Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
Author: M. Rasmussen
Publisher: Springer
Total Pages: 453
Release: 2002-12-13
Genre: Business & Economics
ISBN: 0230512852

Download Quantitative Portfolio Optimisation, Asset Allocation and Risk Management Book in PDF, Epub and Kindle

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, 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. All this is performed within the same conceptual, theoretical and empirical framework, providing a self-contained, comprehensive reading experience with a strongly practical aim.


Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
Language: en
Pages: 453
Authors: M. Rasmussen
Categories: Business & Economics
Type: BOOK - Published: 2002-12-13 - Publisher: Springer

GET EBOOK

Targeted towards institutional asset managers in general and chief investment officers, portfolio managers and risk managers in particular, this practical book
Portfolio Construction and Risk Budgeting
Language: en
Pages: 318
Authors: Bernd Scherer
Categories: Investments
Type: BOOK - Published: 2007 - Publisher:

GET EBOOK

Building on the solid foundation of the first two bestselling editions, this significantly extended third edition updates previous content and incorporates thre
Robust Equity Portfolio Management
Language: en
Pages: 259
Authors: Woo Chang Kim
Categories: Business & Economics
Type: BOOK - Published: 2015-11-30 - Publisher: John Wiley & Sons

GET EBOOK

A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage avai
The Oxford Handbook of Quantitative Asset Management
Language: en
Pages: 530
Authors: Bernd Scherer
Categories: Business & Economics
Type: BOOK - Published: 2012 - Publisher: Oxford University Press

GET EBOOK

This book explores the current state of the art in quantitative investment management across seven key areas. Chapters by academics and practitioners working in
Fuzzy Portfolio Optimization
Language: en
Pages: 320
Authors: Pankaj Gupta
Categories: Computers
Type: BOOK - Published: 2014-03-31 - Publisher: Springer

GET EBOOK

This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available i