Quantitative Portfolio Optimisation, Asset Allocation and Risk Management : Finance and Campital Markets.
Rasmussen, Mikkel,
Quantitative Portfolio Optimisation, Asset Allocation and Risk Management : Finance and Campital Markets. - Revised. - New York : Gordonsville : Palgrave Macmillan Macmillan [distributor] March 2003 - 1 online resource (400 pages) : illustrations. - Finance and Capital Markets Ser. . - Finance and Capital Markets Ser. .
Include Bibliography Index This practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory.
Scholarly & Professional Palgrave Macmillan.
9781403904584 1403904588
9781403904584
00676990
2002042455
Portfolio Management.
Risk Management.
Business & Economics--Investments & Securities--General.
Business & Economics--Decision-making & Problem Solving.
332.6 RAS
Quantitative Portfolio Optimisation, Asset Allocation and Risk Management : Finance and Campital Markets. - Revised. - New York : Gordonsville : Palgrave Macmillan Macmillan [distributor] March 2003 - 1 online resource (400 pages) : illustrations. - Finance and Capital Markets Ser. . - Finance and Capital Markets Ser. .
Include Bibliography Index This practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader from basic return and risk analysis, all the way through to portfolio optimization and risk characterization, and finally on to fully fledged quantitative asset allocation and risk management. It employs such tools as enhanced modern portfolio theory using Monte Carlo simulation and advanced return distribution analysis, analysis of marginal contributions to absolute and active portfolio risk, Value-at-Risk and Extreme Value Theory.
Scholarly & Professional Palgrave Macmillan.
9781403904584 1403904588
9781403904584
00676990
2002042455
Portfolio Management.
Risk Management.
Business & Economics--Investments & Securities--General.
Business & Economics--Decision-making & Problem Solving.
332.6 RAS