28. Industrial Engineering Applications in Financial Asset Management

  1. Gavriel Salvendy Ph.D. professor founding editor founding chair member scientist Honorary Doctrate Fellow
  1. R. Mcfall Lamm Jr. Chief Investment Strategist

Published Online: 5 DEC 2007

DOI: 10.1002/9780470172339.ch28

Handbook of Industrial Engineering: Technology and Operations Management, Third Edition

Handbook of Industrial Engineering: Technology and Operations Management, Third Edition

How to Cite

Lamm, R. M. (2001) Industrial Engineering Applications in Financial Asset Management, in Handbook of Industrial Engineering: Technology and Operations Management, Third Edition (ed G. Salvendy), John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470172339.ch28

Editor Information

  1. School of Industrial Engineering, Purdue University, West Lafayette, Indiana, USA

Author Information

  1. Deutsche Bank New York, New York, USA

Publication History

  1. Published Online: 5 DEC 2007
  2. Published Print: 11 MAY 2001

ISBN Information

Print ISBN: 9780471330578

Online ISBN: 9780470172339

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Keywords:

  • financial engineering techniques in managing asset portfolios;
  • asset mix in investment performance;
  • financial asset management;
  • treasury inflation-protected securities (TIPs);
  • value-at-risk simulation methodologies

Summary

This chapter contains sections titled:

  • Introduction

  • The Asset-Management Problem

  • An Illustration

  • The Optimization Problem

  • Caveats

  • New Asset Classes

  • The Forecasting Problem

  • Engineering Clienttailored Solutions: Applying Portfolio Restrictions

  • Taxation

  • Time Horizon

  • Extensions and New Frontiers

  • Combining Meanvariance Analysis with Other Techniques-Constructing Optimal Hedge Fund Portfolios

  • Conclusion

  • References