Developments In Forecast Combination And Portfolio Choice

Christian L. Dunis/Allan Timmermann

ISBN 10: 0471521655 / ISBN 13: 9780471521655

Published by Wiley, 2001

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Synopsis:

Developments in Forecast Combination and Portfolio Choice focuses on the following three themes: model and forecast combinations; structural change and long memory, controlling downside risk and investment strategies. Written by leading international researchers and practitioners, his book deals efficiently with three key questions facing portfolio managers. How to achieve greater forecasting accuracy; how to deal with structural change in asset allocation models and how to control downside risk, i.e. the risk of loss, in portfolio management.

About the Author: CHRISTIAN L. DUNIS is Girobank Professor of Banking and Finance at Liverpool Business School, and Director of its Centre for International Banking, Economics and Finance (CIBEF). He is also a consultant to asset management firms and an Official Reviewer attached to the European Commission for the evaluation of applications to Finance of emerging software technologies. He is an Editor of the European Journal of Finance and has published widely in the field of financial market analysis and forecasting.

ALLAN TIMMERMANN is Professor of Economics at University of California, San Diego. He is on the editorial board of the Journal of Forecasting and Journal of Business and Economic Statistics. His research is concerned with modelling the dynamics and predictability of returns in financial markets. Professor Timmermann has held positions at Birkbeck College and the London School of Economics.

JOHN MOODY is the Director of the Computational Finance program and a Professor of Computer Science at the Oregon Graduate Institute. His research interests include computational finance, time series analysis and machine learning. Professor Moody has held positions at Yale University and the Institute for Theoretical Physics.

Bibliographic Details

Title: Developments In Forecast Combination And ...
Publisher: Wiley
Publication Date: 2001
Binding: Hardcover
Condition: New
Edition: International Edition