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Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers.
The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.

Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers.
The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.

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CONTENTS
Contributors = ⅶ
Preface = xii
PART 1 : ADVANCES IN ASSET ALLOCATION AND PORTFOLIO MANAGEMENT
  1. Introducing Higher Moments in the CAPM : Some Basic Ideas / Gustavo M. de Athayde ; Renato G. Fl o ^ res Jr. = 3
  2. Fat Tails and the Capital Asset Pricing Model / Chris J. Adcock ; Karl Shutes = 17
  3. The Efficiency of Fund Management : An Applied Stochastic Frontier Model / Waiter Briec ; Jean-Baptiste Lesourd = 41
  4. Investment Styles in the European Equity Markets / Monica Billio ; Roberto Casarin ; Claire M e' hu ; Domenico Sartore = 61
  5. Advanced Adaptive Architectures for Asset Allocation / Patrick Na i ·· m ; Pierre Herv e' ; Hans Georg Zimmermann = 89
  6. High Frequency Data and Optimal Hedge Ratios / Christian L. Dunis and Pierre Lequeux = 113
PART 2 : MODELLING RISK, RETURN AND CORRELATION
  7. Large Scale Conditional Correlation Estimation / Fr e' d e' rick Bourgoin = 139
  8. The Pitfalls in Fitting GARCH(1, 1) Processes / Gilles Zumbach = 179
  9. Factor GARCH, Regime-Switching and the Term Structure of Interest Rates / David Khabie-Zeitoune ; Gerry Salkin ; Nicos Christofides = 201
  10. Hedging a Portfolio of Corporate Bonds Using PCA／GARCH Yield Curve Analysis / Darren Toulson ; Sabine Toulson ; Abongwa Ndumu = 235
  11. Analysis of Time Varying Exchange Rate Risk Premia / Ramaprasad Bhar ; Carl Chiarella = 255
  12. Volatility Modelling in the Forex Market : An Empirical Evaluation / Renato G. Fl o ^ res Jr. ; Bruno B. Roche = 275
  13. Five Classification Algorithms to Predict High Performance Stocks / George T. Albanis ; Roy A. Batchelor = 295
  14. Forecasting Financial Time Series with Generalized Long Memory Processes / Laurent Ferrara ; Dominique Gu e' gan = 319