Introduction; Stephen Satchell -- 1) Performance of UK equity unit trusts; G Quigley and R A Sinquefield -- 2) A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction; S Satchell and A Scowcroft -- 3) Tracking error: Ex ante versus ex post...

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension...

"Asymmetric Dependence (hereafter, AD) is usually thought of as a cross-sectional phenomenon. Andrew Patton describes AD as "stock returns appear to be more highly correlated during market downturns than during market upturns." (Patton, 2004) Thus at a point in time when the market return is...