This volume is divided into three sections plus detailed appendices and glossary and accompanying CD ROM. The first section provides a description of the investment management process providing a context for quantitative techniques. Section 2 addresses different quantitative techniques as applied to investment management. Each chapter will explain the techniques, the theoretical basis, the use of derivatives and other technology, implementation and management and the role of the custodian. Section 3 brings together issues such as currency management, performance measurement and appraisal and performance analysis. The accompanying CD ROM contains spreadsheets in EXCEL giving examples used in the body of the text. Each example will be cross referenced for easy access.
FRANCES COWELL has considerable experience of portfolio management. She is currently European Sales Director of QUANTEC Ltd., a producer of specialist investment management software. She was previously with County NatWest as Investment Management Associate Director.
Introduction The Traditional Approach CAPM: The Basis for Most Quantitative Techniques in Investment Management Quantitative Asset Allocation Models: Strategic and Tactical Portfolio Protection Capital Guaranteed Portfolios Passive Asset Allocation Quantitative Stock Selection Models for Domestic Portfolios Quantitative Stock Section Models for International Portfolios Optimised Stock Selection Indexation Bonds and Fixed Interest Market Neutral (Hedge) Portfolios Completion Portfolio Management Basket Trading Performance The Use of Software in Investment Management Trends in Investment Management Summary: Tradition vs Quantitative Appendices Futures Forwards Swaps Options Convertible Notes Glossary
