chapter Introduction to Quantitative Fund Management -- chapter 1 Trends in Quantitative Equity Management -- chapter 2 Portfolio Optimization under the Value-at-Risk Constraint -- chapter 3 Dynamic Consumption and Asset Allocation with Derivative Securities -- chapter 4 Volatility-Induced...

Computer trading in financial markets is a rapidly developing field with a growing number of applications. Automated analysis of news and computation of market sentiment is a related applied research topic which impinges on the methods and models deployed in the former. In this chapter we have...

Volatility prediction plays an important role in the financial domain. The GARCH family of prediction models is very popular and efficient in using past returns to forecast volatility. It has also been observed that news, scheduled and unscheduled, have an impact on return volatility of assets....

Momentum strategy is one of the most popular strategies that market participants use to make investment decisions. In the past two decades, many researchers have shown that momentum strategy beats the market, and provides attractive portfolio returns. In this study we investigate Dow Jones...