hedge Funds.
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Authors:
Editions: Alternative Asset Center - 1,033 pages

 
Asset Allocation
Advanced Bond Portfolio Management: Best Practices in Modeling and Strategies
December 2005
A guide to the state-of-the-art techniques used in the analysis of bonds and bond portfolio management.
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this book
Authors: Editors: Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
Editions: John Wiley & Sons, Inc. - 576 pages

 
Risk
The Professional Risk Managers' Guide to Energy and Environmental Markets
2006
Edited by Peter C. Fusaro, with contributions from over 25 leading authors, The Professional Risk Managers' Guide to Energy and Environmental Markets brings these important and developing markets to life for all financial risk managers.
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Authors: Edited by Peter C. Fusaro
Editions: PRMIA Publications - pages

 
Alternative Investments
Hedge Funds: Crossing the Institutional Frontier
August 2006
A publication providing a detailed account of the key issues facing the hedge fund industry and strategies for hedge fund managers to gain success both over competitors and with investors, from leaders in the field.
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Authors: Editor: Sohail Jaffer
Editions: Euromoney Books - 189 pages

 
Asset Allocation
Portfolio Management
July 2008
Portfolio management has advanced to a highly specialised and quantitative discipline. This volume provides an overview of the theoretical framework underlying portfolio management as well as an insight into current trends.
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Authors: Bernd Scherer
Editions: Risk Books - 250 pages

 
Commodities
The Professional Risk Managers' Guide to the Energy Market
January 2008
Expert analysis on the energy market from veteran analysts and global professionals.
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Authors: Professional Risk Managers' International Association (PRMIA)
Editions: McGraw Hill - 400 pages

 
Asset Pricing
Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models
December 2010
A book proposing new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis.
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this book
Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan - 206 pages

 
Market Regulation
MiFID: Convergence towards a unified European capital markets industry
August 2006
With many organisations misunderstanding the implications of MiFID on the capital markets industry as a whole and more specifically on their own firm, developing a better understanding of this significant piece of regulation has become vitally important. Providing you with a single source of information on the newly issued regulation, this book includes its practicalities and a review of the potential impact on the industry.
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Authors: Jean-René Giraud & Catherine D’Hondt
Editions: Risk Books - 342 pages

 
Alternative Investments
Introduction aux Hedge Funds, 2ème édition (French)
March 2010
Ecrit par l'un des meilleurs spécialistes européens du sujet, ce livre a pour vocation de permettre aux lecteurs de connaître en profondeur l'industrie des hedge funds et ses spécificités.
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Authors: Daniel Capocci
Editions: Economica - 548 pages

 
Asset Pricing
Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration
December 2010
A publication proposing new methods to value equity and model the Markowitz efficient frontier using Markov switching models.
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Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan - 196 pages

 
Financial Modelling
Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models
December 2010
A book assessing several competing forecasting models for interest rates, financial returns, and realized volatility, and proposing new forecasting tools.
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Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan - 195 pages

 
Commodity Investing
Intelligent Commodity Investing: New Strategies and Practical Insights for Informed Decision Making
March 2007
As commodities move into the realm of respectable investments and with research continually demonstrating their attractiveness in an overall portfolio, this book provides institutional investors with a framework for intelligent commodity investing.
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this book
Authors: Edited by Hilary Till and Joseph Eagleeye
Editions: Risk Books - 350 pages

 
Alternative Investments
A Practitioner’s Guide to Alternative Investment Funds
January 2005
An examination of the fundamental structuring and operational issues that arise in connection with alternative investment funds.
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Authors: Timothy Spangler
Editions: City & Financial Publishing - pages

 
Alternative Investment
"La Gestion Alternative"
23 January 2004
The first publication written in French to examine the present state of both the academic and professional knowledge of a subject which is still little known to investors and researchers in finance: hedge funds.
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this book
Authors: Noël Amenc, Sébastien Bonnet, Gautier Henry, Lionel Martellini, Axel Weytens
Editions: Economica - 374 pages

 
Asset Allocation
The Handbook of European Fixed Income Securities
December 2003
The Handbook of European Fixed Income Securities is the first comprehensive guide to the European Fixed Income Markets. With contributions from thirty internationally recognized experts in the field of debt finance and derivatives, it is essential reading for the industry and a reference for practitioners.
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this book
Authors: Frank J. Fabozzi (Editor), Moorad Choudhry (Editor)
Editions: John Wiley & Sons - 1024 pages

 
Alternative Investments
Intelligent Hedge Fund Investing
March 2004
Focusing on the wide range of hedge fund strategies and their associated challenges and risks, "Intelligent Hedge Fund Investing" presents the cutting edge of research to guide hedge fund investors past pitfalls and develop their risk assessment and risk management skills.
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this book
Authors: Editor: Barry Schachter
Editions: Risk Books - 470 pages

 
Alternative Investments
Hedge Funds: Quantitative Insights
May 2004
A complete guide to portfolio techniques, asset allocation, performance measurement and product selection in the alternative investment world.
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Authors: François-Serge Lhabitant
Editions: Wiley - 354 pages

 
Alternative Investments
"Gestion Alternative : Origine, Stratégies, Performances"
2004
An introduction to the universe of alternative investment, and more specifically to that of alternative funds.
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this book
Authors: François-Serge Lhabitant
Editions: Dunod - 320 pages

 
Risk
Risk Assessment: Decisions in Banking and Finance
December 2008
A discussion of new developments in assessing and managing risk.
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this book
Authors: Editors: Georg Bol, Svetlozar T. Rachev, Reinhold Würth
Editions: Physica-Verlag Heidelberg - 286 pages

 
Data Analysis
Data Analysis and Decision Support
August 2005
Recent advances in data analysis and decision support.
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this book
Authors: Editors: Daniel Baier, Reinhold Decker, Lars Schmidt-Thieme
Editions: Springer - 352 pages

 
Quantitative Finance
Probability and Statistics for Finance
September 2010
A comprehensive look at how probability and statistics is applied to the investment process.
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this book
Authors: Svetlozar T. Rachev, Markus Hoechstoetter, Frank J. Fabozzi, Sergio M. Focardi
Editions: Wiley Finance - 672 pages

 
Finance and Economics
Financial Econometrics: From Basics to Advanced Modeling Techniques
January 2007
A comprehensive guide to financial econometrics.
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this book
Authors: Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi, Sergio M. Focardi, Teo Jašic
Editions: Wiley - 576 pages

 
Portfolio Management
Financial Modeling of the Equity Market: From CAPM to Cointegration
January 2006
An inside look at modern approaches to modeling equity portfolios.
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this book
Authors: Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Editions: Wiley Finance - 651 pages

 
Risk Management
Risk Management: Framework, Methods, and Practice
January 1998
A concise and readable publication covering both the theoretical underpinnings of risk management, as well as practical techniques for coping with financial market volatility.
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this book
Authors: Sergio M. Focardi, Caroline Jonas
Editions: Wiley Finance - 219 pages

 
Private Equity
A Practitioner’s Guide to Private Equity
April 2009
A comprehensive guide to the private equity and venture capital industry.
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this book
Authors: Consulting Editors: Mark Soundy, Weil, Gotshal & Manges LLP; Tim Spangler, Kaye Scholer LLP; Alison Hampton, HgCapital
Editions: City & Financial Publishing - 723 pages

 
Computational Methods in Finance
Handbook of Computational and Numerical Methods in Finance
June 2004
Current research and survey articles focusing on various numerical methods in finance.
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Authors: Editors: Svetlozar T.Rachev, George A. Anastassiou
Editions: Birkhäuser - 435 pages

 
Portfolio Management
Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures
December 2010
A publication proposing new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques.
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this book
Authors: Edited by Greg N. Gregoriou and Razvan Pascalau
Editions: Palgrave Macmillan - 257 pages

 
Alternative Investments
Commodity Trading Advisors: Risk, Performance Analysis, and Selection
October 2004
Provides a dramatic new understanding of the rewards and risks of investing in CTAs, an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals.
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this book
Authors: Edited by Greg N. Gregoriou, Vassilios Karavas, Fabrice Rouah & François-Serge Lhabitant
Editions: John Wiley & Sons - 424 pages

 
Risk
Fixed-Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging
January 2001
This book provides a thorough explanation of modern methods for pricing and hedging fixed-income securities (i.e. government bonds, corporate bonds, treasury bills, and interest rate derivatives, etc.)
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this book
Authors: Lionel Martellini & Phillipe Priaulet
Editions: John Wiley & Sons - 350 pages

 
Alternative Investments
Hedge Funds: Myths and Limits
May 2002
Full coverage of how hedge funds work, from risks to rewards
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this book
Authors: Francois-Serge Lhabitant
Editions: John Wiley & Sons - 288 pages

 
Performance
Portfolio Theory & Performance Analysis
February 2002
In the last ten years, commercial and technical innovations have been increasingly prevalent within the asset management industry. It therefore seems essential to allow both practitioners and researchers to situate these innovations within a clear and consistent conceptual framework.
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this book
Authors: Noël Amenc & Véronique Le Sourd
Editions: economica - 330 pages

 
Asset Allocation
Quantitative Equity Portfolio Management
1998
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.
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this book
Authors: Noël Amenc, Véronique Le Sourd
Editions: Economica - 106 pages

 
Performance
Portfolio Theory and Performance Analysis
September 2003
In these bear market times, performance evaluation of portfolio managers is of central focus. This book will be one of very few on the market and is by a respected member of the profession.
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Authors: Noël Amenc, Véronique Le Sourd
Editions: John Wiley & Sons - 256 pages

 
Asset Allocation
Fixed Income Securities: Valuation, Risk Management and Portfolio Strategies
May 2003
The first comprehensive textbook for students studying fixed-income securities
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this book
Authors: Lionel Martellini, Philippe Priaulet, Stephane Priaulet
Editions: John Wiley & Sons - 820 pages

 
Alternative Investments
Hedge Fund Replication
November 2011
A publication providing a valuable insight into the thinking behind hedge fund replication and shedding light on different issues regarding the construction of hedge fund clones and how they should be considered.
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this book
Authors: Editors: Greg N. Gregoriou, Maher Kooli
Editions: Palgrave Macmillan - 224 pages