Book Description
Easy to understand-even for learners with limited math backgrounds, this book uses a modeling approach to provide thorough coverage of the basic techniques in quantitative methods and focuses on the managerial applications of these techniques. An interesting and reader friendly writing style makes for a clear presentation, complete with all the necessary assumptions and mathematical details.
Chapter topics include probability concepts and applications, decision models and decision trees, regression models, forecasting, inventory control models, linear programming modeling applications and computer analyses, network models, project management, simulation modeling, and more.
For an introduction toquantitative analysis, quantitative management, operations research, or management science-especially for those individuals preparing for work in agricultural economics and health care fields.
Customer Reviews:
Introduction.......2006-12-17
We used this book in my "Operations analysis"-class, and it's a great introduction to the subjects discussed. Some very basic probability for estimating values and descision theory. Some regression in addition to other forecasting methods. Good sections on linear and integer programming, and also basic queuing models. Markov analysis is about as far as this book goes, and it basically just touches upon all the subjects in order to make the reader grasp the basic ideas.
One minus is the Windows-only software, no Mac-support there, but that only meant that I had to use Excel, which imo helped me gain a better understanding of the subjects, as I had to formulate all the spreadsheets myself instead of just feeding numbers into the QM-package, which imo seems like a total waste of a chance to learn. Anyway, most areas are covered with respect to both QM and Excel, which makes the non-existant Mac-support bareable.
So Much Better Than The University Bookstore.......2006-11-10
Wow! This brand new book cost $50 less than the same new book at my university bookstore! It was even cheaper than buying a used version of the book from the bookstore. The shipping was so fast, it arrived at my house the day after I ordered it! I'll be looking on Amazon.com for all my future text book purchases!! :)
Excellent introduction to the subject.......2006-02-28
I read this book as the assigned text for a course in Quantitative Analysis and found it to be an excellent text for such a class. Each Model and equation presented is explained through realistic examples, illustrations, and explanations of the math. This made the subject very easy to comprehend and apply to the real world.
Exercises at the end of each chapter are also based on real-world situations and case studies are included in the book and the CD that go into more detail about a real world use for each model.
The book was also easy to read and not overly technical when explaining mathematic concepts. An excellent text for an introduction to the field of management science.
Book Description
Praise for Quantitative Equity Portfolio Management
“A must-have reference for any equity portfolio manager or MBA student, this book is a comprehensive guide to all aspects of equity portfolio management, from factor models to tax management.” ERIC ROSENFELD, Principal & Co-founder of JWM Partners
“This is an ambitious book that both develops the broad range of artillery employed in quantitative equity investment management and provides the reader with a host of relevant practical examples. The book excels in melding theory with practice.” STEPHEN A. ROSS, Franco Modigliani Professor of Financial Economics, Massachusetts Institute of Technology
“The book is very comprehensive in its coverage, detailed in its discussions and written from a practical perspective without sacrificing needed rigor.” DAVID BLITZER, Managing Director and Chairman, Standard & Poor's Index Committee
“Making the transition from the walls of academia to Wall Street has traditionally been a difficult task…This book provides this link in a successful and engaging fashion, giving students of finance a road map for the application of financial theories in a real-world setting.” MARK HOLOWESKO, CEO and Founder, Templeton Capital Advisors
“This text provides an excellent synthesis of a broad range of quantitative portfolio management methods…In addition, there are a number of insightful innovations that extend and improve current techniques.” DAN DIBARTOLOMEO, President and Founder, Northfield Information Services, Inc.
Capitalize on Today's Most Powerful Quantitative Methods to Construct and Manage a High-Performance Equity Portfolio
Quantitative Equity Portfolio Management is a comprehensive guide to the entire process of constructing and managing a high-yield quantitative equity portfolio. This detailed handbook begins with the basic principles of quantitative active management and then clearly outlines how to build an equity portfolio using those powerful concepts.
Financial experts Ludwig Chincarini and Daehwan Kim provide clear explanations of topics ranging from basic models, factors and factor choice, and stock screening and ranking…to fundamental factor models, economic factor models, and forecasting factor premiums and exposures.
Readers will also find step-by-step coverage of portfolio weights… rebalancing and transaction costs…tax management…leverage…market neutral…Bayesian _…performance measurement and attribution…the back testing process…and portfolio performance.
Filled with proven investment strategies and tools for developing new ones, Quantitative Equity Portfolio Management features:
A complete, easy-to-apply methodology for creating an equity portfolio that maximizes returns and minimizes risks
The latest techniques for building optimization into a professionally managed portfolio
An accompanying CD with a wide range of practical exercises and solutions using actual historical stock data
An excellent melding of financial theory with real-world practice
A wealth of down-to-earth financial examples and case studies
Each chapter of this all-in-one portfolio management resource contains an appendix with valuable figures, tables, equations, mathematical solutions, and formulas. In addition, the book as a whole has appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials.
An essential reference for professional money managers and students taking advanced investment courses, Quantitative Equity Portfolio Management offers a full array of methods for effectively developing high-performance equity portfolios that deliver lucrative returns for clients.
About the Authors
Ludwig B. Chincarini, Ph.D., CFA, is a professor of finance at Georgetown University as well as a financial consultant to institutional investors. Previously, he was director of research at Rydex Global Advisors, the index mutual fund company. Prior to that, Dr. Chincarini was director of research at FOLIOfn, a brokerage firm that pioneered basket trading. He also worked at the Bank for International Settlements and holds a Ph.D. in economics from the Massachusetts Institute of Technology.
Daehwan Kim, Ph.D., is a professor of economics at the American University in Bulgaria. Previously, he was employed as a financial economist for FOLIOfn. Dr. Kim also worked as a financial journalist, writing regular columns on financial markets for business media in Asia. He also holds a Ph.D. in economics from Harvard University.
Customer Reviews:
restricted by the author's own experiences.......2007-10-11
First, I would say this book would be much better if it is reduced to 300 pages. Much of the materials such as the long long history desribed are useless.
Second, it is restricted by the author's own experiences which is actually not that complete. For example, it focus a lot on the sale side and the bond market.
Overall, it is a book for some one totally not familiar with this field.
The book on factor models.......2007-08-22
Should you buy this book if you already have Grinold and Kahn? Yes, if you are interested in factor models of equity returns: about 200 pages of CK are devoted to them, compared to a few in GK. If you are not, I would still recommend the purchase, but expect CK's stay on your bookshelf to be brief - enough time to read through, and spot things not found in GK, such as discussion of leverage and tax management. Finally, if you do not have Grinold and Kahn, read this, more accessible, book as as a warm-up, but do graduate to the GK tome. Alas, this, too, is a book for MBAs: it does not reflect state-of-the-art, and shies away from math or statistics. Finding good technical reading on QEPM remains a challenge, but Chincarini and Kim (2006) is good to consult.
Excellent Book - Highly Recommend.......2007-01-25
This is a strong learning guide as well as a useful reference. The book takes the subject of portfolio management the next logical step after a fourth year finance course. The classic topics of undergrad finance are taken to a new level. For example, the book assumes the reader previously understands Mean variance optimization, the topics are Mean variance optimization with constraints and/or transaction costs. Also an excellent introduction to Factor models in context of forecasting security pricing. Highly recommend.
A practical entry-level quant equity portfolio management book.......2006-12-01
This is a very practical entry-level quant equity portfolio management book (more practical and easier than Grinold & Kahn's book). It's a good place to start if you are interested in building quant models to manage equity portfolios. The book started from the beginning (e.g., how to pick factors), to how to build models to forecast returns, risk, and how to run optimization. This book didn't get into enough details about econometrics, database management, optimization, and programming, which are all essential to build a robust quant model. The authors mentioned pooled time-series cross-sectional econometric models, but didn't go beyond the surface. Overall, it's a good introduction book, but could be better.
A very readable primer on quantiative equity portfolio management.......2006-09-07
In my opinion, this book should be on the bookshelf of every quantitative equity portfolio manager right next to his Grinold & Kahn. In addition to the basics, it covers a lot of the more practical aspects of quantitative euqity portfolio management compared to the Grinold & Kahn, but is not lacking any academic rigour. It is very readable and accessible for anyone with a professional finance background or interest.
Book Description
Meta-analysis, decision analysis, and cost-effectiveness analysis are the cornerstones of evidence-based medicine. These related quantitative methods have become essential tools in the formulation of clinical and public policy based on the synthesis of evidence. All three methods are taught with increasing frequency in medical schools and schools of public health and in health policy courses at the undergraduate and graduate level. This book is a lucid introduction, and will serve the needs of students taking introductory courses that cover these topics. It will also be useful to clinicians and policymakers who need to understand the quantitative underpinnings of the methods in order to best apply the information that derives from them. The second edition of this popular book adds new material on cumulative meta-analysis as a method to explore heterogeneity. The coverage of cost-effectiveness analysis has been brought into close alignment with recommendations of the U.S. Public Health Panel on Cost-Effectiveness Analysis in Health and Medicine. Many of the examples have been replaced with more current examples, and all of the material has been updated to reflect recent advances in the methods and the emergence of consensus about some previously controversial issues. analysis. These three closely related methods have become even more important for synthesizing research since the first edition was published in 1994. And they have gained legitimacy as tools for guiding health policy.
Customer Reviews:
Best guide for analysis.......2006-12-20
There are several ways to do analysis of the health care industry but this book covers the big three. Cost Effectiveness is the most useful from a business standpoint. This book covers the math and theory behind each of these methods and gives strong arguments for how to write in each of them. As a health and pharmaceutical economist I found this book to be invaluable. It is written very clearly and helps sort through many of the issues especially meta analysis. If you are starting out in the health analyst field this is a must read and a book you will want to have handy at all times.
An excellent introductory text.......2002-02-05
Meta-analysis, as both an applied and theoretical science, continues to develop from its rather humble beginnings. Since most physicians lack a strong background in quantitative science, rigorous statistical approaches to clinical decision making have been slow to gain widespread support. Despite its limitations, meta-analysis is proving to be an important vehicle for making sense of the increasingly overwhelming amount of published data in the biomedical sciences. Petitti's book goes a long way in demystifying meta-analysis for the rank and file and also serves as an excellent introduction to the field for the more statistically literate.
Most of my own work is in meta-analysis and I bought the book exclusively for this content and not information on decision analysis and cost-effectiveness analysis. I do not mean to minimize the importance of the latter but rather point out my own narrow interest in the Petitti text.
The book is well written and concise. Petitti "cuts to the chase" explaining the theory underlying meta-analytic methods and provides many useful examples from the medical literature. The text is easy to follow, understandable and well balanced. A thorough reading should leave the reader well prepared for further exploration of applied meta-analysis as well as capable of articulating its strengths, weaknesses and future direction.
Overall, Petitti's text is an excellent place to start for those interested in learning the fundamentals of "research synthesis". The book is also an extremely handy references for the more experienced practitioner. I highly recommend it.
clearest yet description this topic.......1997-07-08
In a forest of mirky and arcane descriptions of a field that has come to dominate medical research and policy making, this book stands out for its clarity. Dr. Petitti speaks a language that normal people can understand. She avoids jargon and frequently uses quantitative examples that make it easy to plug in your own problems and directly apply her lessons to your tasks. This is easily the best book in print on this topic
Book Description
Fully integrated with the personal computer, this easy-to-use book provides readers with the skills to necessary to apply the techniques of quantitative analysis in all kinds of organizational decision-making situations. It covers every major topic in the quantitative analysis/management science field, showing how each technique works, discussing the assumptions and limitations of the models, and illustrating the real-world usefulness of each technique with many applications and case studies in both profit-making and nonprofit organizations. A
FREE CD-ROM readers can use to solve the examples presented in the book is conveniently packaged with the book providing Excel QM, Crystal Ball, TreePlan, QM for Windows and data files for examples. Probability Concepts and Applications, Decision Theory, Decision Trees with Utility Theory, Forecasting, Inventory Control Models, Linear Programming Models, Linear Programming: The Simplex Method. Transportation and Assignment Models, Integer Programming, Goal Programming, Non Linear Programming, and Branch and Bound Models, Analytic Hierarchy Process, Network Models, Project Management, Waiting Lines and Queuing Theory Models, Simulation Modeling, Markov Analysis, Using QM for Windows, Using Excel OM. Appropriate for business managers and analysts.
Customer Reviews:
A book for graduates--Not undergrads.......2003-10-28
After the first week of our class falling behind, my professor mentioned to our class that this book was the wrong format for undergrads. So this book is only good as the teacher and the students. It's easy to read, but hard to understand. And, the CD-ROM was not user-friendly enough, but had an awesome integration into MS Excel. I aced all of my math classes in college (undergrad), but this class...I'm not gonna to ace. But if you aced all math classes and you're using this book for a grad class, then go for it. Otherwise, find another book.
Great Book.......2001-12-12
I had one of the worst instructors on the planet this semester. I literally had to teach myself this entire course.
This book made it so much easier. Great diagrams, simple explanations. I ended up with an A.
Easy to follow.......2000-09-17
This book is easy to follow and the included cd makes solving the problems easy. It also has online links for each chapter.
Book Description
The first in-depth analysis of pairs trading
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly.
Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Download Description
The first in-depth analysis of pairs trading
Pairs trading is a market-neutral strategy in its most simple form. The strategy involves being long (or bullish) one asset and short (or bearish) another. If properly performed, the investor will gain if the market rises or falls. Pairs Trading reveals the secrets of this rigorous quantitative analysis program to provide individuals and investment houses with the tools they need to successfully implement and profit from this proven trading methodology. Pairs Trading contains specific and tested formulas for identifying and investing in pairs, and answers important questions such as what ratio should be used to construct the pairs properly.
Ganapathy Vidyamurthy (Stamford, CT) is currently a quantitative software analyst and developer at a major New York City hedge fund.
Customer Reviews:
Very interesting material.......2007-05-25
It's a good read even with the somewhat unorthodox mathematical notation. The overall concept of pairs trading is introduced well, with just enough detail to tempt the more adventurous gambler. The author appears well versed in the subject and writes well but assumes a relatively high level of mathematical maturity on the part of the reader.
the only good introduction to pairs trades and high frequency finance.......2007-04-15
When people talk about "quant" stuff, they are generally talking about two fairly distinct kinds of quant. There are the derivatives guys (options sell side & risk hedgers), and the 'statistical arbitrage' guys. This is one of the best books for a larval 'statistical arbitrage' guy. 'Statistical arbitrage' is a term referring to the techniques used by sophisticated hedge funds and trading desks to provide 'risk free' returns. I stick in the scare quotes around these phrases, because they're not really arbitrage, though they can be pretty decoupled from market returns. The techniques go well beyond just trading pairs, so the phrase, 'stat arb' is probably with us for good, even though it is often neither stat nor arb. The mean reverting versions of these techniques were largely invented by Nunzio Tartaglia and company (primarily Gerry Bamberger according to Thorp) at Morgan Stanley in the 1980s. Many of his underlings went on to found their own hedge funds, and the secret eventually became relatively common knowledge. Boesky was one of the more famous practitioners of merger arbitrage, which is an older, related technique.
This book is a fun introduction to 'statistical arbitrage,' concentrating on the standard "mean reverting pairs" variety, and a decent explanation of merger arbitrage which he unifies with mean reverting stat arb in an interesting way. These two strategies still form the basis of a large number of high frequency techniques in one form or another. In fact, the book provides enough background material to be useful for all kinds of techniques for finding alpha; it has a very clear treatment of factor models, time series analysis (best low level one I have ever read, anywhere) and what market neutrality is and isn't. He provides a decent amount of discussion of the complexities surrounding tradeability and other practical issues that get swept under the rug in most books.
Sure, there are a lot of specific 'stat arb' techniques he doesn't mention explicitly. He doesn't talk about basket trading plays, index arbitrage, volatility arbitrage or any of the other myriad clever (and often over my head) techniques used by sophisticated fund managers to vacuum up loose change that dumb people leave on the street. So what? Vidyamurthy gives you enough material you can go out and learn the practical details of real strategies on your own. If you're gifted enough, you can go figure them out (and more) for yourself once you understand the material in the book: they're mostly variations on these themes. Why should Vidyamurthy give away the keys to the kingdom for $100? Be happy he wrote the book at all. Presumably, he makes a living actually doing 'stat arb' type things, and his motivation was to have a book to give to his underlings so he didn't have to explain GARCH and cointegration to someone who breathes out of his mouth for the 9,000th time.
Anyone who can't read this book simply doesn't have the intellectual horsepower or attention span to do this kind of trading. The book is almost excruciatingly clear, it is very short, and even does the MBA's the favor of tucking the scary mathematics involving matrices and standard deviations safely away in chapter appendices. I mean, it even has cartoons and funny anecdotes (which are actually very funny: I detect a Wodehouse fan in Vidyamurthy). You have to actually pay attention while you read, and some sections, you may have to read twice. The concepts will not leap off the page and embed themselves into your frontal lobes, but it really isn't that difficult for any intelligent person to understand. I can think of no better introduction to pairs trading, or general alpha quant type stuff than this book. It should probably be on every wannabe quant or trader's desk if it isn't already etched into the fiber of their being.
Covers the right stuff but poorly written.......2007-03-08
I was looking for books on stat arb and risk arb and was surprised that not many titles showed up for my search on Amazon. I eventually bought this book (a used copy) and although the book covers exactly the kind of stuff you want to learn about pairs trading, the writing is very poor and there are way too many places where the sentences don't make any sense, regardless of your math/stat background. This book is not a how-to book. It's a general treatise and not a good one at that. I cannot recommend this book. You may want to check out Tsay's financial time series analysis book which, although not specifically for pairs trading, has all the essential materials.
Good overview, but only just.......2007-01-19
I have mixed feelings about this book: on the one hand it's a good overview of statistical and risk (merger) arbitrage. On the other, it is pretty shallow in terms of both practice and theory.
It is certainly not possible to use it directly for trading (like any other published book, I guess). An example of a theoretical flaw is the dodgy usage of bootstrap methodology which is a lot more assumption-sensitive tool than it is generally believed. One more example when the idea itself is nice but the implementation is not: the author shows how to assess VaR for a pair of assets and doesn't seem to notice that the estimated probability of deal-break is risk-neutral, not physical probability and thus can not be directly used to estimate VaR which is tied to the physical probability distribution.
There's a possibility, however, that these and other discrepancies are a result of the author's unwillingless to disclose too much. Indeed, I have yet to see a book that properly covers the gap between the original cointegration results (obtained around 1985) and their real industrial implementation. If anyone can suggest a deeper book on Statistical Arbitrage, please let me know (click on my name above).
Nice read!! .......2006-10-20
Totally agree with Dr. Bruhn. The book keeps mathematics to a minimum, simply reviewing a collection of time series analysis techniques and putting those into a trading context. I can understand however that this might be a rather tedious read for someone who hasn't been exposed to statistics or time series analysis before.
For someone who has the ambition to get on top of the material, I would recommend reading Chris Brooks's "Introductory econometrics for finance" first or as accompanying text. A quite easy and enjoyable read into time series analysis.
I haven't looked into pairs trading before, but since I have taken a postgrad course in econometrics, all the concepts were familiar to me and partially covered in my course. I found the book to be a nice summary of what I had learned which might serve me well as a reference for the future.
My conclusion is that this book is a nice, enjoyable read for someone with an econometric/ statistical background, but may be challenging (but certainly managable with good accompanying texts) for newbies.
Product Description
This book introduces DEA as a multiple-measure performance evaluation and benchmarking tool. The focus of performance evaluation and benchmarking is shifted from characterizing performance in terms of single measures to evaluating performance as a multidimensional systems perspective. This book also provides easy-to-use DEA software - DEA Excel Solver. This DEA Excel Solver is an Add-In for Microsoft® Excel and provides a custom menu of DEA approaches, which include more than 150 different DEA models. It is an extremely powerful tool that can assist decision-makers in benchmarking and analyzing complex operational efficiency issues in manufacturing organizations as well as evaluating processes in banking, retail, franchising, health care, e-business, public services and many other industries. The DEA Excel Solver does not set limit on the number of units, inputs or outputs. With the capacity of Excel Solver, the DEA Excel Solver can deal with large sized performance evaluation tasks. For a free version of DEA Excel Solver, please visit www.deafrontier.com.
Customer Reviews:
GREAT BOOK...THE BEST DEA CD.......2004-05-20
The book is excellent with a nice mix of theory and applications in DEA. I believe this is the best book on DEA. Of special interest is the CD that looks at many DEA models. The CD has no competitor and is by far the best around. I have used this CD in many of my academic papers on DEA. If you need DEA software this is the book.
very good DEA book and software.......2003-02-01
This is the DEA book has many DEA models that you can apply with the software supplied. The software is an Excel Add-In which can be easily used. The book also has good intro. on DEA. It is a book for both DEA beginner and advanced users.
Book Description
Over the past two decades, not only has supply chain analysis become a strategic focus of leading firms, it has also spawned an impressive array of research that brings together diverse research communities. Adding to this diversity and intellectual energy is the emergence of E-Business. E-Business creates new competitive dimensions that are fast-paced, ever-changing, and risk-prone, dimensions where innovation, speed, and technological savvy often define success. Most importantly, E-Business challenges the premises and expands the scope of supply chain analysis. The
Handbook is a comprehensive research reference that is essential for anyone interested in conducting research in supply chain. Unique features include:
-A focus on the intersection of quantitative supply chain analysis and E-Business,
-Unlike other edited volumes in the supply chain area, this is a handbook rather than a collection of research papers. Each chapter was written by one or more leading researchers in the area. These authors were invited on the basis of their scholarly expertise and unique insights in a particular sub-area,
-As much attention is given to looking back as to looking forward. Most chapters discuss at length future research needs and research directions from both theoretical and practical perspectives,
-Most chapters describe in detail the quantitative models used for analysis and the theoretical underpinnings; many examples and case studies are provided to demonstrate how the models and the theoretical insights are relevant to real situations,
-Coverage of most state-of-the-art business practices in supply chain management.
Audience: This volume is suitable for researchers, faculty, graduate students, and practitioners in the following areas: supply chain management, operations research, management science, decision science, industrial engineering, operations management, civil engineering/transportation, logistics management, risk management, applied mathematics, economics, computer science, industrial management, and other related areas.
Book Description
This book presents the most important and practically relevant quantitative models for marketing research. Each model includes a demonstration of the mechanics of the model, empirical analysis, real world examples, and an interpretation of results and findings. The reader will learn how to apply the techniques, as well as understand the latest methodological developments in the academic literature. Students and practitioners with differing numerical skills are guided through the book, although a knowledge of elementary numerical techniques is assumed.
Download Description
Recent advances in data collection and data storage techniques enable marketing researchers to study the individual characteristics of a large range of transactions and purchases, in particular the effects of household-specific characteristics. This book presents the most important and practically relevant quantitative models for marketing research. Each model is presented in detail with a self-contained discussion, which includes: a demonstration of the mechanics of the model, empirical analysis, real world examples, and interpretation of results and findings. The reader of the book will learn how to apply the techniques, as well as understand the latest methodological developments in the academic literature. Pathways are offered in the book for students and practitioners with differing numerical skill levels; a basic knowledge of elementary numerical techniques is assumed.
Customer Reviews:
Logits circa 1990.......2006-09-29
The book is a solid review of the various logit models. (And a little bit on censoring/truncation). This would be nice if Maddala hadn't published a book about limited-dependent-variable models back in 1983, and there'd been no progress in the field over the subsequent twenty-plus years. It's 2006, and the book feels sorely outdated and oddly narrow in scope as an econometrics textbook. Oh, and it's just that: invoking marketing research in the title is only a sales gimmick.
Book Description
This practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory.
Customer Reviews:
Comprehensive and Lucid.......2005-11-15
It is seldom that a book of this nature covers the terrain in such a lucid and erudite fashion, which can be appreciated by a broader audience. There are weaknesses though. I have a Ph.D on the topic, namely portfolio optimisation and this book, although published just prior to my final thesis, seemed to miss my radar, which is unfortunate. There is a wealth of information contained in the book, although referencing is a little thin, for example the monte carlo technique used to resample data inputs has been patented by Michaud, of which there is substantial referral. This makes the implementation of such a technique impossible without paying the ridiculous royalties for a fairly straightforward mathematical process. Furthermore, more could have been said about investment time horisons and mean reversion characteristics. The shorter the investment time horison the more volatile the returns, which tends to push the monte carlo portfolio towards a naive portfolio. This technique is more stable the longer the investment horison, and is recommended by me. Furthermore the technique is computationally laborious, and perhaps the number of iterations could be increased, to reduce computational tediousness, thereby reducing the number of outliers which may not have as large an impact on resultant portfolios. In other words there could be an inverse relationship between assets and iterations. Anyway let me not get ahead of myself. The book is expensive, perhaps not a good buy for a layperson. Anybody seriously considering quantitative investment management should add the book to their collection. The other would be "Efficient Asset Management" by Richard Michaud.
Highly recommended.......2003-06-29
If you are looking for a comprehensive book that explains and analyses quantitative portfolio optimisation and asset allocation, then this is probably the one for you. The author has clearly taken a lot of time to lay out the subject in a logical and easily understandable way, despite the fact that the subject matter is very complex. Having read this book, you'll be able to apply quantitative portfolio analysis and optimisation techniques yourself, and the book's final part on risk management - which includes chapters on active risk management, monte carlo simulations and extreme value thery - is a must for anyone in need of more adcanced risk management skills. Only draw back is its somewhat technical nature, but since the most technical stuff is in the appendices, the reader can skip it without major problems. An excellent and very accesible book.
Great practical guide.......2003-06-29
Whenever I buy a book I try to look for ones that have a strong practical aim. This is definitely such a book. It starts off with a fair amount of theory, which is required to fully appreciate it, but then moves into very practical territory with lots of real life problems and situations. This book is one of those A-Z books that ties all the treads together, but spiced up with practical applications in almost every chapter. Definitely worth reading if you need to understand the mechanics of quantitative portfolio optimisation and risk management.
Book Description
Risk Analysis A Quantitative Guide Risk and uncertainty are key features of most business and government problems and need to be understood for rational decisions to be made. This book concerns itself with the quantification of risk, the modelling of identified risks and how to make decisions from those models. Following on from the success of the previous edition of this clearly written and highly regarded book, this edition is extensively revised and updated and will provide an invaluable practical guide for beginners and experienced practitioners alike. Quantitative risk analysis (QRA) using Monte Carlo simulation offers a powerful and precise method for dealing with the uncertainty and variability of a problem. By providing the building blocks the author guides the reader through the necessary steps to produce an accurate risk analysis model and offers general and specific techniques to cope with most modelling problems. A wide range of solved problems is used to illustrate these techniques and how they can be used together to solve otherwise complex problems. Reviews of the first edition "It identifies the various facets of risk analysis and provides a valuable reference to the concepts and techniques employed." Project, 1997 "It clearly explains many essential aspects of quantitative risk analysis . provides valuable techniques and sound professional advice." Journal of Behavioral Decision Making, Vol. 12, 1999 "The book offers a powerful method for dealing with risk and uncertainty." Zentralblatt für Mathematik, Band 908, 1999
Customer Reviews:
Risk Analysis.......2006-05-24
A very good book, but a bit too much mathematical detail in deriving formulas for probability distributions; could use better descriptions of when to use each probability distribution.
Best Book for Quantitative Risk Analysis.......2004-04-25
I believe that this book is the best of many Risk Analysis books. The book's structure, starting from fundamental topics and guiding to advanced topics, is excellent. So, I translated this book into Japanese! You will make the best use of the book with Excel add-in Monte Carlo simulation software like @Risk and Crystal ball that you can get its trial version from the vendor's site(free!). But, the value of this book is not decreased with its sophistitated notation even if you don't have such software. You can enjoy the logic of Quantitative Risk Analysis. Now, the author is preparing his original software. I hope it will be as valuable as this book.
1st edition more useful to a practitioner than the 2nd.......2003-10-18
Unlike in the first edition, the author seems to have tried his best to eliminate any reference to any simulation software in the second edition. Result: it now reads like any academic simulation text, only less. The first edition wasn't broke. Why fix it? Bring back the classic Vose!
Rigouros, clear and practical.......2003-04-20
This book gives a deep insight into the state of the art and recent developments of quantitative risk analysis using simulation methods. Describes topics such as second order risk analysis I never heard about before. I used the knowledge drawn from this book to write some technical papers (published on peer-reviewed journals and seminars proceedings). Specialized software, such as @-risk and crystal ball is not strictly needed to carry out the risk-analysis systems suggested by the author (but pretty advanced skills with excel or use of math softwares are required). The specific subject of the book is risk modelling by Monte Carlo Simulation and Bayesan analysis; it does not deal with fuzzy models or other uncertainty-propagation methods. I highly reccomend this book to anyone interested into the specific subject.
Risk Analysis: A Quantitative Guide.......2001-08-25
I purchased this book to learn to write simulation equations in excel but only found it was a manual ( type book ) with good information for a very expensive software I did not have....If you have RISK software, it is a great book to have... I returned my copy w/o scanning the entire book.
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