Quantitative Portfolio Optimisation, Asset Allocation and Risk Management:
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 ri...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
London
Palgrave Macmillan UK
2003
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| Subjects: | |
| Online Access: | DE-12 DE-634 DE-526 DE-521 DE-1043 DE-M347 DE-92 DE-898 DE-1049 DE-523 DE-Re13 DE-91 DE-473 DE-19 DE-355 DE-703 DE-20 DE-706 DE-824 DE-29 DE-739 Volltext |
| Summary: | 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 |
| Physical Description: | 1 Online-Ressource (XV, 443 Seiten) |
| ISBN: | 9780230512856 |
| DOI: | 10.1057/9780230512856 |
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| spelling | Rasmussen, Mikkel aut Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by Mikkel Rasmussen London Palgrave Macmillan UK 2003 1 Online-Ressource (XV, 443 Seiten) txt rdacontent c rdamedia cr rdacarrier 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 Business Business enterprises / Finance Banks and banking Investment banking Securities Risk management Erscheint auch als Druck-Ausgabe 9781349509447 https://doi.org/10.1057/9780230512856 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Rasmussen, Mikkel Quantitative Portfolio Optimisation, Asset Allocation and Risk Management Business Business enterprises / Finance Banks and banking Investment banking Securities Risk management |
| title | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
| title_auth | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
| title_exact_search | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
| title_exact_search_txtP | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
| title_full | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by Mikkel Rasmussen |
| title_fullStr | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by Mikkel Rasmussen |
| title_full_unstemmed | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management by Mikkel Rasmussen |
| title_short | Quantitative Portfolio Optimisation, Asset Allocation and Risk Management |
| title_sort | quantitative portfolio optimisation asset allocation and risk management |
| topic | Business Business enterprises / Finance Banks and banking Investment banking Securities Risk management |
| topic_facet | Business Business enterprises / Finance Banks and banking Investment banking Securities Risk management |
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