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portada Quantitative Portfolio Optimisation, Asset Allocation and Risk Management
Type
Physical Book
Publisher
Author
Year
2002
Language
English
Pages
460
Format
Paperback
Dimensions
23.4x15.6 cm
ISBN13
9781349509430

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management

M. Rasmussen (Author) · Springer Nature B.V. · Paperback

Quantitative Portfolio Optimisation, Asset Allocation and Risk Management - M. Rasmussen

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Synopsis "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 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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