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Portfolio Construction and Analytics

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ISBN-10: 1118445597

ISBN-13: 9781118445594

Edition: 2016

Authors: Frank J. Fabozzi, Dessislava A. Pachamanova

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This book fills provides a high-level overview of the analytics process at investment firms from multiple angles: the data management side, the modeling side, the software resources side, and the investment strategy side. In addition to fundamental modeling concepts and widely used approaches to portfolio analytics, new trends in risk metrics, modeling approaches, investment strategies, and portfolio analytics system design are discussed in the book. The real-world examples of portfolio analytics performed with vendor software and the references to portfolio analytics that can be performed with open source software should be useful for both investment professionals and students.
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Book details

Copyright year: 2016
Publisher: John Wiley & Sons, Limited
Publication date: 5/24/2016
Binding: Hardcover
Pages: 624
Size: 6.40" wide x 9.10" long x 2.00" tall
Weight: 1.892
Language: English

Douglas J. Lucas is Executive Director and Head of CDO Research at UBS. He is also Chairman of The Bond Market Association's CDO Research Committee and ranked top three in CDO research in the Institutional Investor's fixed income analyst survey. Lucas has been involved in the CDO market for nearly two decades, having developed Moody's rating methodology for CDOs in 1989.LAURIE S. GOODMAN, PhD, is Managing Director and co-Head of Global Fixed Income Research at UBS. She manages U.S. Securitized Products and Treasury/Agency/Derivatives Research. Goodman has worked on Wall Street for over twenty years and is well regarded by the investor community, having won more #1 slots on the Institutional…