Table of Contents

PART 1: A BASIS FOR QUANTITATIVE PORTFOLIO MANAGEMENT Asset Management Basics Asset Return Asset Risk Asset Pricing PART 2: MODERN PORTFOLIO THEORY Efficient Portfolios and Quantitative Portfolio Optimisation Estimating Model Parameters PART 3: QUANTITATIVE ASSET ALLOCATION Quantitative Portfolio Construction and Asset Allocation Quasi-Random Monte Carlo Simulated Asset Allocation (QRMCSAA) Strategic and Tactical Asset Allocation QRMCSAA Applied to Sector Rotation PART 4: QUANTITATIVE RISK MANAGEMENT Tracking Error, Information Ratio and Active Management Value Added Sector Risk Model Value at Risk Extreme Value Theory

About the Author

MIKKEL RASMUSSEN has an MSc in Economics and has worked both as a risk management consultant and equity portfolio manager. He currently manages Japanese equities at AEGON Asset Management in the Netherlands.