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

By: Material type: TextTextSeries: 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 Books Botho University Lesotho Reference Faculty Business & Accounting 332.6 (Browse shelf(Opens below)) 1 Available BK003423
Books Books Botho University Lesotho Faculty Business & Accounting 332.6 (Browse shelf(Opens below)) 2 Available BK003424

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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