Bernd Scherer and Kenneth Winston

in The Oxford Handbook of Quantitative Asset Management

Published in print December 2011 | ISBN: 9780199553433
Published online November 2012 | | DOI:

Series: Oxford Handbooks in Finance


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Several portfolio optimization methods that are employed by several qualitative and quantitative investment organizations to build superior portfolios are discussed in this text. The book extends Markowitz's 1956 critical line algorithm to the construction of enhanced active equity portfolios. Several aspects of the Portfolio Construction Processes used by quantitative asset management organizations are also investigated in the text. The book also provides an overview and a tutorial of the extensive field of Bayesian methods, in which prior views about parameters of future outcome distributions are carefully updated to take into account new information. The behavioral and organizational aspects of asset management organization are also explored in this text. The book further goes on to argue that the inherent decentralization in asset management decision processes is welfare distracting and needs to be modified.

Keywords: portfolio optimization methods; quantitative asset management; Bayesian methods; investment management; qualitative investment organizations

Article.  1430 words. 

Subjects: Economics ; Financial Markets ; Econometric and Statistical Methods and Methodology: General

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