TY  - BOOK
AU  - Rasmussen,Mikkel
TI  - Quantitative Portfolio Optimisation, Asset Allocation and Risk Management: Finance and Campital Markets
T2  - Finance and Capital Markets Ser
SN  - 9781403904584
U1  - 332.6 RAS 21
PY  - 2003///
CY  - New York, Gordonsville
PB  - Palgrave Macmillan, Macmillan [distributor]
KW  - Portfolio Management
KW  - Risk Management
KW  - Business & Economics
KW  - Investments & Securities
KW  - General
KW  - Decision-making & Problem Solving
N1  - Scholarly & Professional; Palgrave Macmillan
N2  - 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>
UR  - http://www.palgraveconnect.com/pc/doifinder/10.1057/9780230512856
UR  - https://link.springer.com/openurl?genre=book&isbn=978-0-230-51285-6
ER  -