Bernd Scherer - Böcker

Quantitative portfolio management has become a highly specialized 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 organization. Contributions from academics and practitioners working in leading investment management organizations bring together the key theoretical and practical aspects of the field to provide a comprehensive overview of the major developments in the area.

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management, and this trend will only accelerate in the coming years. Unfortunately there is a large gap between the limited treatment of portfolio construction methods that are presented in most university courses with relatively little hands-on experience and limited computing tools, and the rich and varied aspects of portfolio construction that are used in practice in the finance industry. Current practice demands the use of modern methods of portfolio construction that go well beyond the classical Markowitz mean-variance optimality theory and require the use of powerful scalable numerical optimization methods. This book fills the gap between current university instruction and current industry practice by providing a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods. The computational aspect of the book is based on extensive use of S-Plus, the S+NuOPT? optimization module, the S-Plus Robust Library and the S+Bayes?Library, along with about 100 S-Plus scripts and some CRSP sample data sets of stock returns. A special time-limited version of the S-Plus software is available to purchasers of this book. "For money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimation techniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!"Steven P. Greiner, Ph. D. Chief Large Cap Quant & Fundamental Research ManagerHarris Investment Management"The authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software.Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory. "Peter KnezCIO, Global Head of Fixed IncomeBarclays Global Investors

In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management, and this trend will only accelerate in the coming years. Unfortunately there is a large gap between the limited treatment of portfolio construction methods that are presented in most university courses with relatively little hands-on experience and limited computing tools, and the rich and varied aspects of portfolio construction that are used in practice in the finance industry. Current practice demands the use of modern methods of portfolio construction that go well beyond the classical Markowitz mean-variance optimality theory and require the use of powerful scalable numerical optimization methods. This book fills the gap between current university instruction and current industry practice by providing a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods. The computational aspect of the book is based on extensive use of S-Plus®, the S+NuOPT™ optimization module, the S-Plus Robust Library and the S+Bayes™ Library, along with about 100 S-Plus scripts and some CRSP® sample data sets of stock returns. A special time-limited version of the S-Plus software is available to purchasers of this book.“For money managers and investment professionals in the field, optimization is truly a can of worms rather left un-opened, until now! Here lies a thorough explanation of almost all possibilities one can think of for portfolio optimization, complete with error estimation techniques and explanation of when non-normality plays a part. A highly recommended and practical handbook for the consummate professional and student alike!”Steven P. Greiner, Ph.D., Chief Large Cap Quant & Fundamental Research Manager, Harris InvestmentManagement“The authors take a huge step in the long struggle to establish applied post-modern portfolio theory. The optimization and statistical techniques generalize the normal linear model to include robustness, non-normality, and semi-conjugate Bayesian analysis via MCMC. The techniques are very clearly demonstrated by the extensive use and tight integration of S-Plus software. Their book should be an enormous help to students and practitioners trying to move beyond traditional modern portfolio theory.”Peter Knez, CIO, Global Head of Fixed Income, Barclays Global Investors“With regard to static portfolio optimization, the book gives a good survey on the development from the basic Markowitz approach to state of the art models and is in particular valuable for direct use in practice or for lectures combined with practical exercises.”Short Book Reviews of the International Statistical Institute,  December 2005

In Paris Calligrammes the filmmaker, photographer and collector of worlds Ulrike Ottinger links historical archival material with her own art and film works to create a sociogram of the era in which she came of age as an artist. In the grip of political upheavals, Paris of the 1960s attracted artists from all over the world and was a pulsating stream of energy hovering between trauma management and the utopia of Europe. From the Librairie Calligrammes, a meeting place of exiled German intellectuals, to the Cinémathèque française, which sparked her love of film, Ulrike Ottinger charts a city and its utopias. They live on in her collaged landscape of memories in a workshop exhibition complimenting her film Paris Calligrammes (2019).Ulrike Ottinger's (*1942 Konstanz, Germany) films were shown at the most important international festivals and honored at various major museums, including the Centre Pompidou, Paris, the Museo Reina Sofia, Madrid, and the Museum of Modern Art, New York. With her photographs she was represented at the documenta and the Biennale di Venezia. Exhibition: HKW, Haus der Kulturen der Welt, Berlin 23.8—13.10.2019