Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

Name: Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
Brand: Palgrave USA
SKU: 9781403904584
Price: 360.83 EUR
Availability: InStock

A Practical Guide to Implementing Quantitative Investment Theory

Autor: Mikkel Rasmussen

Jazyk:

Väzba: Pevná

Vydavateľ: Palgrave USA

Dostupnosť: Skladom u dodávateľa v malom množstve

Odosielame za 13-18 dní

360.83 €

Targeted towards institutional asset managers in general and chief investment officers, portfolio ma...

Informácie o knihe

Autor

Mikkel Rasmussen

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2002

Stránok

443

EAN

9781403904584

ISBN

1403904588

Enbook ID

04775452

Vydavateľ

Palgrave USA

Hmotnosť

847

Rozmery

155 x 235 x 28

Kompletný popis

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.

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Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

A Practical Guide to Implementing Quantitative Investment Theory

Informácie o knihe

Kompletný popis

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Zákazníci, ktorí si kúpili túto knihu, kúpili tiež