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portada Risk Budgeting: Portfolio Problem Solving With Value-At-Risk
Type
Physical Book
Publisher
Author
Year
2002
Language
English
Pages
336
Format
Hardcover
ISBN
0471405566
ISBN13
9780471405566
Edition No.
1
Categories

Risk Budgeting: Portfolio Problem Solving With Value-At-Risk

Neil D. Pearson (Author) · John Wiley & Sons · Hardcover

Risk Budgeting: Portfolio Problem Solving With Value-At-Risk - Neil D. Pearson

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Synopsis "Risk Budgeting: Portfolio Problem Solving With Value-At-Risk "

Covers the hottest topic in investment for multitrillion pension market and institutional investors Institutional investors and fund managers understand they must take risks to generate superior investment returns, but the question is how much. Enter the concept of risk budgeting, using quantitative risks measurements, including VaR, to solve the problem. VaR, or value at risk, is a concept first introduced by bank dealers to establish parameters for their market short-term risk exposure. This book introduces VaR, extreme VaR, and stress-testing risk measurement techniques to major institutional investors, and shows them how they can implement formal risk budgeting to more efficiently manage their investment portfolios. Risk Budgeting is the most sophisticated and advanced read on the subject out there in the market.

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