Quantitative Portfolio Optimisation, Asset Allocation and Risk Management : Finance and Campital Markets.

By:

Rasmussen, Mikkel [author.]

Material type: Text

TextSeries: Finance and Capital Markets SerPublication details: New York : Palgrave Macmillan March 2003 Gordonsville : Macmillan [distributor]Edition: RevisedDescription: 1 online resource (400 pages) : illustrationsContent type:

text

Media type:

Book

Carrier type:

online resource

ISBN:

9781403904584
1403904588

Subject(s):

DDC classification:

332.6 RAS 21

Online resources:

Summary: 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.<br>

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Books	Botho University Lesotho Reference	Faculty Business & Accounting	332.6 (Browse shelf(Opens below))	1	Available		BK003423
Books	Botho University Lesotho	Faculty Business & Accounting	332.6 (Browse shelf(Opens below))	2	Available		BK003424

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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.<br>

Scholarly & Professional Palgrave Macmillan.

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